Hi all,

So I am rather new to R but currently attempting to replicate the discountcurve part of the package in order to extend the futures function beyond the 2 years. 
I am struggling quite a bit with both accessing the entire code used by the discountcurve function in order to replicate it and look into how exactly it does what it does, in addition to extending the futures function beyond the current 2 year limit. 

My main issue so far has been accessing the full extent of what the discountcurve function does (code). 

Any help with this or point in the direction I should approach it would be greatly appreciated. 

Best regards,

Erlend

On 17 May 2020 at 01:36, John Paul Broussard wrote:
| I actually figured it out, though, and only though an attempt to "purge" QuantLib's install.

Excellent!

| So, user error on my part... I suppose sometimes I need to take a look at the build versions to insure they are the latest, or at least referencing the same version.

I was suspecting something but because it can be within the package sytem, or
without, it is hard to check. Sometimes it is the simple things eg

$ locate ql/quantlib.hpp

or

$ locate libQuantLib.so

to check you don't have a version in /usr AND in /usr/local.

Glad you have it working! And thanks for the kind words.

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

Yep.  I now see how my replies look like I am not providing new information, because I was not...  My bad.

I actually figured it out, though, and only though an attempt to "purge" QuantLib's install.

Let me see if I can answer your questions:
"_How_ did you install QuantLib?"

I was following the steps found here: https://www.quantlib.org/install/linux.shtml

Problem was, the tar referenced by that page contains the latest version of QuantLib, 1.18.  For whatever reason, though, some of my libquantlib* builds were for 1.17, so apparently, there was a conflict of some sort. When I uninstalled completely, e.g. "purged," and started from fresh, and then reinstalled, RQuantLib finally went all the way to install completion.

So, user error on my part... I suppose sometimes I need to take a look at the build versions to insure they are the latest, or at least referencing the same version.

Thanks for all the patience with this Dirk. I am converting over to Linux (using Ubuntu), so I am learning new things daily. Your videos on using the system are helping LOTS. Some of the "simple" things I used to know when I taught myself DOS 30+ years ago, are now becoming handy...

Thanks again for everything.

On 16 May 2020 at 04:59, John Paul Broussard wrote:
| That's what's driving me crazy. My R works on everything. My QuantLib also appears to work - I tested it out using the example shown on the QuantLib.org site.  Rcpp loads, and appears to be working.  RQuantLib is the version you indicate, and it also appears to be working as well, it simply crashes at the very ending of the install:
|
| | ** testing if installed package can be loaded from temporary location
| | Error: package or namespace load failed for ‘RQuantLib’ in dyn.load(file, DLLpath = DLLpath, ...):
| | unable to load shared object '/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so':
| | /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so: undefined symbol: _ZN8QuantLib4Date11monthOffsetENS_5MonthEb

Well, sorry to be blunt but we are going in circles. You have not supplied
new information I can act on here.

| | Error: loading failed
| | Execution halted
| | ERROR: loading failed
| | * removing ‘/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/RQuantLib’
|
| I do not understand the error:
|
| | Error: package or namespace load failed for ‘RQuantLib’ in dyn.load(file, DLLpath = DLLpath, ...):
| | unable to load shared object '/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so':
| | /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so: undefined symbol: _ZN8QuantLib4Date11monthOffsetENS_5MonthEb
|
| If there is an "undefined symbol" I am not sure how to address the issue other than to fully remove QuantLib 1.18, which I believe I have done, but I must not have.  I am following all the steps on the QuantLib.org install page (even though it references version 1.14), and I have reinstalled 3x now.  I can only figure there is a "broken" link in the QuantLib install referenced in a /bin or /etc or other directory that I am missing when removing 1.18.

_How_ did you install QuantLib?

Obviously from the above your build of RQuantLib is unhappy about the
QuantLib used. I showed you in my last email that I using a prebuilt binary,
availble for the world to use too via the Launchpad PPA.

