I'll try again later on another machine with another compiler.
oh, actually -temporarily- I need C++11 in the adjoint branch, because I wrote some constexpr declarations (will have to revisit this later).
Also I wrote default template parameters (T = Real) that have to be removed again for 03 I guess.
Is this problem gcc 4.9.2 specific ? I have 4.9.1 and everything compiles fine (except some auto_ptr - deprecated - warnings). Also my local branch is consistent with the one on github.
> Don't use C++11.
>
> Luigi
>
> On Jan 12, 2015 4:53 AM, "cheng li" <
[hidden email]> wrote:
>>
>> Hi peter,
>>
>> I have switched to adjoint brank. However I am still facing some
>> problem... I use g++ 4.9.2 with parameter "-std=c++11 -O3"
>>
>> /bin/bash ../../libtool --tag=CXX --mode=compile g++ -DHAVE_CONFIG_H -I.
>> -I../../ql -I../.. -I../.. -std=c++11 -O3 -MT averagebmacoupon.lo -MD -MP
>> -MF .deps/averagebmacoupon.Tpo -c -o averagebmacoupon.lo
>> averagebmacoupon.cpp
>> libtool: compile: g++ -DHAVE_CONFIG_H -I. -I../../ql -I../.. -I../..
>> -std=c++11 -O3 -MT averagebmacoupon.lo -MD -MP -MF
>> .deps/averagebmacoupon.Tpo -c averagebmacoupon.cpp -fPIC -DPIC -o
>> .libs/averagebmacoupon.o In file included from
>> ../../ql/patterns/observable.hpp:29:0,
>> from ../../ql/event.hpp:29,
>> from ../../ql/cashflow.hpp:28,
>> from ../../ql/cashflows/coupon.hpp:29,
>> from ../../ql/cashflows/floatingratecoupon.hpp:33,
>> from ../../ql/cashflows/averagebmacoupon.hpp:28,
>> from averagebmacoupon.cpp:21:
>> ../../ql/patterns/observable.hpp: In member function 'void
>> QuantLib::Observable::notifyObservers()':
>> ../../ql/errors.hpp:121:70: error: use of deleted function
>> 'QuantLib::Error::Error(const QuantLib::Error&)'
>> BOOST_CURRENT_FUNCTION,_ql_msg_stream.str()); \
>>
>> ^
>> ../../ql/patterns/observable.hpp:139:9: note: in expansion of macro
>> 'QL_ENSURE'
>> QL_ENSURE(successful,
>> ^
>> ../../ql/errors.hpp:39:11: note: 'QuantLib::Error::Error(const
>> QuantLib::Error&)' is implicitly deleted because the default
>> definition would be ill-formed:
>> class Error : public std::exception {
>> ^
>> ../../ql/errors.hpp:39:11: error: use of deleted function
>> 'boost::shared_ptr<std::basic_string<char> >::shared_ptr(const
>> boost::shared_ptr<std::basic_string<char> >&)'
>> In file included from /usr/include/boost/shared_ptr.hpp:17:0,
>> from ../../ql/errors.hpp:31,
>> from ../../ql/patterns/observable.hpp:29,
>> from ../../ql/event.hpp:29,
>> from ../../ql/cashflow.hpp:28,
>> from ../../ql/cashflows/coupon.hpp:29,
>> from ../../ql/cashflows/floatingratecoupon.hpp:33,
>> from ../../ql/cashflows/averagebmacoupon.hpp:28,
>> from averagebmacoupon.cpp:21:
>> /usr/include/boost/smart_ptr/shared_ptr.hpp:168:25: note:
>> 'boost::shared_ptr<std::basic_string<char> >::shared_ptr(const
>> boost::shared_ptr<std::basic_string<char> >&)' is implicitly declared
>> as deleted because 'boost::shared_ptr<std::basic_string<char> >'
>> declares a move constructor or move assignment operator
>>
>> Any idea about this?
>>
>> Regards,
>> Cheng
>>
>> -----邮件原件-----
>> 发件人: Peter Caspers [mailto:
[hidden email]]
>> 发送时间: 2015年1月11日 17:34
>> 收件人: Cheng Li
>> 抄送: QuantLib Mailing Lists
>> 主题: Re: 答复: [Quantlib-dev] Adjoint Greeks
>>
>> Hi Cheng,
>>
>> you are welcome and many thanks for your interest. However you seem
>> to work on my master branch which I consider as my private workspace
>> (with some unfinished things in it). Sorry, I wasn't expecting guests
>> here :-)
>>
>> You probably want to try out the adjoint branch instead. This should
>> compile.
