I'm new using QuantLib. I would like to construct a bond curve using some parameters of NS model. All I found was the other way around, give some bonds and get the parameters.
For example, I want to construct a bond curve using NS with parameters [0.03;-0.02;0; 0.17; 0.08].
I tried to use "setPricingEngine" or "DiscountingBondEngine" what I was not lucky.
Any comment would be very helpful.
Thank You
There's no such possibility at this time. To enable it, you could do something like:
Add a constructor to the NelsonSiegelFitting class that takes the parameters and uses them to fill the solution_ array;
Add a constructor to the FittedBondDiscountCurve class that takes a pre-built fitting method and no bonds.
modify the calculate method of FittedBondDiscountCurve so that it skips the optimization if no bonds were given.
This way, you could build the NS fitting with the desired parameters, pass it to the curve, and then use the curve in the discounting engine.
If you manage it, please consider contributing your changes to the library.
Related
Is there a way to output the final tableau in python with docplex library? If not, is there a work around?
I want to use dual simplex method to solve linear programming problem with newly added constraints. So, I would need to access the final tableau to decide which variable to exit the basis, without having to re-solve the problem from scratch.
This sort of low level interaction cannot be done at the docplex level. In order to do this you can use Model.get_cplex() to get a reference to the underlying engine object. With this you can then get additional information. You can find the reference documentation for this class here. You probably want to look at the solution, solution.basis, solution.advanced properties. This should give you all the information you need.
Note that the engine works with an index oriented model in which every variable or constraint is just a number. You can convert docplex variable objects by using Model.get_var_by_index().
I also wonder whether you may want drop docplex and instead directly use the CPLEX Python API. You can find documentation of this here.
Using Microsoft Solver Foundation,I am trying to solve a linear program of the form Ax <= b where A is a matrix containing thousands of data points.
I know that I can new up a Model object and then use the AddConstraint method to add constraints in equation form. However putting those equations together where each contains thousands of variables is just not possible. I looked at the Model Class and can not find a way to just give it the matrix and other info.
How can I do this?
Thanks!
You can make A a parameter and bind data to it. Warning: Microsoft Solver Foundation has been discontinued a while ago, so you are advised to consider an alternative modeling system.
I am new to quantlib, but I have relatively good understanding of C++. To put my question in some sort of context, I can inform you that I am actually trying to implement the portfolio CVA calculation method proposed by Giovanni Cesari (see link below) for a simple portfolio consisting of one interest rate swap (as a starting point).
I working with the Cheyette (quasi-Gaussian) interest rate model. The model has been implemented as a "new" stochastic process class and the simulated paths stored/generated as a multipath class.
However, as Cesari's method is based on LS-Monte Carlo, I need to write a code that can generate the resulting cash flow sequence from an interest rate swap under each scenario. I do not know if there is some efficient way to do this in quantlib, but I have a feeling that there is. I guess one should be able let the scenarios generated, populate Quantlib quotes which are linked to an instance of the quantlib term structures class. Hopefully I can use this together with the swap class in order to obtain the realized cash flows (basically the floating leg, as the fixed leg is deterministic) from the swap.
Any idea of how this can be done will be highly appreciated!
Link to Cesari's presentation (see page 21 to 26): http://sfi.epfl.ch/files/content/sites/sfi/files/shared/Swissquote%20Conference%202010/Cesari_talk.pdf
i'm developing some kind of heuristics for a variation of the vehicle-routing-problem in C++.
After generating a solution, i want to plot this solution. The solution is a composite of various tours, all starting and ending at a common depot.
Therefore i have a vertex-set with all the coordinates and edges defined by two vertex-id's each. Furthermore i have all the distances between vertex-pairs of course.
It would be helpful to plot this in an extra-window opening in my program, but writing a plot to a graphics-file should be okay too.
What is an easy way to plot this? How would you tackle this?
