using quantlib in Matlab

[steven e. pav]

hello;


I am trying to use the quantlib library from Matlab. As a test case, I
adapted the EquityOption.cpp example code from the quantlib webpage to a cpp
file which would generate the price of an American Put option with parameters
given by the user, using a few different pricing engines. Before writing the
mex, I had created a standalone version which accepted input from std::cin, and
this ran fine.
However, when I run the code from matlab, the results always come back as 0. I
do not know a lot about the guts of quantlib, and the lazy evaluation methods
being used. However, it seems that when I run the standalone, it takes about 1
second or so (there are some binomial lattice engines being used), whereas when
I run the mex file from matlab, it returns zeros instantaneously. I suspect
somehow that the << operator in the standalone (copied from EquityOption.cpp)
forces the option to be evaluated under the given engine, but this is not being
done in my matlab mex.
Am I wrong about this? Do I have to force evaluation somehow? As a snippet of
code, I have things like this in the mex:

  americanOptionPut.setPricingEngine(boost::shared_ptr<PricingEngine>(
  new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
  P[iii] = (double)americanOptionPut.NPV();   //puts the results in the output

whereas in the standalone it looks more like:
  americanOptionPut.setPricingEngine(boost::shared_ptr<PricingEngine>(
  new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
  std::cout << "the result is " << americanOptionPut.NPV() << std::endl;


any hints? thanks,


--sep


[ Steven E. Pav                      {bikes/bitters/linux} nerd ]
[ google voice: 909.SHBYCHF        shabbychef a.t gmail d0t com ]
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[Robert Philipp]

A real easy way of talking to Quantlib from Matlab is to call the java
wrappers for Quantlib. Matlab is written in Java and so it is easy to
load classes from there and call them.

Robert Philipp
Synapse Financial Engineering
703.623.4063 (mobile)
703.537.0119 (fax)

[hidden email]


On 11/5/2010 7:02 PM, steven e. pav wrote:

>
>
> hello;
>
>
> I am trying to use the quantlib library from Matlab. As a test case, I
> adapted the EquityOption.cpp example code from the quantlib webpage to a cpp
> file which would generate the price of an American Put option with parameters
> given by the user, using a few different pricing engines. Before writing the
> mex, I had created a standalone version which accepted input from std::cin, and
> this ran fine.
> However, when I run the code from matlab, the results always come back as 0. I
> do not know a lot about the guts of quantlib, and the lazy evaluation methods
> being used. However, it seems that when I run the standalone, it takes about 1
> second or so (there are some binomial lattice engines being used), whereas when
> I run the mex file from matlab, it returns zeros instantaneously. I suspect
> somehow that the<<  operator in the standalone (copied from EquityOption.cpp)
> forces the option to be evaluated under the given engine, but this is not being
> done in my matlab mex.
> Am I wrong about this? Do I have to force evaluation somehow? As a snippet of
> code, I have things like this in the mex:
>
>   americanOptionPut.setPricingEngine(boost::shared_ptr<PricingEngine>(
>   new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
>   P[iii] = (double)americanOptionPut.NPV();   //puts the results in the output
>
> whereas in the standalone it looks more like:
>   americanOptionPut.setPricingEngine(boost::shared_ptr<PricingEngine>(
>   new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
>   std::cout<<  "the result is "<<  americanOptionPut.NPV()<<  std::endl;
>
>
> any hints? thanks,
>
>
> --sep
>
>
> [ Steven E. Pav                      {bikes/bitters/linux} nerd ]
> [ google voice: 909.SHBYCHF        shabbychef a.t gmail d0t com ]
> [ parent of tinyurl.com/oskarpix                                ]
> [ a palindrome:                                    wondered now ]
>
>
> ------------------------------------------------------------------------------
> The Next 800 Companies to Lead America's Growth: New Video Whitepaper
> David G. Thomson, author of the best-selling book "Blueprint to a
> Billion" shares his insights and actions to help propel your
> business during the next growth cycle. Listen Now!
> http://p.sf.net/sfu/SAP-dev2dev
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

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[Luigi Ballabio]

On Nov 6, 2010, at 12:02 AM, steven e. pav wrote:

> I am trying to use the quantlib library from Matlab. As a test case, I
> adapted the EquityOption.cpp example code from the quantlib webpage  
> to a cpp
> file which would generate the price of an American Put option with  
> parameters
> given by the user, using a few different pricing engines. Before  
> writing the
> mex, I had created a standalone version which accepted input from  
> std::cin, and
> this ran fine.
> However, when I run the code from matlab, the results always come  
> back as 0. I
> do not know a lot about the guts of quantlib, and the lazy  
> evaluation methods
> being used. However, it seems that when I run the standalone, it  
> takes about 1
> second or so (there are some binomial lattice engines being used),  
> whereas when
> I run the mex file from matlab, it returns zeros instantaneously.

It sounds like the library thinks the instrument is expired and skips  
the calculation.
Are you settings the evaluation date correctly? (Look for where  
Settings::instance().evaluationDate() is set in the standalone.)