>>
>> Thanks
>> Peter
>>
>> On 11 January 2015 at 10:16, Cheng Li <
[hidden email]> wrote:
>> > Hi Peter,
>> >
>> > Thank you for your kindly offer these new stuff for all of us!
>> >
>> > I have cloned your branch and tried to build it on my machine. When
>> > it was building the example/InterestRateSmile, the compiler
>> > complained as
>> > following:
>> >
>> > InterestRateSmiles.cpp: In function ‘void zabrExamples()’:
>> > InterestRateSmiles.cpp:64:39: error: type/value mismatch at
>> > argument 1 in template parameter list for ‘template<class T> class
>> > boost::shared_ptr’
>> > boost::shared_ptr<ZabrSmileSection> zabrln =
>> > ^
>> > InterestRateSmiles.cpp:64:39: error: expected a type, got
>> > ‘ZabrSmileSection’
>> > InterestRateSmiles.cpp:64:48: error: invalid type in declaration
>> > before ‘=’ token
>> > boost::shared_ptr<ZabrSmileSection> zabrln =
>> > ^
>> > InterestRateSmiles.cpp:67:13: error: ‘template<class Evaluation>
>> > class QuantLib::ZabrSmileSection’ used without template parameters
>> > ZabrSmileSection::ShortMaturityLognormal);
>> >
>> > I am not sure what is the problem... Is it due to missing template
>> > argument for ZabrSmileSection?
>> > My compiler is g++ 4.8.2 and with parameter "-std=c++11 -O3"
>> >
>> > BTW, I found that quadraticlfm.hpp and quadraticlfm.cpp are missing
>> > from the branch. However when I adjust the makefile.am to exclude
>> > them out the compiling process works fine.
>> >
>> >
>> > Regards,
>> > Cheng
>> >
>> > -----邮件原件-----
>> > 发件人: Peter Caspers [mailto:
[hidden email]]
>> > 发送时间: 2015年1月9日 3:57
>> > 收件人: Luigi Ballabio
>> > 抄送: QuantLib Mailing Lists; Ferdinando M. Ametrano
>> > 主题: Re: [Quantlib-dev] Adjoint Greeks
>> >
>> > I thought in a realistic application you would always need both
>> > worlds, CppAD<double> for adjoint greek engines and double for all
>> > the rest. I wonder what it would mean in terms of performance and
>> > memory if you replace double by CppAD<double> in general. I can
>> > maybe just stress test this a bit though.
>> > Peter
>> >
>> >
>> >
>> > On 7 January 2015 at 10:23, Luigi Ballabio
>> > <
[hidden email]>
>> > wrote:
>> >> Switching Real would force you to fix compilation problems all
>> >> over the library, instead of just in the code you're converting.
>> >>
>> >> If you wanted to go the route of #defining the type, I guess you
>> >> could introduce another type (ADReal or something) and switch the
>> >> coverted code to use it.
>> >> Which might or might not be a good idea; you wouldn't be forced to
>> >> templatize the code, but you would have to choose AD or not at
>> >> compilation time, instead that having the choice to use both for
>> >> different
>> > tasks. Hmm...
>> >>
>> >> Anyway: yes, very promising. Between Peter, Klaus and Joseph, we
>> >> got a lot of presents this Christmas :)
>> >>
>> >> Luigi
>> >>
>> >>
>> >>
>> >> On Wed, Jan 7, 2015 at 9:41 AM, Ferdinando M. Ametrano
>> >> <
[hidden email]> wrote:
>> >>>
>> >>> Thank you Peter, it sounds exciting and promising.
>> >>> Why haven't you considered to just change the Real typedef from
>> >>> double to CppAD::AD<double>?
>> >>>
>> >>> On Sun, Jan 4, 2015 at 9:55 PM, Peter Caspers
>> >>> <
[hidden email]>
>> >>> wrote:
>> >>>>
>> >>>> Hello all,
>> >>>>
>> >>>> happy new year.
