Monday, May 22, 2017

Android Studio 3.0 Canary with Kotlin

Peamon Calculator, java source code converted to Kotlin
Modifications to the following files are needed for Android Studio 3.0 Canary 1

app/build.gradle    Select all
apply plugin: 'com.android.application' apply plugin: 'kotlin-android' android { compileSdkVersion 23 buildToolsVersion '26.0.0 rc2' // for Android Studio 3.0 Canary 1 defaultConfig { applicationId "com.example.peamoncalculator" minSdkVersion 22 targetSdkVersion 23 versionCode 1 versionName "1.0" archivesBaseName = "PeamonCalculator" + versionName testInstrumentationRunner "android.support.test.runner.AndroidJUnitRunner" } buildTypes { release { minifyEnabled false proguardFiles getDefaultProguardFile('proguard-android.txt'), 'proguard-rules.pro' } } } dependencies { compile fileTree(dir: 'libs', include: ['*.jar']) compile 'com.android.support:appcompat-v7:23+' compile 'com.android.support.constraint:constraint-layout:1.0.2' compile 'com.android.support:design:23+' // Required for local unit tests testCompile 'junit:junit:4.12' // Required for instrumented tests androidTestCompile 'com.android.support.test.espresso:espresso-core:2.2.2' androidTestCompile 'com.android.support.test:runner:0.5' androidTestCompile 'com.android.support:support-annotations:23+' compile "org.jetbrains.kotlin:kotlin-stdlib-jre7:$kotlin_version" } repositories { mavenCentral() } // add these tasks in run config to make kotlin test working // for junit task copyTestClasses(type: Copy) { from "build/tmp/kotlin-classes/debugUnitTest" into "build/intermediates/classes/debug" } // for instrumented test task copySdkClasses(type: Copy) { from "build/tmp/kotlin-classes/debug" into "build/intermediates/classes/debug" } afterEvaluate { compileDebugUnitTestSources.dependsOn copyTestClasses compileReleaseUnitTestSources.dependsOn copyTestClasses compileDebugAndroidTestSources.dependsOn copySdkClasses }




gradle-wrapper.properties    Select all
distributionBase=GRADLE_USER_HOME distributionPath=wrapper/dists zipStoreBase=GRADLE_USER_HOME zipStorePath=wrapper/dists distributionUrl=https\://services.gradle.org/distributions/gradle-4.0-milestone-1-all.zip



Project/build.gradle    Select all
// Top-level build file where you can add configuration options common to all sub-projects/modules. buildscript { ext.kotlin_version = '1.1.2-4' repositories { maven { url 'https://maven.google.com' } jcenter() } dependencies { classpath 'com.android.tools.build:gradle:3.0.0-alpha1' classpath "org.jetbrains.kotlin:kotlin-gradle-plugin:$kotlin_version" // NOTE: Do not place your application dependencies here; they belong // in the individual module build.gradle files } } allprojects { repositories { jcenter() maven { url 'https://maven.google.com' } mavenCentral() } } task clean(type: Delete) { delete rootProject.buildDir }



app/src/main/java/com/example/peamoncalculator/MainActivity.kt    Select all
// Converted to Kotlin for Android Studio 3.0 Canary 1 package com.example.peamoncalculator import android.app.Activity import android.os.Bundle import android.support.design.widget.FloatingActionButton import android.support.design.widget.Snackbar import android.support.v7.app.AppCompatActivity import android.support.v7.widget.Toolbar import android.view.View import android.view.Menu import android.view.MenuItem import android.view.View.OnClickListener import android.widget.Button import android.widget.EditText import android.widget.TextView class MainActivity : Activity(), OnClickListener { private var Scr: EditText? = null // textbox screen private val debugScr: EditText? = null // debug screen private var NumberBf: Float = 0.toFloat() //save screen before pressing button operation; private var Operation = "" private var LastOperation = "" override fun onCreate(savedInstanceState: Bundle?) { super.onCreate(savedInstanceState) setContentView(R.layout.activity_main) Scr = findViewById(R.id.editText) as EditText println("OK Calculator") // set debug screen text val idList = intArrayOf(R.id.button1, R.id.button2, R.id.button3, R.id.button4, R.id.button5, R.id.button6, R.id.button7, R.id.button8, R.id.button9, R.id.button0, R.id.buttonAdd, R.id.buttonSub, R.id.buttonMul, R.id.buttonDiv, R.id.buttonDot, R.id.buttonEq) for (id in idList) { val v = findViewById(id) v.setOnClickListener(this) println("It comes here " + (v as Button).text.toString()) } } // Have to implement with the OnClickListner // onClick is called when a view has been clicked. override fun onClick(v: View) { // Parameter v stands for the view that was clicked. println("Pressed Button " + (v as Button).text.toString()) val eqButton = findViewById(R.id.buttonEq) as Button eqButton.text = "=" when (v.id) { R.id.buttonAdd -> { sMath("+") LastOperation = "+" } R.id.buttonSub -> { sMath("-") LastOperation = "-" } R.id.buttonMul -> { sMath("*") LastOperation = "*" } R.id.buttonDiv -> { sMath("/") LastOperation = "/" } R.id.buttonEq -> { if (LastOperation == "=") { Scr!!.setText("0") NumberBf = 0f Operation = "" LastOperation = "=" //break } LastOperation = "=" eqButton.text = "C" sResult() } else -> { val numb = (v as Button).text.toString() getKeyboard(numb) } } } fun sMath(str: String) { NumberBf = java.lang.Float.parseFloat(Scr!!.text.toString()) // save the screen Operation = str // save operation Scr!!.setText("0") // clear screen } fun getKeyboard(str: String) { var ScrCurrent = Scr!!.text.toString() if (ScrCurrent == "0") ScrCurrent = "" if (ScrCurrent.contains(".") and (str == ".")) return ScrCurrent += str Scr!!.setText(ScrCurrent) } fun sResult() { val NumberAf = java.lang.Float.parseFloat(Scr!!.text.toString()) var result = 0f if (Operation == "+") { result = NumberBf + NumberAf } if (Operation == "-") { result = NumberBf - NumberAf } if (Operation == "*") { result = NumberBf * NumberAf } if (Operation == "/") { result = NumberBf / NumberAf } Scr!!.setText(result.toString()) } override fun onCreateOptionsMenu(menu: Menu): Boolean { // Inflate the menu; this adds items to the action bar if it is present. menuInflater.inflate(R.menu.menu, menu) return true } override fun onOptionsItemSelected(item: MenuItem): Boolean { // Handle action bar item clicks here. The action bar will // automatically handle clicks on the Home/Up button, so long // as you specify a parent activity in AndroidManifest.xml. val id = item.itemId if (id == R.id.action_settings) { println("Settings") return true } return super.onOptionsItemSelected(item) } }



app/src/main/res/layout/activity_main.xml    Select all
<LinearLayout xmlns:android="http://schemas.android.com/apk/res/android" xmlns:tools="http://schemas.android.com/tools" android:orientation="vertical" android:layout_width="fill_parent" android:layout_height="fill_parent" tools:context="com.example.peamoncalculator.MainActivity" > <EditText android:text="0" android:id="@+id/editText" android:layout_width="fill_parent" android:layout_height="fill_parent" android:maxLength="12" android:textSize="50sp" android:layout_weight="0.6" android:gravity="right" android:hint="0"> </EditText> <TableLayout android:id="@+id/tableLayout1" android:layout_height="fill_parent" android:layout_width="fill_parent" android:layout_weight="0.2"> <TableRow android:id="@+id/tableRow1" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25"> <Button android:text="1" android:id="@+id/button1" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="2" android:id="@+id/button2" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="3" android:id="@+id/button3" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="4" android:id="@+id/button4" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> </TableRow> <TableRow android:id="@+id/tableRow2" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25"> <Button android:text="5" android:id="@+id/button5" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="6" android:id="@+id/button6" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="7" android:id="@+id/button7" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="8" android:id="@+id/button8" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> </TableRow> <TableRow android:id="@+id/tableRow3" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25"> <Button android:text="9" android:id="@+id/button9" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="0" android:id="@+id/button0" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="." android:id="@+id/buttonDot" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="=" android:id="@+id/buttonEq" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> </TableRow> <TableRow android:id="@+id/tableRow4" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25"> <Button android:text="+" android:background="#8FCC8F" android:id="@+id/buttonAdd" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="-" android:background="#8FBC8F" android:id="@+id/buttonSub" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="*" android:background="#8FCC8F" android:id="@+id/buttonMul" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> <Button android:text="/" android:background="#8FBC8F" android:id="@+id/buttonDiv" android:layout_width="fill_parent" android:layout_height="fill_parent" android:layout_weight="0.25" android:textSize="30sp"></Button> </TableRow> </TableLayout> </LinearLayout>





