Peter Caspers
Peter Caspers
Hi, is this happening for swaption or for cap vols, do you know? I am asking because we convert Cap vols to normal vols always (during the bootstrap in the...
Hi @ChandanKSingh the error message in your screenshot seems to point to another error (multiple definition of Constraint)?
No, I just asked because you were talking about boost regex initially.
Is there a reason why you build ORE in this way instead of just using MSVC? I don't think we will look into fixing this exotic setup to be honest.
We use our own fork of QuantLib (as a git submodule of this repo) with a few extensions and patches. The date generation rule you mention is defined here https://github.com/OpenSourceRisk/QuantLib/blob/77ecf0a9d573234f5db7a02f75a3caa65ab57662/ql/time/dategenerationrule.hpp...
If rightIndex_ == 0 and rightIndex_ < k.size() - 1 we can still erase the point next to the right of rightIndex_, can't we? Agreed, if rightIndex_ == 0 then...
test times are failing for some unit tests because their "problem size" use the updated PPMT_MAX_DIM - I just leave it as is for the time being until we have...
Yes maybe. Where would we provide this file? Another idea I had was to create a subrepo with a cpp-file containing the additional polynomials. Cloning the subrepo is optional and...
Yep, that's a good solution I think.
Sorry, you are right, scriptedtrade.tex and builders/scriptedtrade.cpp are what should be in the release, while scriptedtrade.pdf was built after the code-freeze for the release, so it contains two additions 09-05-2025...