Using quantlib with MS VC++ version 7.1 for eigenvector calcs

Posted by Elliffe, Eoin on Apr 07, 2006; 8:09am
URL: http://quantlib.414.s1.nabble.com/Using-quantlib-with-MS-VC-version-7-1-for-eigenvector-calcs-tp4693.html

Hello Folks,

I am using some algorithms from numerical recipes in C, namely tqli() and tridiag(), to calculate the eigenvectors/values of a corr matrix.

I found that certain eigenvectors had elements with the correct magnitude but with opposite sign as those found using octave which uses hessenberg and schur decomposition.

I decided to take a look at Quantlib to see if I could remedy this.

I have managed to download boost and bjam and install and copied all the *.lib and *.dll files to C:\ProgramFiles\Microsoft Visual Studio .NET 2003\Vc7\platformSDK\Lib and bin respectively.

I changed the PATH in environment variables to C:\ProgramFiles\Microsoft Visual Studio .NET 2003\Vc7\platformSDK\bin
And changed VC++ directories to include C:\Boost\lib or include.

Now I downloaded quantlib-0.3-12 and put the boost folder (C:\Boost\include\boost-1_33_1\boost) in the quantlib-0.3-12 folder.

I opened the quantlib project and compiled almost everything, that is the 8 projects with rebuild all.  
I got one error:

c:\QuantLib-0.3.12\test-suite\hestonmodel.cpp(296): fatal error in "HestonModelTest::testAnalyticVsBlack": failed to reproduce Black price

    calculated: 0.80067
    expected:   0.80067
    error:      6.186290e-008

Ok so I thought this must be some kind of rounding error as the acceptable error is 5e-008
So I did a simple build and everything seemed to build successfully.

Now I went to my own project in a different directory and did the following
a) Property Pages -> C/C++ -> Code Generation -> Runtime Library: please select the appropriate
run-time library. Here I selected "Multi-threaded Debug (/MTd)"
b) Property Pages -> C/C++ -> Code Generation -> Basic Runtime Checks: please select "Both
(/RTC1, equiv. to /RTCsu)".

Now I simply included in my own code
#include <ql/Math/all.hpp>
When I did this I got the following error:

d:\data\858679046\Desktop\All Code, Working Version March-23-2006\CFPModel\CFPModel.cpp(17): fatal error C1083: Cannot open include file: 'ql/Math/all.hpp': No such file or directory

Sorry I know I have done something silly, any adivce would be well received.
Thank you
Eoin

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