C++ Example

The original HelloDroid project file for Android 1.3 is from https://mega.nz/#!iwoHjDiC!dJ45TLYAmCoUYnSOE9H1faYYOSyt5FxfBnmlXeqIRgU

Modifications to the following files are needed for Android Studio 3.0 Canary 1

app/build.gradle    Select all
apply plugin: 'com.android.application' android { compileSdkVersion 23 buildToolsVersion '25.0.2' // minimum 25.0.x for Android Studio 3.0 Canary 1 defaultConfig { applicationId 'com.beginndkgamecode.hellodroid' minSdkVersion 9 targetSdkVersion 23 versionCode 1 versionName "1.0" archivesBaseName = 'HELLODRIOD_' + versionName ndk { abiFilters 'armeabi-v7a', 'x86', 'x86_64' } externalNativeBuild { ndkBuild { arguments "NDK_APPLICATION_MK=src/main/jni/Application.mk", "-j6" } } } buildTypes { debug { minifyEnabled false zipAlignEnabled true debuggable true useProguard false } release { minifyEnabled false zipAlignEnabled true useProguard true proguardFiles getDefaultProguardFile('proguard-android.txt'), 'proguard-rules.pro' } } externalNativeBuild { ndkBuild { path "src/main/jni/Android.mk" } } } dependencies { compile fileTree(dir: 'libs', include: ['*.jar']) compile 'com.android.support:appcompat-v7:23+' compile 'com.android.support.constraint:constraint-layout:1.0.0+' }

app/src/main/jni/Application.mk    Select all
APP_PLATFORM := android-9 APP_ABI := armeabi-v7a x86 x86_64

Project:HelloDroid/build.gradle    Select all
// Top-level build file where you can add configuration options common to all sub-projects/modules. buildscript { repositories { jcenter() } dependencies { //classpath 'com.android.tools.build:gradle-experimental:0.7.0-beta1' //classpath 'com.android.tools.build:gradle:2.2.0-alpha3' //updated classpath for Android Studio 3.0 classpath 'com.android.tools.build:gradle:3.0.0-alpha1' } } allprojects { repositories { jcenter() } }



gradle-wrapper.properties    Select all
distributionBase=GRADLE_USER_HOME distributionPath=wrapper/dists zipStoreBase=GRADLE_USER_HOME zipStorePath=wrapper/dists #updated to gradle-4.0-milestone-1-all.zip for Android Studio 3.0 distributionUrl=https\://services.gradle.org/distributions/gradle-4.0-milestone-1-all.zip



app/src/main/jni/Android.mk    Select all
LOCAL_PATH := $(call my-dir) include $(CLEAR_VARS) LOCAL_MODULE := hellodroid LOCAL_SRC_FILES := main.cpp LOCAL_LDLIBS := -llog -landroid -lEGL -lGLESv2 LOCAL_STATIC_LIBRARIES := android_native_app_glue include $(BUILD_SHARED_LIBRARY) $(call import-module,android/native_app_glue)



ATTENTION: Quit Docker (if running) before launching Android Emulator in HAXM.






Install kotlin compiler in macOS


shell script     Select all
# install kotlin in macOS, also applicable to Ubuntu Linux # for Ubuntu, sdk install java curl -s https://get.sdkman.io | bash # open another Terminal sdk install kotlin # create hello.kt cat > hello.kt <<"EOF" fun main(args: Array<String>) { println("Hello, World!") val list = listOf(1, 3, 5, 7) for (k in list) { println("k is $k") } list.forEach(fun(x) { println("x is $x") }) args.forEachIndexed(fun(x, y) { println("arg[$x] is $y") }) } EOF # compile and test hello.kt kotlinc hello.kt -include-runtime -d hello.jar java -jar hello.jar a b c d



Friday, May 5, 2017

How to translate QuantLib C++ code to Python

Here is a demo of how QuantLib c++ code are translated to Python. This included the code for importing of csv file and construction of volatility surface and the timing of MCDiscreteArithmeticAPEngine. Slicing and manipulation of list/array is much easier in Python than that of C++ code. However, C++ is faster.

