http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-boostrapping-multiple-interest-rate-yield-curves-tp13495p13498.html
bootstrapping example, passing it to the SwapRateHelpers. A realistic
> We do need an example of this, though. Nando, do you have a dataset
> we can use? I'll try and find a volunteer for the example...
>
> Luigi
>
> On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <
[hidden email]> wrote:
>> check
>> a) iterative boostrap
>> b) SwapRateHelper which can be used with a discount curve different
>> from the forwarding one being boostrapped
>>
>> On Tue, Jul 10, 2012 at 1:34 PM, <
[hidden email]> wrote:
>>> Hi Ferdinando,
>>>
>>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>>> implemented?
>>>
>>> Is there an example in Quantlib?
>>>
>>> Regards
>>>
>>> Theo
>>>
>>>
>>> -----Original Message-----
>>> From: quantlib-dev-request <
[hidden email]>
>>> To: quantlib-dev <
[hidden email]>
>>> Sent: Tue, 10 Jul 2012 9:56
>>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>>
>>> Send QuantLib-dev mailing list submissions to
>>>
[hidden email]
>>>
>>> To subscribe or unsubscribe via the World Wide Web, visit
>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>> or, via email, send a message with subject or body 'help' to
>>>
[hidden email]
>>>
>>> You can reach the person managing the list at
>>>
[hidden email]
>>>
>>> When replying, please edit your Subject line so it is more specific
>>> than "Re: Contents of QuantLib-dev digest..."
>>>
>>>
>>> Today's Topics:
>>>
>>> 1. Re: Use QuantLib Swig Python Extension with VS2010
>>> (Ferdinando Ametrano)
>>> 2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>>> 3. Re: Use QuantLib Swig Python Extension with VS2010
>>> (Luigi Ballabio)
>>> 4. Re: Use QuantLib Swig Python Extension with VS2010
>>> (Ferdinando Ametrano)
>>> 5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>>> 6. swapindex clone (Peter Caspers)
>>> 7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>>> 8. [ quantlib-Patches-3541625 ] Math macros redefinition
>>> warnings on VC++ (SourceForge.net)
>>> 9. [ quantlib-Patches-3541627 ] Upgrade boost::filesystem
>>> functions to version 3 (SourceForge.net)
>>>
>>>
>>> ----------------------------------------------------------------------
>>>
>>> Message: 1
>>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>>> From: Ferdinando Ametrano <
[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Luigi Ballabio <
[hidden email]>
>>> Cc: Michael <
[hidden email]>,
[hidden email]
>>> Message-ID:
>>> <CAEH5GqyiKUBFLSHP9N4ekfn5z5A1y=ffB=
[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>>> I agree with VC2008 being the preferred compiler for the Python
>>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>>
>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 2
>>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>>> From: Didrik Pinte <
[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Ferdinando Ametrano <
[hidden email]>
>>> Cc: Michael <
[hidden email]>,
[hidden email]
>>> Message-ID:
>>> <
[hidden email]>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> On 5 July 2012 16:09, Ferdinando Ametrano <
[hidden email]> wrote:
>>>> Hi Micheal
>>>>
>>>> in order to achieve your goal you should compile Python with VC2010,
>>>> or Pyhton and QL bindings would never link.
>>>> Anyway that is definitely not the suggested way to go, as you might
>>>> discover that also QL is not friendly with VC2010.
>>>>
>>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>>> altogheter
>>>>
>>>> ciao -- Nando
>>>>
>>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <
[hidden email]> wrote:
>>>>> Dear all,
>>>>>
>>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>>> not
>>>>> working. My current setup looks like this.
>>>>>
>>>>> - QuantLib Version 1.1
>>>>> - Python Version 2.7.2
>>>>> - Visual Studio 2010 SP1
>>>>>
>>>>> When I try to compile the python swig extensions I get the following
>>>>> error:
>>>>>
>>>>> running build
>>>>> running build_py
>>>>> running build_ext
>>>>> building 'QuantLib._QuantLib' extension
>>>>> error: Unable to find vcvarsall.ba
>>>
>>> This is an issue with distutils that is not aware of VC2010. By
>>> tweaking your environment variables, you can bypass that.
>>>
>>> You might have issues related to the manifest in you files. I have
>>> solved that issue with Cython and some wrappers built under VS2010
>>> lately. I don't know how SWIG behaves though.
>>>
>>> -- Didrik
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 3
>>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>>> From: Luigi Ballabio <
[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Ferdinando Ametrano <
[hidden email]>
>>> Cc: Michael <
[hidden email]>,
[hidden email]
>>> Message-ID:
>>> <CAJkxnzeyJGWfg+HDh0kUi4DuONvBcOLXU5bCdN3nyD=
[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> Sure it is. At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <
[hidden email]>
>>> wrote:
>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 4
>>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>>> From: Ferdinando Ametrano <
[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Luigi Ballabio <
[hidden email]>
>>> Cc: Michael <
[hidden email]>,
[hidden email]
>>> Message-ID:
>>> <CAEH5GqzWpVum6trht8NxtEbxJp=
[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>>
>>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <
[hidden email]>
>>> wrote:
>>>> Sure it is. At the very least, the one released in 1.2 works.
