Cheng who backported the error function class). This covers the
> Hi Cheng,
>
> great, I am looking forward to receive your contributions !
>
> Kind regards
> Peter
>
> On 2 February 2015 at 02:35, cheng li <
[hidden email]> wrote:
>> Hi Peter,
>>
>> Thank you for the gifts for all of us. I have tried your example. It looks very promising!
>>
>> Now I am following your steps and trying to make my first example. My fist goal is to make FixedRateBond AD available (I am most familiar with bonds part:)).
>>
>> When I finished I'll raise a pull request for that change to your trunk.
>>
>> Regards,
>> Cheng
>>
>> -----邮件原件-----
>> 发件人: Peter Caspers [mailto:
[hidden email]]
>> 发送时间: 2015年1月26日 3:06
>> 收件人: cheng li
>> 抄送: Luigi Ballabio; QuantLib developers
>> 主题: Re: 答复: 答复: [Quantlib-dev] 答复: Adjoint Greeks
>>
>> Hello,
>>
>> this weekend I have reached a level of conversion that allows to tackle Vanilla Swaps. This is maybe the first "full-blown" example, so if you are interested you can find some results in my blog
>>
>>
http://quantlib.wordpress.com>>
>> Comments are welcome.
>>
>> Thanks and best regards
>> Peter
>>
>> On 14 January 2015 at 10:54, Peter Caspers <
[hidden email]> wrote:
>>> unlikely (the optimization level)
>>> Peter
>>>
>>>
>>> On 14 January 2015 at 02:49, cheng li <
[hidden email]> wrote:
>>>> 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
>>>>>>>>>
>>>>>>>>>
>>>>>>>>> ----------------------------------------------------------------
>>>>>>>>> --
>>>>>>>>> -
>>>>>>>>> -
>>>>>>>>> ---------- 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>>>>>>>>> _______________________________________________
>>>>>>>>> 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>>>>>>>> _______________________________________________
>>>>>>>> QuantLib-dev mailing list
>>>>>>>>
[hidden email]
>>>>>>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>> --
>>>>>>> <
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>>>>>> _______________________________________________
>>>>>> QuantLib-dev mailing list
>>>>>>
[hidden email]
>>>>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>>>>>
>>>>>
>>>>>
>>>>>
>>>>> --------------------------------------------------------------------
>>>>> --
>>>>> -------- New Year. New Location. New Benefits. New Data Center in
>>>>> Ashburn, VA.
>>>>> GigeNET is offering a free month of service with a new server in Ashburn.
>>>>> Choose from 2 high performing configs, both with 100TB of bandwidth.
>>>>> Higher redundancy.Lower latency.Increased capacity.Completely compliant.
>>>>> vanity: www.gigenet.com
>>>>> _______________________________________________
>>>>> QuantLib-dev mailing list
>>>>>
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>>>>>
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>>
Dive into the World of Parallel Programming. The Go Parallel Website,
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