Does anyone try to use the code in cd "In Modelling Derivatives in C++" ?Apparently it doen't work at all...I'm in trouble with Hull And White calibration...page 450: the code is different from cd. The CD doesn't work (the library "volatility.lib" is missing"). Any Feedback?

See 'Nando ametrano comments in Book thread. He and Luigi are mr. Quantlib.

germoz,from a cursory look at the book I had suspected that some code wouldn't compile---it seems like I was right.Anyway: the Hull-White calibration code is basically the 'BermudanSwaption' example distributed with QuantLib, except for the fact that the code in the book is kind of old. You can download a more recent release of QuantLib and use that instead (if you're not in a hurry, I suggest that you wait a few days; we'll release the 0.3.9 version shortly.)Luigi

thanks luigi very good....I used 0.3.8 It works very well....In quantlib is there any code about cms convexity?RegardsGermoz

QuoteOriginally posted by: lballabiogermoz,from a cursory look at the book I had suspected that some code wouldn't compile---it seems like I was right.Anyway: the Hull-White calibration code is basically the 'BermudanSwaption' example distributed with QuantLib, except for the fact that the code in the book is kind of old. You can download a more recent release of QuantLib and use that instead (if you're not in a hurry, I suggest that you wait a few days; we'll release the 0.3.9 version shortly.)LuigiGermoz is always in a hurry, look at his icon, I'm getting dizzy Germoz, do you programs it in C++ or VB?

First in VB and than I try in C++....I think it is easier to manage more complex problems in C++....the problem could be to learn a good C++ to have a easier life later...It could be a good investment....always runnning.... germoz

QuoteOriginally posted by: germozFirst in VB and than I try in C++....I think it is easier to manage more complex problems in C++....the problem could be to learn a good C++ to have a easier life later...It could be a good investment....always runnning.... germozI know C++ but life is not getting easier. Tell me the secret of happiness!

QuoteOriginally posted by: germozthanks luigi very good....I used 0.3.8 It works very well....Well, kind of There was an issue which could cause Bermudan swaption results to be incorrect---version 0.3.9 (hopefully out by the end of this month) will fix the issue.QuoteIn quantlib is there any code about cms convexity?Not yet---we'd accept contributions gladly If you have a mind to work on that, post on the QuantLib mailing list; I'll give you some suggestions as to what code to reuse and where new code could be plugged.Luigi

QuoteOriginally posted by: lballabioQuoteOriginally posted by: germozthanks luigi very good....I used 0.3.8 It works very well....Well, kind of There was an issue which could cause Bermudan swaption results to be incorrect---version 0.3.9 (hopefully out by the end of this month) will fix the issue.QuoteIn quantlib is there any code about cms convexity?Not yet---we'd accept contributions gladly If you have a mind to work on that, post on the QuantLib mailing list; I'll give you some suggestions as to what code to reuse and where new code could be plugged.LuigiIf germoz wants some help with C++, you know where I hang out (i.e. here Calabrese)

I also have this trouble The CD doesn't work (the library "volatility.lib" is missing").I try changing quantlib 0.3.10, but it still doesn't work.Please help

Forget the code in the book.Use the BermudanSwaption example in the QuantLib distribution.

the code in the book doesn't work right away. quite a bit of modifications are necessary... as lballabio mentioned, best to use Quantlib (because that's what the majority of code in the book is anyways)...i think the second edition, iff the author dutifully implements the non-derogatory comments and corrections from the ahem! ...legions of purchasers, then the book may become useful ...