Am I guessing correctly that you are using a locally compiled one?

| Is there a way to perform a "purge" similar to "sudo apt purge..." ?

Purge of what?

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

That's what's driving me crazy. My R works on everything. My QuantLib also appears to work - I tested it out using the example shown on the QuantLib.org site.  Rcpp loads, and appears to be working.  RQuantLib is the version you indicate, and it also appears to be working as well, it simply crashes at the very ending of the install:

| ** testing if installed package can be loaded from temporary location
| Error: package or namespace load failed for ‘RQuantLib’ in dyn.load(file, DLLpath = DLLpath, ...):
| unable to load shared object '/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so':
| /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so: undefined symbol: _ZN8QuantLib4Date11monthOffsetENS_5MonthEb
| Error: loading failed
| Execution halted
| ERROR: loading failed
| * removing ‘/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/RQuantLib’

I do not understand the error: 

| Error: package or namespace load failed for ‘RQuantLib’ in dyn.load(file, DLLpath = DLLpath, ...):
| unable to load shared object '/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so':
| /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so: undefined symbol: _ZN8QuantLib4Date11monthOffsetENS_5MonthEb

If there is an "undefined symbol" I am not sure how to address the issue other than to fully remove QuantLib 1.18, which I believe I have done, but I must not have.  I am following all the steps on the QuantLib.org install page (even though it references version 1.14), and I have reinstalled 3x now.  I can only figure there is a "broken" link in the QuantLib install referenced in a /bin or /etc or other directory that I am missing when removing 1.18.

Is there a way to perform a "purge" similar to "sudo apt purge..." ?  

On 14 May 2020 at 09:17, John Paul Broussard wrote:
| Thanks Dirk.  Unfortunately, I have loaded the latest QuantLib (1.18 I think) - still same RQuantLib install error.  I loaded the items you indicate, still same RQuantLib install error. Could there a library still "lingering" somewhere in my system from a previous "bad" install?  How might I completely purge QuantLib so that I can restart from the tar file downloaded from quantlib.org?

We would need more details. I am on 19.10, everything works and should / will
once upgraded. I would recommend you check and double-check all components: R
(works, I presume), Rcpp, QuantLib and then RQuantLib.

edd@rob:~$ lsb_release -a
No LSB modules are available.
Distributor ID: Ubuntu
Description: Ubuntu 19.10
Release: 19.10
Codename: eoan
edd@rob:~$ dpkg -l|grep quantlib|cut -c-79
ii libquantlib0-dev 1.18-1.1910.1
ii libquantlib0v5 1.18-1.1910.1
ii quantlib-examples 1.18-1.1910.1
ii quantlib-python 1.16-1.1904.0
edd@rob:~$ Rscript -e 'library(RQuantLib); packageVersion("RQuantLib")'
[1] ‘0.4.12’
edd@rob:~$

So my RQuantLib is from source.

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

Thanks Dirk.  Unfortunately, I have loaded the latest QuantLib (1.18 I think) - still same RQuantLib install error.  I loaded the items you indicate, still same RQuantLib install error. Could there a library still "lingering" somewhere in my system from a previous "bad" install?  How might I completely purge QuantLib so that I can restart from the tar file downloaded from quantlib.org?

