> Hi Peter,
>
> I'll definitely have a try. Thank you :)
>
> Actually yesterday I tried on another machine with g++ 4.8.2 and O2 setting, then everything works fine. I think my previous problem may be due to O3.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Peter Caspers [mailto:
[hidden email]]
> 发送时间: 2015年1月13日 21:18
> 收件人: cheng li
> 抄送: Luigi Ballabio; QuantLib developers
> 主题: Re: 答复: [Quantlib-dev] 答复: Adjoint Greeks
>
> I will clean up the adjoint branch to make it c++03 compliant. Unless QuantLib 2.0 is out before the adjoint conversion has finished :-)
>
> On 13 January 2015 at 02:28, cheng li <
[hidden email]> wrote:
>> Hi Luigi,
>>
>>
>>
>> I think I can not to avoid to use c++ 11 now.. In Peter’s branch much
>> c++ 11 stuff is used, e.g. constexpr…
>>
>>
>>
>> Regards,
>>
>> Cheng
>>
>>
>>
>> 发件人: Luigi Ballabio [mailto:
[hidden email]]
>> 发送时间: 2015年1月12日 14:28
>> 收件人: Cheng Li
>> 抄送: QuantLib developers; Peter Caspers
>> 主题: Re: [Quantlib-dev] 答复: Adjoint Greeks
>>
>>
>>
>> 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
>>>>>>
>>>>>>
>>>>>> ------------------------------------------------------------------
>>>>>> -
>>>>>> -
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>>>>>> conversation now.
http://goparallel.sourceforge.net>>>>>> _______________________________________________
>>>>>> QuantLib-dev mailing list
>>>>>>
[hidden email]
>>>>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>>>>
>>>>>
>>>>>
>>>>>
>>>>> -------------------------------------------------------------------
>>>>> -
>>>>> -
>>>>> --------- 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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>>>>>
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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
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>>>
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>>>
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>>>
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>>
>>
>>
>> ----------------------------------------------------------------------
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