First i tried to look for common graph-visualization packages (graphviz, tulip, networkx (python)), but i realized that all of them are specialized at graph-layouting (when there are no coordinates). Correct me when i'm wrong.
I don't know if it is possible to tell these packages that i already have the coordinates, helping the layouting-algorithms.
Next thing i tried is the CGAL library with geomview output -> no luck until now -> ubuntu crashes geomview.
One more question: Is it a better idea to use some non-layouting 2d-plot-libraries risking a plot, which isn't really good to view at (is there more to do than scaling?) or to use some layout-algorithm-based-libraries (e.g. graphviz, tulip, networkx), feed them with the distances between the vertices and hope the layouting-algorithms are keeping the distances while plotting in a good-to-view-at way?
If non-layouting-plotting is the way to do it: which library do you recommend?
If layout-based-plotting is the way to do it: how can i make use of the distances/coordinates in these libraries? And which library do you recommend?
Thanks for all your input!
Sascha
EDIT: I completed a prototype implementation using the PLplot library (http://plplot.sourceforge.net/). The results are nice and should be enough for the moment. I discovered and chosed this library because a related project (VRPH Software Package / Groer) used this plot and the source code was distributed. So the implementation was done in a short amount of time. The API is in my opinion bit awkward and low-level. Maybe there are some more modern (maybe not a c-based library) libraries out there? MathGL? Dislin? Maybe i will try them too.
The nice thing about drawing multiple tours in a vehicle routing problem is that "not so bad" algorithms tend to discover nice non-overlapping and divergent tours which is really good for the eye ;-)
It is not quite clear what you are trying to archive, but if I understand your question correctly, then you could do it using OpenGL. Having vertex coordinates, it should be fairly easy.
You can use Gnuplot with a input text file that contains your solution.
It is convenient to draw the points (vertex) then lines (agents paths) than link them.
To make the plot script easy, you can have a separate file for each vehicle, if the number
of vehicles is known.
check out:
http://www.cleveralgorithms.com/nature-inspired/advanced/visualizing_algorithms.html
I will first describe the problem and then what I currently look at, in terms of libraries.
In my application, we have a set of variables that are always available. For example: TOTAL_ITEMS, PRICE, CONTRACTS, ETC (we have around 15 of them). A clients of the application would like to have certain calculations performed and displayed, using those variables. Up until now, I have been constantly adding those calculations to the app. It's pain in the butt, and I would like to make it more generic by way of creating a template, where the user can specify a set of formulas that the application will parse and calculate.
Here is one case:
total_cost = CONTRACTS*PRICE*TOTAL_ITEMS
So, want to do something like that for the user to define in the template file:
total_cost = CONTRACTS*PRICE*TOTAL_ITEMS and some meta-date, like screen to display it on. Hence they will be specifying the formula with a screen. And the file will contain many formulas of this nature.
Right now, I am looking at two libraies: Spirit and matheval
Would anyone make recommendations what's better for this task, as well as references, examples, links?
Please let me know if the question is unclear, and I will try to further clarify it .
Thanks,
Sasha
If you have a fixed number of variables it may be a bit overkill to invoke a parser. Though Spirit is cool and I've been wanting to use it in a project.
I would probably just tokenize the string, make a map of your variables keyed by name (assuming all your variables are ints):
map<const char*,int*> vars;
vars["CONTRACTS"] = &contracts;
...
Then use a simple postfix calculator function to do the actual math.
Edit:
Looking at MathEval, it seems to do exactly what you want; set variables and evaluate mathematical functions using those variables. I'm not sure why you would want to create a solution at the level of a syntax parser. Do you have any requirements that MathEval does not fulfill?
Looks like it shouldn't be too hard to generate a simple parser using yacc and bison and integrate it into your code.
I don't know about matheval, but boost::spirit can do that for you pretty efficiently : see there.
If you're into template metaprogramming, you may want to have a look into Boost::Proto, but it will take some time to get started using it.