On 2 May 2020 at 06:43, John Paul Broussard wrote:
| I recently updated to Ubuntu 20.04, as well as to R v4. When updating packages, I ran into an issue with RQuantLib.
|
| As the attached indicates, all appears ok with QuantLib and Boost,
|
| * installing *source* package ‘RQuantLib’ ...
| ** package ‘RQuantLib’ successfully unpacked and MD5 sums checked
| ** using staged installation
| checking whether the C++ compiler works... yes
| checking for C++ compiler default output file name... a.out
| checking for suffix of executables...
| checking whether we are cross compiling... no
| checking for suffix of object files... o
| checking whether we are using the GNU C++ compiler... yes
| checking whether g++ -std=gnu++11 accepts -g... yes
| checking how to run the C++ preprocessor... g++ -std=gnu++11 -E
| checking whether we are using the GNU C++ compiler... (cached) yes
| checking whether g++ -std=gnu++11 accepts -g... (cached) yes
| checking for R... yes
| checking for quantlib-config... yes
| checking for Boost development files... yes
| checking for minimal Boost version... yes
| configure: creating ./config.status
| config.status: creating src/Makevars
| Configured RQuantlib 0.4.12
|
| but when the final "steps" of the install occur:
|
| installing to /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs
| ** R
| ** data
| ** demo
| ** inst
| ** byte-compile and prepare package for lazy loading
| ** help
| *** installing help indices
| ** building package indices
| ** testing if installed package can be loaded from temporary location
| Error: package or namespace load failed for ‘RQuantLib’ in dyn.load(file, DLLpath = DLLpath, ...):
| unable to load shared object '/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so':
| /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so: undefined symbol: _ZN8QuantLib4Date11monthOffsetENS_5MonthEb
| Error: loading failed
| Execution halted
| ERROR: loading failed
| * removing ‘/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/RQuantLib’
|
| What am I missing?

edd@rob:~$ c++filt _ZN8QuantLib4Date11monthOffsetENS_5MonthEb
QuantLib::Date::monthOffset(QuantLib::Month, bool)
edd@rob:~$

A symbol missing in the library (or libraries) you link against. It usually
means you QuantLib is older than what RQuantLib wants.

You report, detailed as it was, omits that detail.

I tend to create .deb packages for my work on RQuantLib and put them here
https://launchpad.net/~edd in repo 'Miscelleneous Packages' (which seems to
have QL 1.10, 1.11, and 1.13). And sometimes I seem to put them in 'r-3.5'
(though they are not R related, I shouldn't do that) which has QL 1.15, QL
1.16, QL 1.17 and QL 1.18.

Which is what I run, currently still on 19.10:

edd@rob:~$ dpkg -l | grep quantlib | cut -c-79
ii libquantlib0-dev 1.18-1.1910.1
ii libquantlib0v5 1.18-1.1910.1
ii quantlib-examples 1.18-1.1910.1
ii quantlib-python 1.16-1.1904.0
edd@rob:~$

Feel free to fetch them from there too.


Or, if you're really lazy and just need a simple RQuantLib installation, try
the pre-built package from the distro (may conflict with R 4.0.0 though) or
Michael's PPA (if/when rebuilt, dunno about the timing; will support 4.0.0).

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

I recently updated to Ubuntu 20.04, as well as to R v4. When updating packages, I ran into an issue with RQuantLib. 

As the attached indicates, all appears ok with QuantLib and Boost,

* installing *source* package ‘RQuantLib’ ...
** package ‘RQuantLib’ successfully unpacked and MD5 sums checked
** using staged installation
checking whether the C++ compiler works... yes
checking for C++ compiler default output file name... a.out
checking for suffix of executables... 
checking whether we are cross compiling... no
checking for suffix of object files... o
checking whether we are using the GNU C++ compiler... yes
checking whether g++ -std=gnu++11 accepts -g... yes
checking how to run the C++ preprocessor... g++ -std=gnu++11 -E
checking whether we are using the GNU C++ compiler... (cached) yes
checking whether g++ -std=gnu++11 accepts -g... (cached) yes
checking for R... yes
checking for quantlib-config... yes
checking for Boost development files... yes
checking for minimal Boost version... yes
configure: creating ./config.status
config.status: creating src/Makevars
Configured RQuantlib 0.4.12

but when the final "steps" of the install occur:

installing to /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs
** R
** data
** demo
** inst
** byte-compile and prepare package for lazy loading
** help
*** installing help indices
** building package indices
** testing if installed package can be loaded from temporary location
Error: package or namespace load failed for ‘RQuantLib’ in dyn.load(file, DLLpath = DLLpath, ...):
 unable to load shared object '/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so':
  /home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/00LOCK-RQuantLib/00new/RQuantLib/libs/RQuantLib.so: undefined symbol: _ZN8QuantLib4Date11monthOffsetENS_5MonthEb
Error: loading failed
Execution halted
ERROR: loading failed
* removing ‘/home/fibrou/R/x86_64-pc-linux-gnu-library/4.0/RQuantLib’

What am I missing?

