SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by lballabio
February 24th, 2016, 1:04 pm
Forum: General Forum
Topic: difference between interpolation and bootstrapping
Replies: 5
Views: 1694

difference between interpolation and bootstrapping

<t>When interpolating, you have a set of (say) times t_i, a set of quantities x_i (for instance, discount factors) and you simply interpolate values between them.When bootstrapping, you have the t_i and a set of f(x_0, x_1, ..., x_i) (for instance, swap rates, which depend on a series of discount fa...
by lballabio
August 26th, 2015, 7:01 am
Forum: General Forum
Topic: Building time-dependent sigma of HullWhite tree using Quantlib
Replies: 1
Views: 2645

Building time-dependent sigma of HullWhite tree using Quantlib

Yes, a and sigma are constant.There's an implementation with variable a and sigma in <ql/experimental/shortrate/generalizedhullwhite.hpp>. I haven't tried it, though.
by lballabio
August 5th, 2015, 7:11 am
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9718

virtual calls overhead / crtp

And yes, I remembered a performance gain around 10x, so the 13x factor you measured agrees with that.
by lballabio
August 5th, 2015, 7:08 am
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9718

virtual calls overhead / crtp

Yes. There's no relation between Template Method Pattern (which, BTW, doesn't even involve templates) and template metaprogramming. It's just unfortunate that they share the same initials. TMP usually refers to the second.
by lballabio
August 3rd, 2015, 8:17 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9718

virtual calls overhead / crtp

<t>QuoteOriginally posted by: CuchulainnQuote(Also, after a while I realized that for most classes I didn't really need CRTP, templates were enough. Oh well.)For good or bad, software styles are driven by developer preferences (and prejudices.) It is not Theology. Yes, but there are constraints. Ass...
by lballabio
August 3rd, 2015, 8:08 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9718

virtual calls overhead / crtp

Not sure I've got it---which one is 1m10? Before or after the change? Do you see any difference between 27d8ae0 and 84f3208 if you compile them both?
by lballabio
August 3rd, 2015, 3:25 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9718

virtual calls overhead / crtp

<t>Peter, the change was in revision 27d8ae0. The previous revision was 84f3208. It's from 10 years ago, so I'm not sure that they will compile with a modern Boost version. Let me know if you get them working. For comparison, you can run the BermudanSwaption example before and after the change.(Also...
by lballabio
August 1st, 2015, 5:33 pm
Forum: Programming and Software Forum
Topic: virtual calls overhead / crtp
Replies: 61
Views: 9718

virtual calls overhead / crtp

<t>Hi Peter, I had huge gains when we moved trees in QuantLib from virtual methods to CRTP, but I don't have a simple example. I might try to retrieve the change from version control.It was quite a few years ago, though, and compilers might have improved in the meantime and made it less of a differe...
by lballabio
May 21st, 2015, 4:31 pm
Forum: General Forum
Topic: For fun, but not entirely: quantitative finance in commonly-used words
Replies: 4
Views: 3579

For fun, but not entirely: quantitative finance in commonly-used words

The online Up-Goer Five text editor only allows you to use the 1000 most common English words and their derivatives (that is, it will underline and reject the others).Can you use it to write what quantitative finance is? And will it give us some new insight into it? :)
by lballabio
May 20th, 2015, 7:49 am
Forum: Programming and Software Forum
Topic: Quantlib projects UML class diagram ?
Replies: 9
Views: 25319

Quantlib projects UML class diagram ?

<t>QuoteOriginally posted by: studentttI personally don't use the Doxygen documentation because it's useless. The software architecture is too hard for the Doxyen documentation. I can get better understanding by:1. Running the examples and trace out how the results are calculated2. Run the C# QuantN...
by lballabio
February 6th, 2015, 1:26 pm
Forum: Programming and Software Forum
Topic: GitHub
Replies: 29
Views: 8524

GitHub

Yep, great.
by lballabio
December 2nd, 2014, 3:41 pm
Forum: Book And Research Paper Forum
Topic: Poll: for how much would you buy a book on "Getting Started with QuantLib"?
Replies: 71
Views: 12493

Poll: for how much would you buy a book on "Getting Started with QuantLib"?

<r>Just a quick note: my docs have grown somewhat since 2010, and the URL is no longer the one quoted in the previous post but <URL url="http://implementingquantlib.blogspot.com/p/the-book.html"><LINK_TEXT text="http://implementingquantlib.blogspot.co ... -book.html">http://implementingquantlib.blog...
by lballabio
November 30th, 2014, 3:39 pm
Forum: Programming and Software Forum
Topic: C++ quiz --- generic programming
Replies: 146
Views: 147529

C++ quiz --- generic programming

<t>QuoteOriginally posted by: outrunFor the sake of good understanding and people not learning wrong things from a technical quiz: The captured variables *are* function objects!Correct. the lambda is actually an instance of some kind of anonymous class, internally defined by the constructor, that st...
by lballabio
November 29th, 2014, 7:21 pm
Forum: Programming and Software Forum
Topic: C++ quiz --- generic programming
Replies: 146
Views: 147529

C++ quiz --- generic programming

I don't have much experience with C++14 yet, but I think that would beauto g = [f,y](auto x) { return f(x) - y; };(disclaimer; I haven't tried it.)
by lballabio
October 1st, 2014, 12:50 pm
Forum: The Quantitative Finance Code Library Project
Topic: Learning Quantlib
Replies: 29
Views: 13817

Learning Quantlib

<t>Oh, I'm terrible at estimates Porting: not much. Days at most? If I'm not misunderstanding the idea, we're talking about replacing the implementation of a limited number of classes and keeping the interfaces. The existing structure would give a guide.Testing: quite a bit more. And we're dealing w...
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