Luigi


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[steven e. pav]

On Sat, 6 Nov 2010, Luigi Ballabio wrote:

>> I am trying to use the quantlib library from Matlab. As a test case, I
>> adapted the EquityOption.cpp example code from the quantlib webpage to a
>> cpp
>> file which would generate the price of an American Put option with
>> parameters
>> given by the user, using a few different pricing engines. Before writing
>> the
>> mex, I had created a standalone version which accepted input from std::cin,
>> and
>> this ran fine.
>> However, when I run the code from matlab, the results always come back as
>> 0. I
>
> It sounds like the library thinks the instrument is expired and skips the
> calculation.
> Are you settings the evaluation date correctly? (Look for where
> Settings::instance().evaluationDate() is set in the standalone.)

I do not think that is the problem. I tried an even simpler version of the
code, quoted here:


#ifdef IS_MATLAB
#include <mex.h>
#endif

// the only header you need to use QuantLib
#include <ql/quantlib.hpp>
#include <iostream>
#include <iomanip>

using namespace QuantLib;

#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {
     Integer sessionId() { return 0; }
}
#endif

#ifdef IS_MATLAB
void mexFunction(int nlhs, mxArray *plhs[],int nrhs, const mxArray *prhs[]) {
#else
int main(int argc, char* argv[]) {
#endif
         // set up dates
         Calendar calendar = TARGET();
         Date todaysDate(15, May, 1998);
         Date settlementDate(17, May, 1998);
         Settings::instance().evaluationDate() = todaysDate;

         // our options
         Option::Type type(Option::Put);
         Real underlying = 36;
         Real strike = 40;
         Spread dividendYield = 0.00;
         Rate riskFreeRate = 0.06;
         Volatility volatility = 0.20;
         Date maturity(17, May, 1999);
         DayCounter dayCounter = Actual365Fixed();

         std::cout << "Option type = "  << type << std::endl;
         std::cout << "Maturity = "        << maturity << std::endl;
         std::cout << "Underlying price = "        << underlying << std::endl;
         std::cout << "Strike = "                  << strike << std::endl;
         std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
                   << std::endl;
         std::cout << "Dividend yield = " << io::rate(dividendYield)
                   << std::endl;
         std::cout << "Volatility = " << io::volatility(volatility)
                   << std::endl;
         std::string method;
         boost::shared_ptr<Exercise> europeanExercise(
                                          new EuropeanExercise(maturity));
         Handle<Quote> underlyingH(
             boost::shared_ptr<Quote>(new SimpleQuote(underlying)));

         // bootstrap the yield/dividend/vol curves
         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, calendar, volatility,
                                      dayCounter)));
         boost::shared_ptr<StrikedTypePayoff> payoff(
                                         new PlainVanillaPayoff(type, strike));
         boost::shared_ptr<BlackScholesMertonProcess> bsmProcess(
                  new BlackScholesMertonProcess(underlyingH, flatDividendTS,
                                                flatTermStructure, flatVolTS));

         // options
         VanillaOption europeanOption(payoff, europeanExercise);

         // Analytic formulas:

         // Black-Scholes for European
         method = "Black-Scholes";
         europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                      new AnalyticEuropeanEngine(bsmProcess)));
         std::cout << method << ": " << europeanOption.NPV()
                   << std::endl;

#ifdef IS_MATLAB
  return;
#else
  return 1;
#endif
}

when I compile this as a standalone using the -UIS_MATLAB compiler flag, and
run it, I get the results:

Option type = Put
Maturity = May 17th, 1999
Underlying price = 36
Strike = 40
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %
Black-Scholes: 3.84431

when I compile with -DIS_MATLAB into a Matlab mex file, and run it from within
Matlab, I get the following:

Option type = Put
Maturity = May 17th, 1999
Underlying price = 36.000000
Strike = 40.000000
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %
Black-Scholes: 0.000000

everything is the same except the results from NPV(), and the representation of
the price and strike (e.g. 36 vs. 36.000000).




--sep


[ Steven E. Pav                      {bikes/bitters/linux} nerd ]
[ google voice: 909.SHBYCHF        shabbychef a.t gmail d0t com ]
[ parent of tinyurl.com/oskarpix                                ]
[ a palindrome:                              zoos sure Russo Oz ]


------------------------------------------------------------------------------
The Next 800 Companies to Lead America's Growth: New Video Whitepaper
David G. Thomson, author of the best-selling book "Blueprint to a
Billion" shares his insights and actions to help propel your
business during the next growth cycle. Listen Now!
http://p.sf.net/sfu/SAP-dev2dev
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Luigi Ballabio]

On Mon, 2010-11-08 at 09:47 -0800, steven e. pav wrote:
> > It sounds like the library thinks the instrument is expired and skips the
> > calculation.
> > Are you settings the evaluation date correctly? (Look for where
> > Settings::instance().evaluationDate() is set in the standalone.)
>
> I do not think that is the problem. I tried an even simpler version of the
> code [...]

Hmm. In this case, I'm afraid I have no idea.  You can try stepping
through the code in a debugger, if Matlab allows it, or at least adding
some print statement in the performCalculation() method of the
instrument and the calculate() method of the engine to try and see
what's happening...

Luigi


--

There are two ways to write error-free programs; only the third one
works.
-- unknown



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