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outrun
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Re: Using Quantlib

December 21st, 2017, 12:59 pm

 He answers approx one in 20 questions.
That's way above average for these lads. 

BTW QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution.
maybe there already before 1.57.. or to cut dependencies on other frameworks like boost?
 
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Billy7
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Re: Using Quantlib

December 21st, 2017, 1:04 pm

 
BTW QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution.
Why shouldn't Boost use it there. It is about normal distribution specifically.
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 1:57 pm

Did another test (E, F) in the background with NSIM = 10^7.

Price Boost: 5.84455,
Price C++11: 5.84455,
 
Price Boost: 5.84549,
Price C++11: 5.84549,
 
Price Boost: 5.84777,
Price C++11: 5.84777,
 
Price Boost: 5.84955,
Price C++11: 5.84955,
 
Price Boost: 5.84874,
Price C++11: 5.84874,
 
Price Boost: 5.84607,
Price C++11: 5.84607,
 
Price Boost: 5.84592,
Price C++11: 5.84592,
 
Price Boost: 5.84628,
Price C++11: 5.84628, 
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 2:00 pm

 He answers approx one in 20 questions.
That's way above average for these lads. 

BTW QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution.
maybe there already before 1.57.. or to cut dependencies on other frameworks like boost?
Maybe. I only have >= 1.59 on my system.
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 2:01 pm

 
BTW QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution.
Why shouldn't Boost use it there. It is about normal distribution specifically.
Sorry, what's  "it there"?
 
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Billy7
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Re: Using Quantlib

December 21st, 2017, 2:05 pm

 
BTW QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution.
Why shouldn't Boost use it there. It is about normal distribution specifically.
Sorry, what's  "it there"?
Cuch wrote: " QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution" :-)
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 2:14 pm

Why shouldn't Boost use it there. It is about normal distribution specifically.
Sorry, what's  "it there"?
Cuch wrote: " QL has Ziggurat in an experimental directory. Don't know why because Boost uses it in boost::notmal_distribution" :-)
What I was trying to say was both Boost and QL implement Ziggurat. QL code is more compact on inspection and let coupling.
Last edited by Cuchulainn on December 21st, 2017, 2:50 pm, edited 1 time in total.
 
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Billy7
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Re: Using Quantlib

December 21st, 2017, 2:16 pm

Duh...I just realised I had read the above as "Don't know why Boost uses it ", without the "because". That's what happens when you do 3-4 things at the same time. I still don't understand why you are wondering about QL having it in experimental (probably because they haven't had time to test it properly yet). EDIT: Oh I see, you're saying why bother implementing altogether since Boost has it and QL uses Boost. Maybe QL had implemented it in Experimental before Boost added it.
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 2:53 pm

Duh...I just realised I had read the above as "Don't know why Boost uses it ", without the "because". That's what happens when you do 3-4 things at the same time. I still don't understand why you are wondering about QL having it in experimental (probably because they haven't had time to test it properly yet). EDIT: Oh I see, you're saying why bother implementing altogether since Boost has it and QL uses Boost. Maybe QL had implemented it in Experimental before Boost added it.
:)
I'm glad I did not put kommas in there.
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 3:49 pm

BTW Boost use Ziggy stardust since 1.59. I suppose it is more intensive than MT?
This is confusing. The Ziggurat takes a uniform variate (provided by some RNG like MT) and turns it into a normal variate.
MT is an RNG. Unless of course you mean something else by MT other than Mersenne Twister?
I mean: the amount of computational effort to compute a rng versus computing N(0,1).
They I select the best combi e.g. Boost MT with C++ Normal, whatever.

MT and N() are orhogonal, of cousse.
 
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outrun
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Re: Using Quantlib

December 21st, 2017, 3:55 pm

Why would you need to know the relative time between the two concepts?

You can time engines and distributions individually, there is no dependency in computational effort between the two.
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 3:56 pm

Why would you need to know the relative time between the two concepts?

You can time engines and distributions individually, there is no dependency in computational effort between the two.
I select the best combi e.g. Boost MT with C++ Normal, whatever.
?
 
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outrun
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Re: Using Quantlib

December 21st, 2017, 4:11 pm

Why would you need to know the relative time between the two concepts?

You can time engines and distributions individually, there is no dependency in computational effort between the two.
I select the best combi e.g. Boost MT with C++ Normal, whatever.
?
Yes I understand. So you can time the various MTs, pick the fastest, then time the various normal_distributions, pick the faster.. there is no cross term when you combine them.
 
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Cuchulainn
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Re: Using Quantlib

December 21st, 2017, 4:26 pm

Why would you need to know the relative time between the two concepts?

You can time engines and distributions individually, there is no dependency in computational effort between the two.
I select the best combi e.g. Boost MT with C++ Normal, whatever.
?
Yes I understand. So you can time the various MTs,  pick the fastest, then time the various normal_distributions, pick the faster.. there is no cross term when you combine them.
Yes, that's the emerging aha erlebnis. We are not forced to use _solely_ Boost or C++11.
 
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outrun
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Re: Using Quantlib

December 21st, 2017, 4:33 pm

I select the best combi e.g. Boost MT with C++ Normal, whatever.
?
Yes I understand. So you can time the various MTs,  pick the fastest, then time the various normal_distributions, pick the faster.. there is no cross term when you combine them.
Yes, that's the emerging aha erlebnis. We are not forced to use _solely_ Boost or C++11.
As long as you stick to C++11 conforming concepts. QL has an MT, right? But can you use it with xxx::normal_distribution?
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