QuantLib C++ source code, AsianOption.cpp

AsianOption.cpp    Select all
// g++ -std=c++11 AsianOption.cpp -o AsianOption -lQuantLib #include <ql/quantlib.hpp> #include <boost/timer.hpp> #include <iostream> #include <iomanip> #include <fstream> #include <string> #include <boost/algorithm/string/split.hpp> #include <boost/algorithm/string/classification.hpp> #include <boost/lexical_cast.hpp> using namespace QuantLib; using namespace std; void GetStrikes(string &path, vector<Real> &strikes) { std::ifstream file(path); std::string line; std::vector<std::string> tokens; int linecount = 0; while (std::getline(file, line)) { std::stringstream stringStream(line); std::string content; int item = 0; if (linecount >= 1) while (std::getline(stringStream, content, ',')) { switch (item) { case 0: // strikes are on first column only strikes.push_back(boost::lexical_cast<double>(content)); break; default: break; } item++; } linecount++; } return; /* if hardcode csv data strikes.push_back(0.67263); strikes.push_back(0.71865); strikes.push_back(0.7487); strikes.push_back(0.77129); strikes.push_back(0.78984); strikes.push_back(0.80587); strikes.push_back(0.82034); strikes.push_back(0.83379); strikes.push_back(0.84658); strikes.push_back(0.85792); strikes.push_back(0.87354); strikes.push_back(0.89085); strikes.push_back(0.90904); strikes.push_back(0.9289); strikes.push_back(0.95157); strikes.push_back(0.97862); strikes.push_back(1.01337); strikes.push_back(1.06261); strikes.push_back(1.14631); */ } void GetExpiryDates(string &path, vector<Date> &expirations) { std::ifstream file(path); std::string line; std::vector<std::string> tokens; int linecount = 0; while (std::getline(file, line)) { std::stringstream stringStream(line); std::string content; int item = 0; if (linecount == 0) // expiration dates are on first row only while (std::getline(stringStream, content, ',')) { switch (item) { case 1: case 2: case 3: case 4: boost::algorithm::split(tokens, content, boost::algorithm::is_any_of("/")); expirations.push_back(Date(Day(boost::lexical_cast<int>(tokens.at(1))), Month(boost::lexical_cast<int>(tokens.at(0))), Year(boost::lexical_cast<int>(tokens.at(2))))); break; default: break; } item++; } linecount++; } return; /* if hardcode csv data expirations.push_back(Date(27, June, 2017)); expirations.push_back(Date(27, September, 2017)); expirations.push_back(Date(27, December, 2017)); expirations.push_back(Date(27, June, 2018)); */ } Matrix GetVolData(string &path, vector<Date> &expirations, vector<Real> &strikes) { // Matrix volMatrix(19, 4); Matrix volMatrix(strikes.size(), expirations.size()); std::ifstream file(path); std::string line; std::vector<std::string> tokens; int linecount = 0; while (std::getline(file, line)) { std::stringstream stringStream(line); std::string content; int item = 0; if (linecount >= 1) // vols are on second row onward while (std::getline(stringStream, content, ',')) { switch (item) { case 1: case 2: case 3: case 4: volMatrix[linecount-1][item-1] = boost::lexical_cast<double>(content); // vols are on second column onward break; default: break; } item++; } linecount++; } return volMatrix; /* if hardcode csv data //0.67263,0.144183920277296,0.139374695503699,0.135526204819277,0.12885 volMatrix[0][0] = 0.144183920277296; volMatrix[0][1] = 0.139374695503699; volMatrix[0][2] = 0.135526204819277; volMatrix[0][3] = 0.12885; //0.71865,0.133703802426343,0.129893056346044,0.126909006024096,0.12175 volMatrix[1][0] = 0.133703802426343; volMatrix[1][1] = 0.129893056346044; volMatrix[1][2] = 0.126909006024096; volMatrix[1][3] = 0.12175; //0.7487,0.126860526863085,0.123701764371087,0.121209416342412,0.11695 volMatrix[2][0] = 0.126860526863085; volMatrix[2][1] = 0.123701764371087; volMatrix[2][2] = 0.121209416342412; volMatrix[2][3] = 0.11695; // 0.77129,0.121720863192182,0.118881707209199,0.116979766476388,0.11381 volMatrix[3][0] = 0.121720863192182; volMatrix[3][1] = 0.118881707209199; volMatrix[3][2] = 0.116979766476388; volMatrix[3][3] = 0.11381; // 0.78984,0.117581136690647,0.115218428824572,0.113899219047619,0.11163 volMatrix[4][0] = 0.117581136690647; volMatrix[4][1] = 0.115218428824572; volMatrix[4][2] = 0.113899219047619; volMatrix[4][3] = 0.11163; // 0.80587,0.114363421052632,0.112523118729097,0.111637193240265,0.11019 volMatrix[5][0] = 0.114363421052632; volMatrix[5][1] = 0.112523118729097; volMatrix[5][2] = 0.111637193240265; volMatrix[5][3] = 0.11019; //0.82034,0.111728795180723,0.110489402985075,0.109987692307692,0.10921 volMatrix[6][0] = 0.111728795180723; volMatrix[6][1] = 0.110489402985075; volMatrix[6][2] = 0.109987692307692; volMatrix[6][3] = 0.10921; // 0.83379,0.109805703883495,0.109100413723512,0.108870460584588,0.1086 volMatrix[7][0] = 0.109805703883495; volMatrix[7][1] = 0.109100413723512; volMatrix[7][2] = 0.108870460584588; volMatrix[7][3] = 0.1086; // 0.84658,0.108581646586345,0.108250493273543,0.108197213114754,0.10829 volMatrix[8][0] = 0.108581646586345; volMatrix[8][1] = 0.108250493273543; volMatrix[8][2] = 0.108197213114754; volMatrix[8][3] = 0.10829; // 0.85792,0.108190964125561,0.107986172506739,0.10796631037213,0.10822 volMatrix[9][0] = 0.108190964125561; volMatrix[9][1] = 0.107986172506739; volMatrix[9][2] = 0.10796631037213; volMatrix[9][3] = 0.10822; // 0.87354,0.10859510460251,0.108310304612707,0.108232350773766,0.10849 volMatrix[10][0] = 0.10859510460251; volMatrix[10][1] = 0.108310304612707; volMatrix[10][2] = 0.108232350773766; volMatrix[10][3] = 0.10849; // 0.89085,0.110043016488846,0.109404567049808,0.109102906403941,0.10919 volMatrix[11][0] = 0.110043016488846; volMatrix[11][1] = 0.109404567049808; volMatrix[11][2] = 0.109102906403941; volMatrix[11][3] = 0.10919; // 0.90904,0.112447321958457,0.111343238289206,0.110615417475728,0.11036 volMatrix[12][0] = 0.112447321958457; volMatrix[12][1] = 0.111343238289206; volMatrix[12][2] = 0.110615417475728; volMatrix[12][3] = 0.11036; // 0.9289,0.115567066189624,0.113888152866242,0.112830993150685,0.11201 volMatrix[13][0] = 0.115567066189624; volMatrix[13][1] = 0.113888152866242; volMatrix[13][2] = 0.112830993150685; volMatrix[13][3] = 0.11201; // 0.95157,0.119454321849106,0.117151688909342,0.115569047072331,0.11433 volMatrix[14][0] = 0.119454321849106; volMatrix[14][1] = 0.117151688909342; volMatrix[14][2] = 0.115569047072331; volMatrix[14][3] = 0.11433; // 0.97862,0.123858310308183,0.121275916334661,0.119199029605263,0.11731 volMatrix[15][0] = 0.123858310308183; volMatrix[15][1] = 0.121275916334661; volMatrix[15][2] = 0.119199029605263; volMatrix[15][3] = 0.11731; // 1.01337,0.129434558979809,0.126231870274572,0.123929902439024,0.12145 volMatrix[16][0] = 0.129434558979809; volMatrix[16][1] = 0.126231870274572; volMatrix[16][2] = 0.123929902439024; volMatrix[16][3] = 0.12145; // 1.06261,0.137335982996812,0.133099606048548,0.12994278699187,0.12723 volMatrix[17][0] = 0.137335982996812; volMatrix[17][1] = 0.133099606048548; volMatrix[17][2] = 0.12994278699187; volMatrix[17][3] = 0.12723; // 1.14631,0.150767120085016,0.144773641066454,0.140163713821138,0.13547 volMatrix[18][0] = 0.150767120085016; volMatrix[18][1] = 0.144773641066454; volMatrix[18][2] = 0.140163713821138; volMatrix[18][3] = 0.13547; return volMatrix; */ } void asian() { // Calendar set up Calendar calendar = TARGET(); Date todaysDate(4, April, 2017); Settings::instance().evaluationDate() = todaysDate; DayCounter dayCounter = Actual360(); // Option parameters Asian FX Option::Type optionType(Option::Call); Average::Type averageType = Average::Arithmetic; Date maturity(4, April, 2018); Real strike = 0.74; Volatility volatility = 0.07053702474; Date obsStart(4, March, 2018); Real runningSum = 0; Size pastFixings = 0; vector<Date> fixingDates; for (Date incrementedDate = obsStart; incrementedDate <= maturity; incrementedDate += 1) { if (calendar.isBusinessDay(incrementedDate)) { fixingDates.push_back(incrementedDate); } } // Option parameters // European Exercise boost::shared_ptr<Exercise> europeanExercise( new EuropeanExercise(maturity)); // Payoff boost::shared_ptr<StrikedTypePayoff> payoffAsianOption( new PlainVanillaPayoff(Option::Type(optionType), strike)); // Model parameters Real underlying = 0.748571186; Spread dividendYield = 0.04125; Rate riskFreeRate = 0.0225377; // Market Data // Quote handling Handle<Quote> underlyingH( boost::shared_ptr<Quote>(new SimpleQuote(underlying))); // Yield term structure handling Handle<YieldTermStructure> flatTermStructure( boost::shared_ptr<YieldTermStructure>(new FlatForward(todaysDate, dividendYield, dayCounter))); // Dividend term structure handling Handle<YieldTermStructure> flatDividendTermStructure( boost::shared_ptr<YieldTermStructure>(new FlatForward(todaysDate, riskFreeRate, dayCounter))); // Volatility structure handling: constant volatility Handle<BlackVolTermStructure> flatVolTermStructure( boost::shared_ptr<BlackVolTermStructure>(new BlackConstantVol(todaysDate, calendar, volatility, dayCounter))); // Read csv file string path = "./VolMatrixA.csv"; vector<Real> strikes = {}; GetStrikes(path, strikes); vector<Date> expirations = {}; GetExpiryDates(path, expirations); cout << "strikes.size() " << strikes.size() << endl; cout << "expirations.size() " << expirations.size() << endl; // assert csv data BOOST_ASSERT_MSG(strikes.size() > 0, static_cast<std::stringstream&>(std::stringstream() << "No valid strikes.size() found! It is " << strikes.size()).str().c_str()); BOOST_ASSERT_MSG(expirations.size() > 0, static_cast<std::stringstream&>(std::stringstream() << "No valid expirations.size() found! It is " << expirations.size()).str().c_str()); Matrix volMatrix = GetVolData(path, expirations, strikes); // Volatility Surface BlackVarianceSurface volatilitySurface(Settings::instance().evaluationDate(), calendar, expirations, strikes, volMatrix, dayCounter); volatilitySurface.setInterpolation<Bicubic>(); volatilitySurface.enableExtrapolation(true); const boost::shared_ptr<BlackVarianceSurface> volatilitySurfaceH( new BlackVarianceSurface(volatilitySurface)); Handle<BlackVolTermStructure> volTermStructure(volatilitySurfaceH); // the BS equation behind boost::shared_ptr<BlackScholesMertonProcess> bsmProcess( new BlackScholesMertonProcess(underlyingH, flatDividendTermStructure, flatTermStructure, volTermStructure)); // Options DiscreteAveragingAsianOption discreteArithmeticAsianAverageOption( averageType, runningSum, pastFixings, fixingDates, payoffAsianOption, europeanExercise); // Outputting on the screen cout << "Option type = " << optionType << endl; cout << "Option maturity = " << maturity << endl; cout << "Underlying = " << underlying << endl; cout << "Strike = " << strike << endl; cout << "Risk-free interest rate = " << setprecision(4) << io::rate(riskFreeRate) << endl; cout << "Dividend yield = " << setprecision(4) << io::rate(dividendYield) << endl; cout << "Volatility = " << setprecision(4) << io::volatility(volatility) << endl; cout << "Time-length between successive fixings = weekly time step" << endl; cout << "Previous fixings = " << pastFixings << endl; cout << setprecision(10) << endl; boost::timer timer; // Pricing engine discreteArithmeticAsianAverageOption.setPricingEngine( boost::shared_ptr<PricingEngine>( MakeMCDiscreteArithmeticAPEngine<LowDiscrepancy>(bsmProcess) .withSamples(1500))); // Timer timer.restart(); try { cout << "Discrete ArithMC Price: " << discreteArithmeticAsianAverageOption.NPV() << endl; } catch (exception const& e) { cout << "Erreur: " << e.what() << endl; } cout << " in " << timer.elapsed() << " s" << endl; timer.restart(); } int main(int, char* []) { asian(); }


