test suite link error

hi all,
so at the beginning I was not able to build test suiteat all, but after
rebuild boost by running bootstrap libboost_unit_test_framework lib has been
created, but... now I get this linker error:

InitializeBuildStatus:
  Touching ".\build\vc100\Win32\Debug\testsuite.unsuccessfulbuild".
ClCompile:
  All outputs are up-to-date.
Link:
     Creating library bin\QuantLib-test-suite-vc100-mt-gd.lib and object
bin\QuantLib-test-suite-vc100-mt-gd.exp
hybridhestonhullwhiteprocess.obj : error LNK2019: unresolved external symbol
"public: __thiscall
QuantLib::SobolBrownianBridgeRsg::SobolBrownianBridgeRsg(unsigned
int,unsigned int,enum QuantLib::SobolBrownianGenerator::Ordering,unsigned
long,enum QuantLib::SobolRsg::DirectionIntegers)"
(??0SobolBrownianBridgeRsg <at> QuantLib@@QAE <at> IIW4Ordering <at> SobolBrownianGenerator <at> 1@KW4DirectionIntegers <at> SobolRsg <at> 1@@Z)
referenced in function "public: static void __cdecl
HybridHestonHullWhiteProcessTest::testZeroBondPricing(void)"
(?testZeroBondPricing <at> HybridHestonHullWhiteProcessTest@@SAXXZ)
hybridhestonhullwhiteprocess.obj : error LNK2019: unresolved external symbol
"public: unsigned int __thiscall
QuantLib::SobolBrownianBridgeRsg::dimension(void)const "
(?dimension <at> SobolBrownianBridgeRsg <at> QuantLib@@QBEIXZ) referenced in function
"public: __thiscall QuantLib::MultiPathGenerator<class
QuantLib::SobolBrownianBridgeRsg>::MultiPathGenerator<class
QuantLib::SobolBrownianBridgeRsg>(class boost::shared_ptr<class
QuantLib::StochasticProcess> const &,class QuantLib::TimeGrid const &,class

Looping dependencies

I noticed that the current implementation of LazyObjects generates
infinite recursions
in the case the dependency hierarchy among Observer/Observable objects
contains loops.

A suggestion to break the infinite recursion is to replace the update()
method as follows:

 void LazyObject::update() {

      if (!frozen_&& calculated_){
        //
        // Set calculated_=false before calling notifyObservers()
        //
        calculated_ = false;

        notifyObservers();
      }

      calculated_ = false;
 }

Luca

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Is this design ok?

Hello Luigi,

I want to add a new model to the lib. The model observes a yield term 
structure and a volatility structure. Whenever one of them changes a 
method update1() shall be called. Furthermore the model has a (piecewise 
constant) parameter that can be calibrated to additional instruments. 
When this parameter changes, another method update2() should be called. 
In fact, update1() calls update2(). Both methods update1() and update2() 
need some computation time, so in particular during calibration 
update1() should _not_ be called. Finally, the model should be a 
LazyObject, because multiple changes in market data (say a parallel 
shift in the volatility surface) should trigger only one call of update1().

I think I have a solution, but I want to learn a bit about the libs 
design and I want to be sure to be in line with this design and not have 
overseen something. So could you please have a look?

My first attempt was the following: Let the model inherit from 
TermstructureConsistentModel, CalibratedModel and LazyObject. However, 
when calling registerWith(myYts's), this registration is ambiguous 
because both LazyObject and CalibratedModel derive from Observer, but in 
the case of CalibratedModel this is no virtual inheritance. So my first 
question would be: Is there a special reason for that or could the 
declaration also be CalibratedModel : public virtual Observer, ... ? 
Given I would change that, I need to overwrite the update() method in my 
model then basically calling LazyObject::update(). The 
performCalculations() implementation in my model would call update1() 
and update2().

The next problem occurs in the setParams() method of CalibratedModel 

RE Willing to contribute to Quantlib

Salut Maxime.

A straight way to submit your developments is via the Quantlib page on sourceforge. Right?

Are you aware of researches based on the Schwartz & Smith's paper? (I mean it is quite 'old' now. Right?)

For my part, I'm interested in your development process, from the implementation of the model to your
"thinking of" the C++ code. I have very few experience on that. I'd be keen to discuss with you, If you wish.

Anyway, good luck.
Edouard

--
http://quantcorner.wordpress.com

8. Willing to contribute to Quantlib (Maxime Biette)

===========================
Message: 8
Date: Fri, 27 Jan 2012 08:52:44 +0100
From: Maxime Biette 
Subject: [Quantlib-dev] Willing to contribute to Quantlib
To: "quantlib-dev <at> lists.sourceforge.net"
	
Message-ID: 
Content-Type: text/plain; charset="utf-8"

Dear Quantlib community,

I'm contacting you today to submit you a proposal related to QuantLib. I'm

Willing to contribute to Quantlib

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Teaching myself Quantlib

I've taken a bunch of programming courses and I'm now looking for a
way to learn programming in an applied way.  What exercises would you
suggest for a beginner, over let's say a year,  to get up to speed to
become capable of making a real contribution to the Quantlib project?

I'm no longer in school, but I have a whole lot of spare time when I'm
not at my non-programming job.  I'm really interested in teaching
myself.

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comment in InverseCumulativeRsg

Silly one really, but line 62 of ql/math/randomnumbers/inversecumulativersg.hpp 
reads:
//! returns next sample from the Gaussian distribution

not necessarily 'Gaussian' right?

Rgds
PP

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[ quantlib-Bugs-3476025 ] Code error in fdmblackscholesmesher.cpp

Bugs item #3476025, was opened at 2012-01-19 04:33
Message generated for change (Tracker Item Submitted) made by simon_ibbotson
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3476025&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Simon  (simon_ibbotson)
Assigned to: Nobody/Anonymous (nobody)
Summary: Code error in fdmblackscholesmesher.cpp

Initial Comment:
Line 68 currently reads
"   std::pair<Real,Real>(std::log(cPoint.first),cPoint.second)));"
it should read
"  std::pair<Real,Real>(std::log(cPoint.first),std::log(cPoint.second))));

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Re: how to improve the speed of developing the source code?

[Note: please leave the mailing list in cc. The discussion might be
useful to others.]

On Fri, Jan 13, 2012 at 11:04 AM, Laser Yuan <laser.yuan <at> gmail.com> wrote:
> It looks like I do need to modify the head file frequently. I'm in debug
> mode.
> My objective is to modify the LongstaffSchwartzPathPricer by using a
> different payoff function whose independent variables are underlying price,
> time to expiry, drift, diffusion instead of the strike price.
> I also want to test it with O-U stochastic process instead of GBM.

Still, modifying ql/methods/montecarlo/longstaffschwartzpathpricer.hpp
should only cause you to recompile a handful of files in the library,
a couple in the test suite, and the examples.  It shouldn't take this
much.  What files does your IDE recompile?

Luigi

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how to improve the speed of developing the source code?

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