Usage and development of QuantLib, a library for modeling, trading, and risk management. Topics about quantitative finance in general are also accepted.

sergvil | 7 Feb 06:03

.NET Framework 4.0 Application Runtime Exceptions Problem


Hello,

I have been working with QuantLib since Oct'11 and I think it works great. I
used it with .NET Framework 3.5 and it worked perfectly. I use QuantLib and
SWIG for C#.

Now I am developing a .NET Framework 4 WPF application with some Quantlib
Bond Calculations and I am having some problems:

When I make some testing, each time the app tries to create any QuantLib
object or tries to execute any method it throws this exception (click on
name for description):

http://msdn.microsoft.com/es-es/library/0htdy0k3%28v=vs.100%29.aspx
pInvokeStackImbalance 

When I try the application on Visual Studio and I have
PInvolkeStackImbalance activated on MDA exceptions, I use to receive several
PInvoke warnings (green coloured) on each execution, but application works
perfectly. But when I try to execute on Windows, those warnings are
exceptions that cause application to crash.

I tried to fix it making some modifications on QuantLib_vc10 project. I
found at other forum this solution for the exception we are talking about:

On each dll method call defined on NQuantLibcPINVOKE that throws the
exception, like this:

  [DllImport("NQuantLibc", EntryPoint="CSharp_new_TARGET")]

(Continue reading)

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Luigi Ballabio | 6 Feb 23:22

QuantLib course

Hi all,
    I'm not sure that this fits the mailing-list charter, so I'll keep
it short.  Thanks to MoneyScience, I'll be teaching a QuantLib course
on May 21-23rd. Details at <http://goo.gl/co0uG>.

Over and out,
    Luigi

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Marie-Aude BRUANT | 27 Jan 18:26

PricingEngine for American and European option with discrete dividends

Dear all,

I’m trying to use QuantLib for the valuation of DividendVanillaOption. (I’m
a new and impressed user)
I’ve made a little test to check the consistency of the results:
I’ve assumed that the underlying pays discrete dividends equal to 0, and
compare with an underlying who doesn’t pay any dividend.
In the European exercise case, all it’s OK. However, in the American
exercise case they are a difference. :( In this context, they must be all
equal.
I use the PricingEngine FDDividendAmericanEngine and FDAmericanEngine for
American exercise and AnalyticDividendEuropeanEngine and
AnalyticEuropeanEngine for European exercise.

///////////////////////////  RESULTS 
////////////////////////////////////////////////
Description of the option:        IBM Option
Date of maturity:                       January 26th, 2013
Type of the option:                   Call
Strike of the option:                  190
Discrete dividends
Dates                           Dividends
February 10th, 2012             0
May 10th, 2012        	        0
August 10th, 2012               0
November 10th, 2012             0
NPV of the European Option with discrete dividends=0:   	17.9647
NPV of the European Option without dividend:			 17.9647
NPV of the American Option with discrete dividends=0: 	18.5707
NPV of the American Option without dividend: 			17.9647

(Continue reading)

headers

Marie-Aude BRUANT | 27 Jan 18:33

PricingEngine for American and European option with discrete dividends

Dear all,

I’m trying to use QuantLib for the valuation of DividendVanillaOption. (I’m
a new and impressed user)
I’ve made a little test to check the consistency of the results:
I’ve assumed that the underlying pays discrete dividends equal to 0, and
compare with an underlying who doesn’t pay any dividend.
In the European exercise case, all it’s OK. However, in the American
exercise case they are a difference. :( In this context, they must be all
equal.
I use the PricingEngine FDDividendAmericanEngine and FDAmericanEngine for
American exercise and AnalyticDividendEuropeanEngine and
AnalyticEuropeanEngine for European exercise.