QuantLib Python source code, AsianOption.py

AsianOption.py    Select all
#!python2 #!/usr/bin/env python # AsianOption.py from QuantLib import * import csv import time # Calendar set up calendar = TARGET() todaysDate = Date(4, April, 2017) Settings.instance().evaluationDate = todaysDate dayCounter = Actual360() # Option parameters Asian FX optionType = Option.Call averageType = Average.Arithmetic maturity = Date(4, April, 2018) strike = 0.74 volatility = 0.07053702474 obsStart = Date(4, March, 2018) runningSum = 0 pastFixings = 0 fixingDates = [ Date(serial) for serial in range(obsStart.serialNumber(), maturity.serialNumber()) if calendar.isBusinessDay(Date(serial)) ] # Model parameters underlying = 0.748571186 dividendYield = 0.04125 riskFreeRate = 0.0225377 #settlementDate = todaysDate # Option parameters # European Exercise europeanExercise = EuropeanExercise(maturity) # Payoff payoffAsianOption = PlainVanillaPayoff(optionType, strike) # Market Data # Quote handling underlyingH = QuoteHandle(SimpleQuote(underlying)) # Yield term structure handling flatTermStructure = YieldTermStructureHandle(FlatForward(todaysDate, dividendYield, dayCounter)) # Dividend term structure handling flatDividendTermStructure = YieldTermStructureHandle(FlatForward(todaysDate, riskFreeRate, dayCounter)) # Volatility structure handling: constant volatility flatVolTermStructure = BlackVolTermStructureHandle(BlackConstantVol(Settings.instance().evaluationDate, calendar, volatility, dayCounter)) # Read csv file with open('VolMatrixA.csv', 'rb') as f: reader = csv.reader(f) csv_list = list(reader) expirations = [ Date(int(col.split("/")[1]), int(col.split("/")[0]), int(col.split("/")[2])) for col in csv_list[0][1:] ] # expirations are on first row[0] and for second column[1:] onward strikes = [ float(row[0]) for row in csv_list[1:] ] # strikes are for second row [1:] onward and on first column [0] """ # if hardcode csv data expirations = [Date(27, June, 2017), Date(27, September, 2017), Date(27, December, 2017), Date(27, June, 2018)] strikes = [0.67263, 0.71865, 0.7487, 0.77129, 0.78984, 0.80587, 0.82034, 0.83379, 0.84658, 0.85792, 0.87354, 0.89085, 0.90904, 0.9289, 0.95157, 0.97862, 1.01337, 1.06261, 1.14631] volMatrix = [ [0.144183920277296,0.139374695503699,0.135526204819277,0.12885], [0.133703802426343,0.129893056346044,0.126909006024096,0.12175], [0.126860526863085,0.123701764371087,0.121209416342412,0.11695], [0.121720863192182,0.118881707209199,0.116979766476388,0.11381], [0.117581136690647,0.115218428824572,0.113899219047619,0.11163], [0.114363421052632,0.112523118729097,0.111637193240265,0.11019], [0.111728795180723,0.110489402985075,0.109987692307692,0.10921], [0.109805703883495,0.109100413723512,0.108870460584588,0.1086], [0.108581646586345,0.108250493273543,0.108197213114754,0.10829], [0.108190964125561,0.107986172506739,0.10796631037213,0.10822], [0.10859510460251,0.108310304612707,0.108232350773766,0.10849], [0.110043016488846,0.109404567049808,0.109102906403941,0.10919], [0.112447321958457,0.111343238289206,0.110615417475728,0.11036], [0.115567066189624,0.113888152866242,0.112830993150685,0.11201], [0.119454321849106,0.117151688909342,0.115569047072331,0.11433], [0.123858310308183,0.121275916334661,0.119199029605263,0.11731], [0.129434558979809,0.126231870274572,0.123929902439024,0.12145], [0.137335982996812,0.133099606048548,0.12994278699187,0.12723], [0.150767120085016,0.144773641066454,0.140163713821138,0.13547] ] """ # assert csv data assert len(strikes) > 0, "No valid len(strikes) found ! It is " + str(len(strikes)) assert len(expirations) > 0, "No valid len(expirations) found ! It is " + str(len(expirations)) #volMatrix = Matrix(len(strikes), len(expirations)) volMatrix = [[float(y) for y in x[1:]] for x in csv_list[1:]] # vols are for second row [1:] and for second column [1:] onward print "len(strikes) ", len(strikes) print "len(expirations) ", len(expirations) # Volatility Surface volatilitySurface = BlackVarianceSurface(Settings.instance().evaluationDate, calendar, expirations, strikes, volMatrix, dayCounter) volatilitySurface.setInterpolation("Bicubic") volatilitySurface.enableExtrapolation() volTermStructure = BlackVolTermStructureHandle(volatilitySurface) # the BS equation behind bsmProcess = BlackScholesMertonProcess(underlyingH, flatDividendTermStructure, flatTermStructure, volTermStructure) # Options discreteArithmeticAsianAverageOption = DiscreteAveragingAsianOption(averageType, runningSum, pastFixings, fixingDates, payoffAsianOption, europeanExercise) # Outputting on the screen optionTypeKeyName = dict((v,k) for k, v in vars(Option).iteritems() if v == optionType) print "Option type = ", optionTypeKeyName[optionType] print "Option maturity = ", maturity print "Underlying = ", underlying print "Strike = ", strike print "Risk-free interest rate = ", '{0:.{prec}f}%'.format(riskFreeRate*100.00, prec=4) print "Dividend yield = ", '{0:.{prec}f}%'.format(dividendYield*100.00, prec=4) print "Volatility = ", '{0:.{prec}f}%'.format(volatility*100.00, prec=4) print "Time-length between successive fixings = weekly time step" print "Previous fixings = ", pastFixings print "" # Pricing engine engine = MCDiscreteArithmeticAPEngine(bsmProcess, "LowDiscrepancy", requiredSamples=1500) discreteArithmeticAsianAverageOption.setPricingEngine(engine) # Timer start = time.time() print "Discrete ArithMC Price: ", discreteArithmeticAsianAverageOption.NPV() print ' in ' + '{0:.2f}'.format(time.time() - start), 's\n'


VolMatrixA.csv file is the data source of the Volatility Surface

VolMatrixA.csv    Select all
Strike ,6/27/2017,9/27/2017,12/27/2017,6/27/2018 0.67263,0.144183920277296,0.139374695503699,0.135526204819277,0.12885 0.71865,0.133703802426343,0.129893056346044,0.126909006024096,0.12175 0.7487,0.126860526863085,0.123701764371087,0.121209416342412,0.11695 0.77129,0.121720863192182,0.118881707209199,0.116979766476388,0.11381 0.78984,0.117581136690647,0.115218428824572,0.113899219047619,0.11163 0.80587,0.114363421052632,0.112523118729097,0.111637193240265,0.11019 0.82034,0.111728795180723,0.110489402985075,0.109987692307692,0.10921 0.83379,0.109805703883495,0.109100413723512,0.108870460584588,0.1086 0.84658,0.108581646586345,0.108250493273543,0.108197213114754,0.10829 0.85792,0.108190964125561,0.107986172506739,0.10796631037213,0.10822 0.87354,0.10859510460251,0.108310304612707,0.108232350773766,0.10849 0.89085,0.110043016488846,0.109404567049808,0.109102906403941,0.10919 0.90904,0.112447321958457,0.111343238289206,0.110615417475728,0.11036 0.9289,0.115567066189624,0.113888152866242,0.112830993150685,0.11201 0.95157,0.119454321849106,0.117151688909342,0.115569047072331,0.11433 0.97862,0.123858310308183,0.121275916334661,0.119199029605263,0.11731 1.01337,0.129434558979809,0.126231870274572,0.123929902439024,0.12145 1.06261,0.137335982996812,0.133099606048548,0.12994278699187,0.12723 1.14631,0.150767120085016,0.144773641066454,0.140163713821138,0.13547


