Posted by
javier-32 on
URL: http://quantlib.414.s1.nabble.com/Error-using-QuantLib-on-Ubuntu-using-Eclipse-SDK-tp5724.html
Good evening everyone,
Please, I would appreciate any help on the following error below. I'm
trying to use QuantLib on Eclipse Eclipse SDK, Version: 3.2.2, with
Ubuntu 7.10 - the Gutsy Gibbon - released in October 2007, but
unfortunately I don't even success in running a simple Vanilla
example. Many thanks in advance for any help.
Javier
EXAMPLE CODE:
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset:
4 -*- */
// the only header you need to use QuantLib
#include <ql/quantlib.hpp>
#include <iostream>
using namespace QuantLib;
int main()
{
Option::Type type(Option::Call);
Real underlying = 7.00, strike = 8.00;
Spread dividendYield = 0.05;
Rate riskFreeRate = 0.05;
Volatility volatility = 0.10;
Date todaysDate(15, May, 1998);
Date settlementDate(17, May, 1998), exerciseDate(17, May, 1999);
Settings::instance().evaluationDate() = todaysDate;
DayCounter dayCounter = Actual365Fixed();
Time maturity = dayCounter.yearFraction(settlementDate,exerciseDate);
boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
Handle<Quote> underlyingH(boost::shared_ptr<Quote>(new
SimpleQuote(underlying)));
Handle<YieldTermStructure>
flatTermStructure(boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate, riskFreeRate, dayCounter)));
Handle<YieldTermStructure>
flatDividendTS(boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate, dividendYield, dayCounter)));
Handle<BlackVolTermStructure>
flatVolTS(boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(settlementDate, volatility, dayCounter)));
boost::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(type, strike));
boost::shared_ptr<BlackScholesProcess> stochasticProcess(
new BlackScholesProcess(underlyingH, flatDividendTS,
flatTermStructure, flatVolTS));
EuropeanOption option(stochasticProcess, payoff, exercise);
option.setPricingEngine(boost::shared_ptr<PricingEngine>(
new AnalyticEuropeanEngine()));
std::cout << "Black-Scholes value: " << option.NPV() << std::endl;
return 0;
}
ERROR:
make -k all
g++ -c main.cpp
main.cpp: In function int main():
main.cpp:40: error: no matching function for call to
QuantLib::BlackScholesProcess::BlackScholesProcess(QuantLib::Handle<QuantLib::Quote>&,
QuantLib::Handle<QuantLib::YieldTermStructure>&,
QuantLib::Handle<QuantLib::YieldTermStructure>&,
QuantLib::Handle<QuantLib::BlackVolTermStructure>&)
/usr/include/ql/processes/blackscholesprocess.hpp:100: note:
candidates are:
QuantLib::BlackScholesProcess::BlackScholesProcess(const
QuantLib::Handle<QuantLib::Quote>&, const
QuantLib::Handle<QuantLib::YieldTermStructure>&, const
QuantLib::Handle<QuantLib::BlackVolTermStructure>&, const
boost::shared_ptr<QuantLib::StochasticProcess1D::discretization>&)
/usr/include/ql/processes/blackscholesprocess.hpp:93: note:
QuantLib::BlackScholesProcess::BlackScholesProcess(const
QuantLib::BlackScholesProcess&)
make: *** [main.o] Error 1
make: Target `all' not remade because of errors.
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