Posted by
Didrik Pinte-5 on
Sep 15, 2011; 7:18pm
URL: http://quantlib.414.s1.nabble.com/issue-with-the-evaluationDate-tp8822.html
Hi,
I am working on some Cython wrappers on top of QuantLib. They do work
really nicely (and will be made available soon).
I am hitting a weird issue that some of you might have seen in the
past or could help debugging.
I am testing the code on five different machines :
- MacOSX - Python 2.7 32bit - gcc 4.2 / boost 1.46 / QuantLib 1.0.1
- Windows 64bit - Python 2.7 - mingw / boost 1.46 /QuantLib 1.0.1
- Debian SID - Python 2.7 - 64bit - gcc 4.6 / boost 1.46 / QuantLib 1.1
- Ubuntu 11.04 - Python 2.7 32bit - gcc 4.5.2 / boost 1.42 / QuantLib 1.0.1
- Ubuntu 11.04 - Python 2.7 64bit - gcc 4.5.2 / boost 1.42 / QuantLib 1.0.1
For all the machines, the code to set and get the evaluationDate works fine.
All the code depending on the evaluationDate works correctly only on
the MacOSX, Debian and Windows boxes. I am testing bond valuation,
options, etc.
The Ubuntu's do fail with the evaluationDate being always equal to
today (even if asking for Settings::instance().evaluationDate()
returns the evaluation date that we have set).
Could it be related to the boost version ? Does anyone have an idea on
the cause of the issue ? I have looked at the compilation flags using
for the SWIG wrapper and we're using the same. Reading the cpp code
generated by Cython does not give information. I have added a listener
(using registerWith) within the code and it shows the date is changed
properly (or at least that the event happens). On a FixedRateBond, if
I set the evaluation_date to 15 days ago, I get a settlementDate three
days after today.
Thanks in advance for any help/hints/suggestions.
-- Didrik
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