QuantLib Python source code, Gaussian1dModels.py (Gaussian1dModels.cpp in QuantLib Examples Folder)

Gaussian1dModels.py    Select all
#!python2 #!/usr/bin/env python #Gaussian1dModels.py import QuantLib as ql def printBasket(basket): print ("%-20s %-20s %-20s %-20s %-20s %-20s" % ("Expiry", "Maturity", "Nominal", "Rate", "MarketVol", "Pay/Rec")) print ("==================================================================================================================") for i in range(0, len(basket)): expiryDate = basket[i].swaptionExpiryDate() endDate = basket[i].swaptionMaturityDate() nominal = basket[i].swaptionNominal() vol = basket[i].volatility().value() rate = basket[i].swaptionStrike() #type = basket[i].swaption.type() print ("%-20s %-20s %-20f %-20f %-20f" % (str(expiryDate), str(endDate), nominal, rate, vol)) print("==================================================================================================================") def printModelCalibration(basket, volatility): print ("%-20s %-20s %-20s %-20s %-20s %-20s" % ("Expiry","Model sigma","ModelPrice","MarketPrice","Model impVol","Market impVol")) print ("=================================================================================================================") for i in range(0, len(basket)): expiryDate = basket[i].swaptionExpiryDate() modelValue = basket[i].modelValue() marketValue= basket[i].marketValue() impVol = basket[i].impliedVolatility(modelValue, 1e-6, 1000, 0.0, 2.0) vol = basket[i].volatility().value() print ("%-20s %-20f %-20f %-20f %-20f %-20f" % (str(expiryDate), volatility[i], modelValue, marketValue, impVol, vol)) print("==================================================================================================================") refDate = ql.Date(30, 4, 2014) # Date refDate(30, April, 2014); ql.Settings.instance().setEvaluationDate(refDate) # Settings::instance().evaluationDate() = refDate; forward6mQuote = ql.QuoteHandle(ql.SimpleQuote(0.025)) # Handle<Quote> forward6mQuote(boost::make_shared(0.025)); oisQuote = ql.QuoteHandle(ql.SimpleQuote(0.02)) # Handle<Quote> oisQuote(boost::make_shared(0.02)); volQuote = ql.QuoteHandle(ql.SimpleQuote(0.2)) # Handle<Quote> volQuote(boost::make_shared(0.2)); dc = ql.Actual365Fixed() yts6m = ql.FlatForward(refDate, forward6mQuote, dc) ytsOis= ql.FlatForward(refDate, oisQuote, dc) yts6m.enableExtrapolation() ytsOis.enableExtrapolation() hyts6m = ql.RelinkableYieldTermStructureHandle(yts6m) t0_curve = ql.YieldTermStructureHandle(yts6m) t0_Ois = ql.YieldTermStructureHandle(ytsOis) euribor6m = ql.Euribor6M(hyts6m) swaptionVol = ql.ConstantSwaptionVolatility(0, ql.TARGET(), ql.ModifiedFollowing, volQuote, ql.Actual365Fixed()) # Handle<SwaptionVolatilityStructure> swaptionVol(boost::make_shared(0, TARGET(), ModifiedFollowing, volQuote, Actual365Fixed())); effectiveDate = ql.TARGET().advance(refDate, ql.Period('2D')) # Date effectiveDate = TARGET().advance(refDate, 2 * Days); maturityDate = ql.TARGET().advance(effectiveDate, ql.Period('10Y')) # Date maturityDate = TARGET().advance(effectiveDate, 10 * Years); fixedSchedule = ql.Schedule(effectiveDate, maturityDate, ql.Period('1Y'), ql.TARGET(), ql.ModifiedFollowing, ql.ModifiedFollowing, ql.DateGeneration.Forward, False) # Schedule fixedSchedule(effectiveDate, maturityDate, 1 * Years, TARGET(), ModifiedFollowing, ModifiedFollowing, DateGeneration::Forward, false); floatSchedule = ql.Schedule(effectiveDate, maturityDate, ql.Period('6M'), ql.TARGET(), ql.ModifiedFollowing, ql.ModifiedFollowing, ql.DateGeneration.Forward, False) # Schedule floatingSchedule(effectiveDate, maturityDate, 6 * Months, TARGET(), ModifiedFollowing, ModifiedFollowing, DateGeneration::Forward, false); # Vector input for the NonstandardSwap obj fixedNominal = [1 for x in range(0,len(fixedSchedule)-1)] floatingNominal = [1 for x in range(0,len(floatSchedule)-1)] strike = [0.04 for x in range(0,len(fixedSchedule)-1)] spread = [0 for x in range(0,len(floatSchedule)-1)] gearing = [1 for x in range(0,len(floatSchedule)-1)] underlying = ql.NonstandardSwap(ql.VanillaSwap.Payer, fixedNominal, floatingNominal, fixedSchedule, strike, ql.Thirty360(), floatSchedule, euribor6m, gearing, spread, ql.Actual360(), False, False, ql.ModifiedFollowing) # boost::shared_ptr<NonstandardSwap> underlying = boost::make_shared<NonstandardSwap>(VanillaSwap(VanillaSwap::Payer, 1.0, fixedSchedule, strike, Thirty360(), floatingSchedule, euribor6m, 0.00, Actual360())); exerciseDates = [ql.TARGET().advance(x, -ql.Period('2D')) for x in fixedSchedule] exerciseDates = exerciseDates[1:-1] # std::vector<Date> exerciseDates; # for (Size i = 1; i < 10; ++i) # exerciseDates.push_back(TARGET().advance(fixedSchedule[i], -2 * Days)); exercise = ql.BermudanExercise(exerciseDates) # boost::shared_ptr<Exercise> exercise = boost::make_shared<BermudanExercise>(exerciseDates, false); swaption = ql.NonstandardSwaption(underlying,exercise,ql.Settlement.Physical) # boost::shared_ptr<NonstandardSwaption> swaption = boost::make_shared<NonstandardSwaption>(underlying, exercise); stepDates = exerciseDates[:-1] # std::vector<Date> stepDates(exerciseDates.begin(), exerciseDates.end() - 1); sigmas = [ql.QuoteHandle(ql.SimpleQuote(0.01)) for x in range(1, 10)] # std::vector<Real> sigmas(stepDates.size() + 1, 0.01); reversion = [ql.QuoteHandle(ql.SimpleQuote(0.01))] # Real reversion = 0.01; gsr = ql.Gsr(t0_curve, stepDates, sigmas, reversion) # boost::shared_ptr<Gsr> gsr = boost::make_shared<Gsr>(yts6m, stepDates, sigmas, reversion); swaptionEngine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False, t0_Ois) # boost::shared_ptr<PricingEngine> swaptionEngine = boost::make_shared<Gaussian1dSwaptionEngine>(gsr, 64, 7.0, true, false, ytsOis); nonstandardSwaptionEngine = ql.Gaussian1dNonstandardSwaptionEngine(gsr, 64, 7.0, True, False, ql.QuoteHandle(ql.SimpleQuote(0)), t0_Ois) # boost::shared_ptr<PricingEngine> nonstandardSwaptionEngine = boost::make_shared<Gaussian1dNonstandardSwaptionEngine>(gsr, 64, 7.0, true, false, Handle<Quote>(), ytsOis); swaption.setPricingEngine(nonstandardSwaptionEngine) # swaption->setPricingEngine(nonstandardSwaptionEngine); swapBase = ql.EuriborSwapIsdaFixA(ql.Period('10Y'), t0_curve, t0_Ois) # boost::shared_ptr<SwapIndex> swapBase = boost::make_shared<EuriborSwapIsdaFixA>(10 * Years, yts6m, ytsOis); basket = swaption.calibrationBasket(swapBase, swaptionVol, 'Naive') # std::vector<boost::shared_ptr<CalibrationHelper> > basket = swaption->calibrationBasket(swapBase, *swaptionVol, BasketGeneratingEngine::Naive); for i in range(0, len(basket)): basket[i].setPricingEngine(swaptionEngine) # for (Size i = 0; i < basket.size(); ++i) basket[i]->setPricingEngine(swaptionEngine); method = ql.LevenbergMarquardt() # LevenbergMarquardt method; ec = ql.EndCriteria(1000, 10, 1e-8, 1e-8, 1e-8) # EndCriteria ec(1000, 10, 1E-8, 1E-8, 1E-8); gsr.calibrateVolatilitiesIterative(basket, method, ec) # gsr->calibrateVolatilitiesIterative(basket, method, ec); printBasket(basket) printModelCalibration(basket, gsr.volatility()) npv = swaption.NPV() print(npv)