Hi All

I have seen a couple of topics regarding this, but the problem is that the function BermudanSwaption uses a lognormal which obviously cannot be used on negative interest rates.

Is there a way to change this? (I can see it uses a UseMethod from Python I think?) or is there another work around - for example by shifting the numbers to positive?

Thanks in advance.

Kind regards,
Christopher

Hi all,

Would you know please if there is a way to pass a more precise market curve to DiscountCurve, over short maturities ?
I would need to add d2w, d3w, d4m, d5m, d18m pilars as input, and they are not recognized yet

Many thanks in advance
Bruno
 

On 11 September 2019 at 11:00, dick.r.chiang@gmail.com wrote:
| The package maintainer has previously not recommended the following, but it directly addresses the core problem.  The alternative is to upgrade to a CentOS version with boost libraries greater than 1.58.  Lots of back and forth on github issues #119, #132.

Oh dear I had forgotten all about! Indeed, old Boost / old compilers will do
that too. I should probably beef up the checks in configure.ac.

Thanks for pointing that out.

Minor nits below.

| 1. git clone `lballabio/QuantLib`
| ```
| ./autogen.sh`
| ./configure --prefix=$HOME/.local --enable-intraday

Hidden directory? Hm. Maybe $HOME/lib/ ? Anyway...

| make install
| ```
| 2. git clone `eddelbuettel/rquantlib` and remove `CXX_STD=CXX11` from `src/Makevars.in`
| 3. From the `rquantlib` parent directory, fire up R and execute
| ```
| library(devtools)
| install()

Or just say 'R CMD INSTALL .'

Dirk

| library(RQuantLib)
| getHolidayList("UnitedStates", as.Date("2018-12-01"), as.Date("2019-01-02"))
| ```
|
|
|

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

On 11 September 2019 at 04:50, beppeg@gmail.com wrote:
| Dear all,
| I'm going crazy to install the package on CentOS 7.
| Required QuantLib library installed from EPEL repository via yum seems to be < 1.14 so I installed successfully 1.16 release compiling from sources.
|
| Installing R-package I get following error:
|
| *** caught segfault ***
| address 0x7f2370de92a0, cause 'invalid permissions'
|
| Error occurs loading library after compilation.
|
| Did someone have and solved the problem?
| Ther's some tutorial/hint about installation on CentOS 7?

Segfauls are sometimes a symptom of mismatched libraries. Make sure QuantLib
and Rcpp are built with the same compiler, so if you installed QuantLib from
source, also install Rcpp from sources.

Also, after building QuantLib, it might be a good idea to run its test
suite.

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

Dear all,
I'm going crazy to install the package on CentOS 7.
Required QuantLib library installed from EPEL repository via yum seems to be < 1.14 so I installed successfully 1.16 release compiling from sources.

Installing R-package I get following error:

I'm sorry for my misunderstanding.

I will dig the problem by myself and ask to QuantLib.

Jean-Louis 

On 26 March 2019 at 12:28, kumpelka78@gmail.com wrote:
| Any news from QuantLib ?

"You tell us". It is your itch to scratch (to borrow the common phrase about
motivation for open source) so I had suggested that you go and inquire. We
are volunteers here so you cannot really expect _us_ to do _your_ work for you.

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

Hello,

Any news from QuantLib ?

Thanks,
Jean-Louis

Salut Jean-Louis