using special functions and statistical distributions from boost::math?

[R Yan]

For example, in ql/math/distributions, many distributions are implemented.

 

However, the same functionalities are already implemented in boost::math.

Maybe it's a good idea to use the boost impl?

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[Luigi Ballabio]

On Sun, 2011-10-02 at 09:13 +0800, R Yan wrote:
> For example, in ql/math/distributions, many distributions are
> implemented.
>  
> However, the same functionalities are already implemented in
> boost::math.
>
> Maybe it's a good idea to use the boost impl?

Yes, if we can do so without losing backward compatibility and
precision.

Luigi


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Therefore, if you write the code as cleverly as possible, you are,
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[Nicolai Lassesen-4]

Luigi Ballabio <luigi.ballabio <at> gmail.com> writes:

>
> On Sun, 2011-10-02 at 09:13 +0800, R Yan wrote:
> > For example, in ql/math/distributions, many distributions are
> > implemented.
> >  
> > However, the same functionalities are already implemented in
> > boost::math.
> >
> > Maybe it's a good idea to use the boost impl?
>
> Yes, if we can do so without losing backward compatibility and
> precision.
>
> Luigi
>

I investigated the issue of using boost functions a while ago. If I recal it
correctly the conclusion was that using the boost distribution functions would
make QuantLib depend on some boost lib files, which wasn't regarded as
desirable. Furthermore someone (I don't remember who) tested the QuantLib
functions to be more efficient (less time-consuming) than the boost ones

The conclusion was to keep using current QL implementation and leave it to
users to do the changes if they desired to use the boost ones instead

Br,
Nicolai



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[Kim Kuen Tang]

Am 13.10.2011 12:57, schrieb Nicolai Lassesen:

> Luigi Ballabio<luigi.ballabio<at>  gmail.com>  writes:
>
>> On Sun, 2011-10-02 at 09:13 +0800, R Yan wrote:
>>> For example, in ql/math/distributions, many distributions are
>>> implemented.
>>>
>>> However, the same functionalities are already implemented in
>>> boost::math.
>>>
>>> Maybe it's a good idea to use the boost impl?
>> Yes, if we can do so without losing backward compatibility and
>> precision.
>>
>> Luigi
>>
> I investigated the issue of using boost functions a while ago. If I recal it
> correctly the conclusion was that using the boost distribution functions would
> make QuantLib depend on some boost lib files, which wasn't regarded as
> desirable.

Dont understand this point. QuantLib already depends on boost.

>   Furthermore someone (I don't remember who) tested the QuantLib
> functions to be more efficient (less time-consuming) than the boost ones
Hard to believe. Do you have a standalone example where i am able to
test the performance?

> The conclusion was to keep using current QL implementation and leave it to
> users to do the changes if they desired to use the boost ones instead
>
> Br,
> Nicolai
>
>
>
> ------------------------------------------------------------------------------
> All the data continuously generated in your IT infrastructure contains a
> definitive record of customers, application performance, security
> threats, fraudulent activity and more. Splunk takes this data and makes
> sense of it. Business sense. IT sense. Common sense.
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>

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[Luigi Ballabio]

On Thu, 2011-10-13 at 22:25 +0200, Kim Kuen Tang wrote:
> > I investigated the issue of using boost functions a while ago. If I recal it
> > correctly the conclusion was that using the boost distribution functions would
> > make QuantLib depend on some boost lib files, which wasn't regarded as
> > desirable.
> Dont understand this point. QuantLib already depends on boost.

He means that we would have to link to a Boost library.  Right now, we
just include header-only Boost modules, so there's no linking involved
and compilation is simpler.

Anyway, I'm in favour of using more Boost modules (not only math, but
for instance signals instead of the current observer/observable
classes).  However, we have backward compatibility to think of, so we
can't just remove the existing functions because people might be using
them.  Let's keep it in the list of things we'll do for QuantLib 2.0.

Luigi



--

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accounts, build a wall, set a bone, comfort the dying, take orders,
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problem, pitch manure, program a computer, cook a tasty meal, fight
efficiently, die gallantly. Specialization is for insects.
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[Kim Kuen Tang]

Am 14.10.2011 10:53, schrieb Luigi Ballabio:
> On Thu, 2011-10-13 at 22:25 +0200, Kim Kuen Tang wrote:
>>> I investigated the issue of using boost functions a while ago. If I recal it
>>> correctly the conclusion was that using the boost distribution functions would
>>> make QuantLib depend on some boost lib files, which wasn't regarded as
>>> desirable.
>> Dont understand this point. QuantLib already depends on boost.
> He means that we would have to link to a Boost library.  Right now, we
> just include header-only Boost modules, so there's no linking involved
> and compilation is simpler.

Hmmm QuantLib::testsuite is already using boost::testing. So the linking
is already there and no additional work needs to/ should be done.

> Anyway, I'm in favour of using more Boost modules (not only math, but
> for instance signals instead of the current observer/observable
> classes).  However, we have backward compatibility to think of, so we
> can't just remove the existing functions because people might be using
> them.  Let's keep it in the list of things we'll do for QuantLib 2.0.
>
> Luigi
>
>
>

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