Monday, April 24, 2017

How to install iOS toolchain for Windows 64 bit

The instructions are here https://coolstar.org/theos.pdf
First, to install Cygwin (Run setup-x86_64.exe) for 64 bit versions of Windows with wget, git, ca-certificates, make, perl, openssh and python packages
Suggest to install zip and unzip packages as well.

The setup scripts for theos, toolchain and sdks are
shellscript    Select all
# the toollchain requires sdk files which are large, bette to put them in external drive cd /cygdrive/e git clone https://github.com/coolstar/theos.git && mkdir -p theos/toolchain/windows git clone -b x86_64 https://github.com/coolstar/iOSToolchain4Win.git theos/toolchain/windows/iphone # setup environment variable for THEOS export THEOS=/cygdrive/e/theos # update theos submodule cd $THEOS git submodule update --init --recursive mkdir -p $THEOS/sdks cd $THEOS/sdks # install the sdk by extracting the .tbz2 files # for example tar xjvf iPhoneOS8.1.sdk.tbz2 # create a Projects Folder outside theos folder cd ~ mkdir -p Projects cd Projects # create iPhone/tool project name "hello" $THEOS/bin/nic.pl cd hello make


Additional SDKs are here
iPhoneOS9.1.sdk.tbz2 (armv7, armv7s, arm64) https://mega.nz/#!PlxzHYjA!5c02sMSF6AE1M5CjuMt66tpFWHFx6sms_zeNyGMCukQ
iPhoneOS8.1.sdk.tbz2 (armv7, armv7s, arm64) https://mega.nz/#!us40SJaa!EpVL_VUgUji_H6QuTY_0YX7IG3ljTDrpzQgA1DMh2l8
iPhoneOS7.1.sdk.tbz2 (armv7, armv7s, arm64) https://mega.nz/#!qgYgmKgA!UR3dQ9ryusm251B8QcvUIo-DS_E2WXcDZENoa3q07RE
iPhoneOS6.1.sdk.tbz2 (armv7, armv7s) https://mega.nz/#!nkZDRA4D!8hJWkgYH2d3CxNtuWctCswBaAAdx4BLVuOLjGGVvKiA
iPhoneOS5.1.sdk.tbz2 (armv6, armv7) https://mega.nz/#!f4ADHaTI!FM57l5XrZMKscOoRrcwQqvtA4tzJxi7q6oDAa5QX1n0
iPhoneOS4.2.sdk.tbz2 (armv6, armv7) https://mega.nz/#!e5xA2K7b!ccK0N-y94bmSb6ifntcStAtssvD8qK9e3uAwAgrpmEU
iPhoneOS3.2.sdk.tbz2 (armv6, armv7) https://mega.nz/#!rkoylDSD!gxpXglAgcme5Wm2JurW3GCgSzUe4Y6ePMsW627xZ8hs


Edit ~/Projects/hello/Makefile to the following to allow FAT binary for different sdks
Projects/hello/Makefile    Select all
TARGET := iphone:clang # location of theos directory export THEOS=/cygdrive/e/theos # The base SDK location is what you build your app against (i.e. library files and frameworks) THEOS_PLATFORM_SDK_ROOT_armv6 = $(THEOS)/sdks/iPhoneOS5.1.sdk THEOS_PLATFORM_SDK_ROOT_armv7 = $(THEOS)/sdks/iPhoneOS7.1.sdk THEOS_PLATFORM_SDK_ROOT_armv7s = $(THEOS)/sdks/iPhoneOS7.1.sdk THEOS_PLATFORM_SDK_ROOT_arm64 = $(THEOS)/sdks/iPhoneOS8.1.sdk SDKVERSION_armv6 = 5.1 # 5.1 (armv6, armv7) SDKVERSION_armv7 = 7.1 # 7.1 (armv7, armv7s, arm64) SDKVERSION_armv7s = 7.1 # 7.1 (armv7, armv7s, arm64) SDKVERSION_arm64 = 8.1 # 8.1 (armv7, armv7s, arm64) # The SDK for include files, usually they should match with the library files and frameworks SDK INCLUDE_SDKVERSION_armv6 = 5.1 INCLUDE_SDKVERSION_armv7 = 7.1 INCLUDE_SDKVERSION_armv7s = 7.1 INCLUDE_SDKVERSION_arm64 = 8.1 # Deployment Target is the minimum required iOS version you application needs to run # usually base sdk version >= deployment target version TARGET_IPHONEOS_DEPLOYMENT_VERSION_armv6 = 5.0 TARGET_IPHONEOS_DEPLOYMENT_VERSION_armv7 = 6.0 TARGET_IPHONEOS_DEPLOYMENT_VERSION_armv7s = 7.0 TARGET_IPHONEOS_DEPLOYMENT_VERSION_arm64 = 8.0 # the default iphone architectures for this project build IPHONE_ARCHS = armv6 armv7 armv7s arm64 # ignore warnings export GO_EASY_ON_ME=1 include $(THEOS)/makefiles/common.mk TOOL_NAME = hello hello_FILES = main.mm include $(THEOS_MAKE_PATH)/tool.mk


make again and examine the FAT binary
shellscript    Select all
cd ~/Projects/hello make clean make DEBUG=1 # examine the compiled FAT binary architecture $THEOS/toolchain/windows/iphone/bin/arm64-apple-darwin14-otool.exe -h .theos/obj/debug/hello




To install winpty in cygwin x64, type these commands
shellscript    Select all
wget --no-check-certificate https://github.com/rprichard/winpty/releases/download/0.4.2/winpty-0.4.2-cygwin-2.6.1-x64.tar.gz mkdir -p /usr/local tar xzvf winpty-0.4.2-cygwin-2.6.1-x64.tar.gz -C /usr/local/ --strip 1


Wednesday, March 29, 2017

How to install QuantLib Python for Windows 32 in offline installation

1. Download Python 2.7 Windows x86 MSI installer from

https://www.python.org/ftp/python/2.7.13/python-2.7.13.msi

2. Download required python packages and dependencies from

http://www.lfd.uci.edu/~gohlke/pythonlibs/#quantlib

QuantLib_Python‑1.9‑cp27‑cp27m‑win32.whl

Dependencies for matplotlib and others (win32)
six‑1.10.0‑py2.py3‑none‑any.whl
pyparsing‑2.2.0‑py2.py3‑none‑any.whl
packaging‑16.8‑py2.py3‑none‑any.whl
appdirs-1.4.3-py2.py3-none-any.whl
python_dateutil‑2.6.0‑py2.py3‑none‑any.whl
pytz‑2016.10‑py2.py3‑none‑any.whl
cycler‑0.10.0‑py2.py3‑none‑any.whl
setuptools‑34.3.3‑py2.py3‑none‑any.whl

numpy‑1.11.3+mkl‑cp27‑cp27m‑win32.whl
matplotlib‑1.5.3‑cp27‑cp27m‑win32.whl
xlrd-1.0.0-py2.py3-none-any.whl
pandas-0.19.2-cp27-cp27m-win32.whl
scipy‑0.19.0‑cp27‑cp27m‑win32.whl