>>>>
>>>> Luigi
>>>>
>>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <
[hidden email]>
>>> wrote:
>>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 5
>>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>>> From: Eric Ehlers <
[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Ferdinando Ametrano <
[hidden email]>
>>> Cc: Michael <
[hidden email]>,
[hidden email],
>>> Luigi Ballabio <
[hidden email]>
>>> Message-ID: <
[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>> format="flowed"
>>>
>>> Quoting Ferdinando Ametrano <
[hidden email]>:
>>>
>>>> ok... so shame on me as the problem is just for QLXL which is not
>>>> supported in 2010... :-(
>>>
>>> i can try to rectify that when i package up the final release.
>>>
>>> ===================================================
>>> Eric Ehlers
>>> nazcatech sprl | Brussels |
http://www.nazcatech.be>>> * Distributed computing for pricing analytics
>>> * Use Microsoft Excel as a client to the Grid
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 6
>>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>>> From: Peter Caspers <
[hidden email]>
>>> Subject: [Quantlib-dev] swapindex clone
>>> To:
[hidden email]
>>> Message-ID: <
[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>>
>>> Hi,
>>>
>>> can we add the following to swapindex ?
>>>
>>> Peter
>>>
>>> //! returns a copy of itself linked to a different forwarding curve and
>>> discount curve
>>> virtual boost::shared_ptr<SwapIndex> clone(
>>> const Handle<YieldTermStructure>& forwarding,
>>> const Handle<YieldTermStructure>& discount) const;
>>>
>>> shared_ptr<SwapIndex>
>>> SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>>> const Handle<YieldTermStructure>& discount) const {
>>>
>>> return shared_ptr<SwapIndex>(new
>>> SwapIndex(familyName(),
>>> tenor(),
>>> fixingDays(),
>>> currency(),
>>> fixingCalendar(),
>>> fixedLegTenor(),
>>> fixedLegConvention(),
>>> dayCounter(),
>>> iborIndex_->clone(forwarding),
>>> discount));
>>>
>>> }
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 7
>>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>>> From: Eric Ehlers <
[hidden email]>
>>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>>> Files
>>> To: QuantLib developers <
[hidden email]>
>>> Message-ID: <
[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>> format="flowed"
>>>
>>> Hi All,
>>>
>>> Many thanks to those who have gotten back to me so far with feedback.
>>>
>>> I will be offline for the next few days, I will try to resolve any
>>> open issues before the final release, which I hope to ship on 30 July.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> Quoting Eric Ehlers <
[hidden email]>:
>>>
>>>> Hi All,
>>>>
>>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>>> and ObjectHandler are available at this link:
>>>>
>>>>
http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>>>>
>>>> I'd be grateful to anyone who could spare some time to test the files and
>>>> let
>>>> me know how it goes.
>>>>
>>>> Kind Regards,
>>>> Eric
>>>>
>>>> ===================================================
>>>> Eric Ehlers
>>>> nazcatech sprl | Brussels |
http://www.nazcatech.be>>>> * Distributed computing for pricing analytics
>>>> * Use Microsoft Excel as a client to the Grid
>>>>
>>>>
>>>>
>>>> ------------------------------------------------------------------------------
>>>> Live Security Virtual Conference
>>>> Exclusive live event will cover all the ways today's security and
>>>> threat landscape has changed and how IT managers can respond. Discussions
>>>> will include endpoint security, mobile security and the latest in malware
>>>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>>
[hidden email]
>>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 8
>>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>>> From: SourceForge.net <
[hidden email]>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>>> redefinition warnings on VC++
>>> To: SourceForge.net <
[hidden email]>
>>> Message-ID:
>>> <
[hidden email]>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541625, was opened at 2012-07-09 08:27
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Math macros redefinition warnings on VC++
>>>
>>> Initial Comment:
>>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>>> constants.
>>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>>> definition.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 9
>>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>>> From: SourceForge.net <
[hidden email]>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>>> boost::filesystem functions to version 3
>>> To: SourceForge.net <
[hidden email]>
>>> Message-ID:
>>> <
[hidden email]>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541627, was opened at 2012-07-09 08:31
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Upgrade boost::filesystem functions to version 3
>>>
>>> Initial Comment:
>>> Newest Boost (1.50.0) does not support version 2 as explained at
>>>
http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740>>>
>>>
>>>
>>> ------------------------------
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>>>
>>> ------------------------------
>>>
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>>
[hidden email]
>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>>
>>>
>>> End of QuantLib-dev Digest, Vol 74, Issue 2
>>> *******************************************
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>>> _______________________________________________
>>> QuantLib-dev mailing list
>>>
[hidden email]
>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>> _______________________________________________
>> QuantLib-dev mailing list
>>
[hidden email]
>>
https://lists.sourceforge.net/lists/listinfo/quantlib-devthreat landscape has changed and how IT managers can respond. Discussions
threats.