///////////////////////////  RESULTS 
////////////////////////////////////////////////
Description of the option:        IBM Option
Date of maturity:                       January 26th, 2013
Type of the option:                   Call
Strike of the option:                  190
Discrete dividends
Dates                           Dividends
February 10th, 2012             0
May 10th, 2012        	        0
August 10th, 2012               0
November 10th, 2012             0
NPV of the European Option with discrete dividends=0:   	17.9647
NPV of the European Option without dividend:			 17.9647
NPV of the American Option with discrete dividends=0: 	18.5707
NPV of the American Option without dividend: 			17.9647

(Continue reading)

headers

Smith, Dale | 26 Jan 22:08

Source of cached NPV for caps and floors

Hello,

After reading the source for the capfloor.cpp unit test, I realized there is no indication of how the cached values in CapFloorTest::testCachedValue are calculated. Ditto for the other hard-coded values in the other methods. Does anyone know the source for these calculations? I did a Google search to make sure this wasn’t answered already on the mailing list. I can’t find anything relevant, so pointers to any previous message threads are appreciated.

Thanks,

Dale Smith, Ph.D.

Senior Financial Quantitative Analyst

Risk & Compliance

Fiserv.

107 Technology Park

Norcross, GA 30092

Office: 678-375-5315

Mobile: 678-982-6599

Mail: dale.smith <at> fiserv.com

www.fiserv.com

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Tawanda Gwena | 24 Jan 01:05

QuantLib on iPhone

Hi all,

I've added great functionality to my QuantLib project on the iPhone. I hope Apple's

conditions on apps are now lenient enough to allow it on the store.

New features include:

an extensive graphics library

direct downloading of historical stock and currency data

Here is the youtube video.

http://www.youtube.com/watch?v=Ck3SMXybFZ8

Please do send me comments on tgwena <at> gmail.com

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Luigi Ballabio | 23 Jan 17:33

Re: Double barrier options in QL?

On Mon, Jan 23, 2012 at 3:43 PM, Giorgio Pazmandi
<g.pazmandi <at> themaconsulting.ch> wrote:
>    I have seen that the current version of QL supports single barrier
> options (Down/Up and In/Out), but I didn't see any support for double
> barrier ("corridor") options. Is there an implementation that I did not
> find? If not, is support for such instruments planned in one of the next
> releases?

No, there's no such implementation.  There are no plans either, as far
as I know.

Luigi

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Giorgio Pazmandi | 23 Jan 15:43

Double barrier options in QL?

Hi all,

I have seen that the current version of QL supports single barrier options (Down/Up and In/Out), but I didn't see any support for double barrier ("corridor") options. Is there an implementation that I did not find? If not, is support for such instruments planned in one of the next releases?

Thank you in advance and best regards,

Giorgio Pazmandi

THEMA Consulting

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Christoph Breig | 22 Jan 23:11

Volatility Surface

Hi all,

is there any possibility to create a volatiltiy surface from which I can draw an implied vola for a given moneyness and a given maturity (including extrapolation)?

Cheers and thx

Chris

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StephenWong | 13 Jan 02:26

ConvexMonotone Interpolator compatible with PiecewiseYieldCurve?


Hi all,

Does anyone know if the class PiecewiseYieldCurve can be used with the
ConvexMonotone Interpolator or not?

I seem to be able to only use the Linear, LogLinear or Cubic Interpolator
with PiecewiseYieldCurve but not ConvexMonotone. If I use the latter exactly
like how I use the formers with the PiecewiseYieldCurve in pricing
something, say some bonds, I run into problems.

Anyone is able to use it successfully?

Thanks!

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Dagur Gunnarsson | 6 Jan 23:52

Fixed rate bond

hello,

Is there a simple way to simulate a bond(fixed rate) that pays a single coupon on the maturity day as well as the principal, in QuantLib. I have tried to create a Fixed rate bond that has the FirstCouponDate = MaturityDate = FirstInstallmentDate but then I get the error std::exception: first date (March 10th, 2015) out of effective-termination date range [March 10th, 2003, March 10th, 2015)...

regards
D.G.

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