3. Copy the above Installers and Packages to destination machine for offline installation

4. Install Python 2.7 and add Environment Variable PATH

SET PATH=C:\Python27;C:\Python27\Scripts;%PATH%

To be persistence, use sysdm.cpl to edit Advanced -> Environment Variables -> Path

or use py -2 to run python script under Windows OS without setting PATH
py -2 chap06.py

5. Install each and every the python packages above using pip

For example
pip install QuantLib_Python‑1.9‑cp27‑cp27m‑win32.whl

or if have python2 and python3 co-exist

py -2 -m pip install QuantLib_Python‑1.9‑cp27‑cp27m‑win32.whl

6. Microsoft Visual Studio not required

and no need to build your own QuantLib-Python library
However, a code editor like Microsoft VS Code is recommended.
https://code.visualstudio.com/download
(requirement : .NET Framework 4.5.2 for Windows 7)

Offline VS code extension for python can be downloaded from
https://donjayamanne.gallery.vsassets.io/_apis/public/gallery/publisher/donjayamanne/extension/python/0.6.0/assetbyname/Microsoft.VisualStudio.Services.VSIXPackage
see stack overflow discussion here http://stackoverflow.com/questions/37071388/how-to-install-vscode-extensions-offline

or NotePad ++
https://notepad-plus-plus.org/download/


7. Test

The code is borrowed from QuantLib Python Cookbook chapter 06 (requires QuantLib-Python, matplotlib)
chap06.py    Select all
#! python2 #!/usr/bin/env python # pylint: disable-msg=C0103 # Interest-rate Curves # Chapter 6 EONIA curve bootstrapping # Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask # In[1] import math # In[2] from QuantLib import * print ("\nOut[1]:") print ("QuantLib version", QuantLib.__version__) # In[3] # setup evaluationDate today = Date(11, December,2012) Settings.instance().evaluationDate = today # In[4] # setup DepositRateHelper for 0-2 days helpers = [ DepositRateHelper(QuoteHandle(SimpleQuote(rate/100)), Period(1,Days), fixingDays, TARGET(), Following, False, Actual360()) for rate, fixingDays in [(0.04, 0), (0.04, 1), (0.04, 2)] ] # DepositRateHelper (const Handle< Quote > &rate, # const Period &tenor, # Natural fixingDays, # const Calendar &calendar, # BusinessDayConvention convention, # bool endOfMonth, # const DayCounter &dayCounter) # DepositRateHelper (Rate rate, # const Period &tenor, # Natural fixingDays, # const Calendar &calendar, # BusinessDayConvention convention, # bool endOfMonth, # const DayCounter &dayCounter) # In[5] """ Eonia(const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Eonia (Euro Overnight Index Average) rate fixed by the ECB HKDHibor(const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) """ eonia = Eonia() """ http://quant.stackexchange.com/questions/32345/quantlib-python-dual-curve-bootstrapping-example swap-rate helpers used to bootstrap the LIBOR curve can take a discount curve to use. In the old single-curve examples, a SwapRateHelper instance would be created as helper = SwapRateHelper(quoted_rate, tenor, calendar, fixedLegFrequency, fixedLegAdjustment, fixedLegDayCounter, Euribor6M()) and use the curve being bootstrapped for both forecast and discounting. To use dual-curve bootstrapping, instead, you'll have to build it as helper = SwapRateHelper(quoted_rate, tenor, calendar, fixedLegFrequency, fixedLegAdjustment, fixedLegDayCounter, Euribor6M(), QuoteHandle(), Period(0,Days), # needed as default value discountCurve) # the discountCurve argument would be a handle to the OIS curve that you bootstrapped previously SwapRateHelper (Rate rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote < &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) In the above, the additional QuoteHandle() and Period(0,Days) arguments are, unfortunately, needed because the SWIG wrappers don't support keyword arguments for this constructor; and the discountCurve argument would be a handle to the OIS curve that you bootstrapped previously. When the swap-rate helpers are instantiated as above, they will use the LIBOR curve being bootstrapped for forecast and the OIS curve for discounting. """ # In[6] # Overnight Index Swap rate # setup OISRateHelper for 1,2,3 weeks and 1 month helpers += [ OISRateHelper(2, Period(*tenor), QuoteHandle(SimpleQuote(rate/100)), eonia) for rate, tenor in [(0.070, (1,Weeks)), (0.069, (2,Weeks)), (0.078, (3,Weeks)), (0.074, (1,Months))] ] # In[7] """ DatedOISRateHelper(const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex) """ # setup DatedOISRateHelper helpers += [ DatedOISRateHelper(start_date, end_date, QuoteHandle(SimpleQuote(rate/100)), eonia) for rate, start_date, end_date in [(0.046, Date(16,January,2013), Date(13,February,2013)), (0.016, Date(13,February,2013), Date(13,March,2013)), (-0.007, Date(13,March,2013), Date(10,April,2013)), (-0.013, Date(10,April,2013), Date(8,May,2013)), (-0.014, Date(8,May,2013), Date(12,June,2013))] ] # In[8] """ Overnight Index Swap rate OISRateHelper(Natural settlementDays, const Period &tenor, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex) """ # setup OISRateHelper from 15 months to 30 years helpers += [ OISRateHelper(2, Period(*tenor), QuoteHandle(SimpleQuote(rate/100)), eonia) for rate, tenor in [(0.002, (15,Months)), (0.008, (18,Months)), (0.021, (21,Months)), (0.036, (2,Years)), (0.127, (3,Years)), (0.274, (4,Years)), (0.456, (5,Years)), (0.647, (6,Years)), (0.827, (7,Years)), (0.996, (8,Years)), (1.147, (9,Years)), (1.280, (10,Years)), (1.404, (11,Years)), (1.516, (12,Years)), (1.764, (15,Years)), (1.939, (20,Years)), (2.003, (25,Years)), (2.038, (30,Years))] ] # In[9] eonia_curve_c = PiecewiseLogCubicDiscount(0, TARGET(), helpers, Actual365Fixed()) """ # QuantLib-SWIG/SWIG/piecewiseyieldcurve.i %define export_piecewise_curve(Name, Base, Interpolator) export_piecewise_curve(PiecewiseLogCubicDiscount, Discount, MonotonicLogCubic); PiecewiseYieldCurve<Base,Interpolator>( settlementDays, # Integer settlementDays, calendar, # const Calendar& calendar, instruments, # const std::vector<boost::shared_ptr<RateHelper> >& instruments, dayCounter, # const DayCounter& dayCounter, jumps, # const std::vector<Handle<Quote> >& jumps=std::vector<Handle<Quote> >(), jumpDates, # const std::vector<Date>& jumpDates = std::vector<Date>(), accuracy, # Real accuracy = 1.0e-12, i # const Interpolator& i = Interpolator() ) """ eonia_curve_c.enableExtrapolation() # In[10] today = eonia_curve_c.referenceDate() end = today+Period(2,Years) dates = [ Date(serial) for serial in range(today.serialNumber(), end.serialNumber()+1) ] rates_c = [ eonia_curve_c.forwardRate(d, TARGET().advance(d, 1, Days), Actual360(), Simple).rate()*100 for d in dates ] # In[11] import matplotlib.pyplot as plt plt.title("Multiple Interest Rate Curve Bootstrapping") plt.plot(rates_c, '-') plt.ylabel('Rates') plt.show() # get spot rates spots = [] tenors = [] today = eonia_curve_c.referenceDate() end = today+Period(2,Years) dates = [ Date(serial) for serial in range(today.serialNumber(), end.serialNumber()+1) ] #for d in eonia_curve_c.dates(): # return boost::dynamic_pointer_cast<Name>(*self)->dates(); for d in dates: day_count = Actual360() yrs = day_count.yearFraction(today, d) compounding = Simple freq = Annual zero_rate = eonia_curve_c.zeroRate(yrs, compounding, freq) tenors.append(yrs) eq_rate = zero_rate.equivalentRate(day_count, compounding, freq, today, d).rate() spots.append(100*eq_rate) plt.title('Discount Curve') plt.plot(tenors[1::], spots[1::], linewidth=2.0) plt.xlabel('tenor (Y)') plt.ylabel('spot (%)') plt.show()