>> >>>>
>> >>>> I revisited Ferdinando's comments on adjoint greeks during our
>> >>>> December workshop and started to play around with that idea.
>> >>>>
>> >>>> The approach I am trying to follow is to adapt the ql library
>> >>>> code so that automatic differentiation _tools_ can be used with
>> >>>> it in a transparent way. This is opposed to writing special
>> >>>> adjoint engines by _hand_ like e.g. advocated in Capriotti,
>> >>>> Giles, Algorithmic
>> >>>> Differentiation: Adjoint Greeks Made Easy. The relatively small
>> >>>> and homogeneous code basis of ql seems to allow for this kind of
>> >>>> more fundamental approach.
>> >>>>
>> >>>> I wrote a bit about my first steps in my blog
>> >>>>
>> >>>>
http://quantlib.wordpress.com/>> >>>>
>> >>>> and forked a new branch from Luigi's current master on github
>> >>>>
>> >>>>
https://github.com/pcaspers/quantlib/tree/adjoint>> >>>>
>> >>>> where I started to template'ize the library in order to allow
>> >>>> for AD tools to hook in. There are already first working
>> >>>> examples (see the
>> >>>> blog) and I am starting to feel confident that the approach
>> >>>> might work as a whole, might be doable in a reasonable amount of
>> >>>> time and is worthwhile following.
>> >>>>
>> >>>> About the feasibility: The library seems to consist of roughly
>> >>>> 376k lines of code currently (all hpp and cpp files under ql /
>> >>>> ). From that we can subtract "data" files
>> >>>>
>> >>>> 78862 ./math/randomnumbers/sobolrsg.cpp
>> >>>> 21376 ./math/randomnumbers/primitivepolynomials.cpp
>> >>>> 14495 ./math/randomnumbers/latticerules.cpp
>> >>>> 10115 ./experimental/volatility/noarbsabrabsprobs.cpp
>> >>>>
>> >>>> which leaves us with 251k lines. It seems that I have already
>> >>>> reviewed and adapted around 14k lines, which is 5% and which
>> >>>> took me approximately 60 hours. This gives an estimation of 130
>> >>>> person days still left to do. For the whole (!) library where
>> >>>> already parts will make much sense and give interesting applications. E.g.
>> >>>> excluding experimental classes (90k) and the market model (25k)
>> >>>> reduces the estimate already to 65 person days to go.
>> >>>>
>> >>>> I would be interested in your opinions on that, in particular
>> >>>> regarding the design choices to make (better now than later :-) ).
>> >>>>
>> >>>> I'd also be grateful for people supporting the development by
>> >>>> forking the adjoint branch and sending pull requests with
>> >>>> adapted code
>> > pieces.
>> >>>> My personal next steps would be
>> >>>> - rate deltas for Legs / Swap instruments
>> >>>> - rate vegas for vanilla interest rate options
>> >>>> - Hull White model
>> >>>>
>> >>>> What do you think ?
>> >>>>
>> >>>> Thank you
>> >>>> Peter
>> >>>>
>> >>>>
>> >>>> ----------------------------------------------------------------
>> >>>> ---
>> >>>> -
>> >>>> ---------- Dive into the World of Parallel Programming! The Go
>> >>>> Parallel Website, sponsored by Intel and developed in
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>> >>>> look and join the conversation now.
>> >>>>
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>> >>>> _______________________________________________
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>> >>>>
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>> >>>
>> >>>
>> >>>
>> >>> -----------------------------------------------------------------
>> >>> ---
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>> >>> --------- Dive into the World of Parallel Programming! The Go
>> >>> Parallel Website, sponsored by Intel and developed in partnership
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>> >>
>> >>
>> >>
>> >> --
>> >> <
https://implementingquantlib.blogspot.com>
>> >> <
https://twitter.com/lballabio>
>> >
>> > -------------------------------------------------------------------
>> > ---
>> > ------
>> > --
>> > Dive into the World of Parallel Programming! The Go Parallel
>> > Website, sponsored by Intel and developed in partnership with
>> > Slashdot Media, is your hub for all things parallel software
>> > development, from weekly thought leadership blogs to news, videos,
>> > case studies, tutorials and more. Take a look and join the conversation now.
>> >
http://goparallel.sourceforge.net>> > _______________________________________________
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>> >
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>> >
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>> >
>>
>>
>>
>>
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