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http://quantlib.org/download.shtml
gotta try it today and report my impressions. |
www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students |
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Guys, it works!
The instruction here is good but a little bit obsolete.
So howto quickly build QuantLib 1.1 with VS2010:
1. Download QuantLib 1.1. and boost (I used v1.46.1), unpack to D:\sandbox
2. Open VS2010, choose Tools -> Visual Studio Command Prompt
3. >cd d:\sandbox\boost_1_46_1
4. >bootstrap.bat (this will build bjam.exe)
5. >bjam --build-type=complete --toolset=msvc install
6. ............ PATIENCE!..........................
7. Finally, bjam will create a folder c:\boost
8. In VS2010 open D:\Sandbox\QuantLib-1.1\QuantLib-1.1\QuantLib_vc10.sln
9. In Solution Explorer select all projects, goto configurations properties -> VC++ Directories and add
a) to Include Directories C:\Boost\include\boost-1_46_1
b) to Library Directories C:\Boost\lib
10. Build solution, have fun! |
www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students |
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Dimatrix
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| Total Posts: 539 |
| Joined: May 2006 |
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| You are very excited about it. Aren't you? |
Ctrl - L. |
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pj
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I am interested as well.
Aren't you? |
вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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Dimatrix
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Yes yes. I've contributed code and more to the latest release (and previous ones). I was just very amused about the "Guys, it works!" statement. As if QuantLib would be a dubious medicine
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pj
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> As if QuantLib would be a dubious medicine
 |
вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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> As if QuantLib would be a dubious medicine
hehe. For me it actually is: Implementing eastern holidays by myself is just a pain in the ass. |
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>Yes yes. I've contributed code and more to the latest release (and >previous ones). I was just very amused about the "Guys, it works!" >statement. As if QuantLib would be a dubious medicine
It is not a dubious medicine, it is just a gun, heavy enough to shoot your own foot :)
I think no one will doubt the power of QuantLib. But the usability...
I talked to many C++ Quant-Developers, from novices to experts with 10+ years experience, none of them finds QuantLib user-friendly.
Some companies tried it but dropped.
As I, myself, started with QuantLib, I could relatively easy set up boost via the boostpro's installer. In such a way QuantLib can be compiled but the unit-test-suite not!
(Later I have found howto setup the boost via bjam, so that everything works).
Another problem: before the version 1.1 there was no straightforward way to use QuantLib with VS2010. A naive way just to convert vs9-files didn't work.
One more remark: an excellent tutorial by Dimitri Reiswich has become just recently available.
Implementing Quantlib by Luigi Ballabio, which was longer time there, does not bring much (well, ihmo).
So just recently one had to start without a good starting point.
And the last but not the least: VS has a powerful debugger but the data structures in QuantLib are very debugging-unfriendly.
Even tricking with autoexp.dat (s. https://svn.boost.org/svn/boost/sandbox/boost_docs/subprojects/DebuggerVisualizers/) does not help much.
And even such a simple class as Date cannot be overridden in autoexp.dat to dd:mm:yyyy format!
I think now my excitement about "it works!" becomes clear :)
P.S.
I know that one shouldn't look a gift horse in the mouth
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www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students |
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pj
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> I know that one shouldn't look a gift horse in the mouth
Timeo Danaos et dona ferentes
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вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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Update: howto build QuantLib 1.2.1 + boost_1_52_0 in VS2012
To build boost follow this (http://stackoverflow.com/questions/12149524/build-boost-with-vs2012-rc)
- change directory to boost_1_51_0-x64\tools\build\v2
- execute bootstrap.bat (not from the the native x64 comand prompt - just double click it)
- copy b2.exe back to boost_1_51_0-x64 dir
- change directory to boost_1_51_0-x64
- execute b2
After b2 builds boost it will display the message like this:
The Boost C++ Libraries were successfully built!
The following directory should be added to compiler include paths: D:/sandbox/boost_1_52_0/boost_1_52_0
The following directory should be added to linker library paths:
D:\sandbox\boost_1_52_0\boost_1_52_0\stage\lib
So far there is no QuantLib_vc11.sln but VS2012 successfully imports QuantLib_vc10.sln
In Solution Explorer select all projects, (right mousebutton click) -> Properties -> VC++ Directories and add
a) to Include Directories D:/sandbox/boost_1_52_0/boost_1_52_0
b) to Library Directories D:\sandbox\boost_1_52_0\boost_1_52_0\stage\lib
Build solution.
QuantLib builds successfully but other projects do not. To fix it, goto
D:\sandbox\QuantLib-1.2.1\ql\auto_link.hpp and replace
error "unknown Microsoft compiler"
with
define QL_LIB_TOOLSET "vc100"
Rebuild solution.
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www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students |
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Polter
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Nice; my 2c:
For Boost Pre-Built Binaries head to http://boost.teeks99.com/ // http://boost-win.tumblr.com/
You can get the VC11 project files from the QuantLib SVN Repository -- either just check out the entire trunk, or just get these
QuantLib_vc11.sln
QuantLib_vc11.vcxproj
QuantLib_vc11.vcxproj.filters
from here (what I did was to build the latest revision from the SVN repo, worked just fine with the above-mentioned binaries, YMMV).
HTH :-) |
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Strange
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| On a topic of quantlib, it would be useful to have a practical set of examples for generic things like fitting a regular swap curve (cash/eurodollars/swaps), fitting a listed equity vol surface etc. I looked into using it and found it nearly impossible to figure out how to build anything usable. |
'Progress just means
bad things happen faster.’
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>On a topic of quantlib, it would be useful to have a practical set of >examples for generic things like fitting a regular swap curve
Yes, it is very hard to get started with QL just by reading its code.
But there is a rich test-suite that covers most of use cases.
Additionally, google helps :)
As to "fitting a regular swap curve (cash/eurodollars/swaps)", have a look at \Examples\Swap\swapvaluation.cpp - how the yield term structures are constructed by means of different RateHelpers |
www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students |
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nikol
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Totally agree. 2 years ago my biggest problem was to install it within my Windows environment using free MS VS C++. At the end, I was able to run and modify the wanted examples of swaps and swopt bermudans. A lot of work is shared there. Also good framework to start with if you want to adopt it to your requirements.
Solid package.
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... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c) |
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mtsm
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When is the last time you checked Strange? It's pretty easy to get started with ql nowadays. Two books have been published on the library and there are some (crappy) awig python wrappers you can use. It's pretty easy to build a curve in ql. You can just replicate a couple of jupyter notebooks for that. It would take you less than half a day all in.
The main problem with ql imho is that it's an antiquated library written by people who have spent more time studying c++ in theory than working in the industry writing and maintaining an actual production system. There is something pretty dorky about the religious use of templates and design patterns in that library, which makes an otherwise useful toolkit sort of hermetic. It's really quite sad to be honest.
There is a more recent set of extensions written on top of it, don't know if you know it. |
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Strange
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| Total Posts: 1684 |
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> There is a more recent set of extensions written on top of it, don't know if you know it.
No, never heard of it. Could you point to them? |
'Progress just means
bad things happen faster.’
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mtsm
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Sure, it's all here:
https://github.com/OpenSourceRisk
http://www.opensourcerisk.org/
Check out the repository. So it's sadly not deviating dramatically away from the old ql style, but it's a non-trivial superset.
If there are drinks in NYC and I go, we could discuss.
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