8. Test2, requires QuantLib, numpy, scipy, matplotlib

The code is borrowed from QuantLib Python Cookbook chapter 13
chap13.py    Select all
#! python2 #!/usr/bin/env python # pylint: disable-msg=C0103 # Interest-rate Models # Chapter 13 Thoughts on the Convergence of Hull-White Model Monte-Carlo Simulations # In[1] import QuantLib as ql print ("\nOut[1]:") print ("QuantLib version", ql.__version__) import matplotlib.pyplot as plt import numpy as np from scipy.integrate import simps, cumtrapz, romb # % matplotlib inline import math todays_date = ql.Date(15, 1, 2015) ql.Settings.instance().evaluationDate = todays_date # In[2] # <!-- collapse=True --> def get_path_generator(timestep, hw_process, length, low_discrepancy=False, brownian_bridge=True): """ Returns a path generator The `get_path_generator` function creates the a path generator. This function takes various inputs such as """ if low_discrepancy: usg = ql.UniformLowDiscrepancySequenceGenerator(timestep) rng = ql.GaussianLowDiscrepancySequenceGenerator(usg) seq = ql.GaussianSobolPathGenerator( hw_process, length, timestep, rng,brownian_bridge) else: usg = ql.UniformRandomSequenceGenerator(timestep, ql.UniformRandomGenerator()) rng = ql.GaussianRandomSequenceGenerator(usg) seq = ql.GaussianPathGenerator( hw_process, length, timestep, rng, brownian_bridge) return seq # In[3] # <!-- collapse=True --> def generate_paths(num_paths, timestep, seq): """ The `generate_paths` function uses the generic path generator produced by the `get_path_generator` function to return a tuple of the array of the points in the time grid and a matrix of the short rates generated." """ arr = np.zeros((num_paths, timestep+1)) for i in range(num_paths): sample_path = seq.next() path = sample_path.value() time = [path.time(j) for j in range(len(path))] value = [path[j] for j in range(len(path))] arr[i, :] = np.array(value) return np.array(time), arr # In[4] # <!-- collapse=True --> def generate_paths_zero_price(spot_curve_handle, a, sigma, timestep, length, num_paths, avg_grid_array, low_discrepancy=False, brownian_bridge=True): """ This function returns a tuple (T_array, F_array), where T_array is the array of points in the time grid, and F_array is the array of the average of zero prices observed from the simulation. The `generate_paths_zero_price` essentially is a wrapper around `generate_path_generator` and `generate_paths` taking all the required raw inputs. This function returns the average of zero prices from all the paths for different points in time. I wrote this out so that I can conveniently change all the required inputs and easily plot the results." """ hw_process = ql.HullWhiteProcess(spot_curve_handle, a, sigma) seq = get_path_generator( timestep, hw_process, length, low_discrepancy, brownian_bridge ) time, paths = generate_paths(num_paths, timestep, seq) avgs = [(time[j], (np.mean([math.exp(-simps(paths[i][0:j], time[0:j])) for i in range(num_paths)]))) for j in avg_grid_array ] return zip(*avgs) def generate_paths_discount_factors(spot_curve_handle, a, sigma, timestep, length, num_paths, avg_grid_array, low_discrepancy=False, brownian_bridge=True): """ This function returns a tuple (T_array, S_matrix), where T_array is the array of points in the time grid, and S_matrix is the matrix of the spot rates for each path in the different points in the time grid. """ hw_process = ql.HullWhiteProcess(spot_curve_handle, a, sigma) seq = get_path_generator( timestep, hw_process, length, low_discrepancy, brownian_bridge ) time, paths = generate_paths(num_paths, timestep, seq) arr = np.zeros((num_paths, len(avg_grid_array))) for i in range(num_paths): arr[i, :] = [np.exp(-simps(paths[i][0:j], time[0:j])) for j in avg_grid_array ] t_array = [time[j] for j in avg_grid_array] return t_array, arr def V(t,T, a, sigma): """ Variance of the integral of short rates, used below """ return sigma*sigma/a/a*(T-t + 2.0/a*math.exp(-a*(T-t)) - 1.0/(2.0*a)*math.exp(-2.0*a*(T-t)) - 3.0/(2.0*a) ) # In[5] # <!-- collapse=True --> # Here we vary sigma with fixed a and observe the error epsilon # define constants num_paths = 500 sigma_array = np.arange(0.01,0.1,0.03) a = 0.1 timestep = 180 length = 15 # in years forward_rate = 0.05 day_count = ql.Thirty360() avg_grid_array = np.arange(12, timestep+1, 12) # generate spot curve spot_curve = ql.FlatForward( todays_date, ql.QuoteHandle(ql.SimpleQuote(forward_rate)), day_count ) spot_curve_handle = ql.YieldTermStructureHandle(spot_curve) #initialize plots figure, axis = plt.subplots() plots = [] zero_price_theory = np.array([spot_curve.discount(j*float(length)/float(timestep)) for j in avg_grid_array]) for sigma in sigma_array: term, zero_price_empirical = generate_paths_zero_price( spot_curve_handle, a, sigma, timestep, length, num_paths, avg_grid_array ) plots += axis.plot( term, np.abs(zero_price_theory - np.array(zero_price_empirical)), lw=2, alpha=0.6, label="$\sigma=$"+str(sigma) ) # plot legend labels = [p.get_label() for p in plots] legend =axis.legend(plots,labels, loc=0)#, loc=0, bbox_to_anchor=(1.1,0.4)) axis.set_xlabel("T (years)", size=12) axis.set_ylabel("|$\epsilon(T)$|", size=12) axis.set_title("Out[5]:Discount Factor Error for $a=$%0.2f and Varying $\sigma$"%a, size=14) plt.show() # In[6] # <!-- collapse=True --> # Here we vary a with fixed sigma and observe the error epsilon # define constants num_paths = 500 sigma = 0.1 a_array = np.arange(0.1, 0.51, 0.1) timestep = 180 length = 15 # in years forward_rate = 0.05 day_count = ql.Thirty360() avg_grid_array = np.arange(12, timestep+1, 12) # generate spot curve spot_curve = ql.FlatForward( todays_date, ql.QuoteHandle(ql.SimpleQuote(forward_rate)), day_count ) spot_curve_handle = ql.YieldTermStructureHandle(spot_curve) #initialize plots figure, axis = plt.subplots() plots = [] zero_price_theory = np.array([spot_curve.discount(j*float(length)/float(timestep)) for j in avg_grid_array]) for a in a_array: term, zero_price_empirical = generate_paths_zero_price( spot_curve_handle, a, sigma, timestep, length, num_paths, avg_grid_array ) plots += axis.plot( term,np.abs(zero_price_theory - np.array(zero_price_empirical)), lw=2, alpha=0.6, label="a="+str(a) ) # plot legend labels = [p.get_label() for p in plots] legend =axis.legend(plots,labels, loc=0)#, loc=0, bbox_to_anchor=(1.1,0.4)) axis.set_xlabel("T (years)", size=12) axis.set_ylabel("|$\\epsilon(T)$|", size=12) axis.set_title("Out[6]:Discount Factor Error for $\sigma$=%0.2f and Varying $a$"%sigma, size=14) plt.show() # In[7] # <!-- collapse=True --> #define constants num_paths = 500 sigma = 0.02 a = 0.1 timestep = 180 length = 15 # in years forward_rate = 0.05 day_count = ql.Thirty360() avg_grid_array = np.arange(1, timestep+1, 12) # generate spot curve spot_curve = ql.FlatForward( todays_date, ql.QuoteHandle(ql.SimpleQuote(forward_rate)), day_count ) spot_curve_handle = ql.YieldTermStructureHandle(spot_curve) term, discount_factor_matrix = generate_paths_discount_factors( spot_curve_handle, a, sigma, timestep, length, num_paths, avg_grid_array ) vol = [np.var(discount_factor_matrix[:, i]) for i in range(len(term))] l1 = plt.plot(term, 100*np.sqrt(vol),"b", lw=2, alpha=0.6, label="Empirical") vol_theory = [100*np.sqrt(math.exp(V(0,T,a, sigma))-1.0) * spot_curve_handle.discount(T) for T in term] l2 = plt.plot(term, vol_theory,"r--", lw=2, alpha=0.6, label="Theory") plots = l1+l2 labels = [p.get_label() for p in plots] legend =plt.legend(plots,labels, loc=0) plt.xlabel("Time (Years)", size=12) plt.ylabel("$\sigma_D(0,T)$ (%)", size=12) plt.title("Out[7]:Standard Deviation of Discount Factors " "(a=%0.2f, $\sigma$=%0.2f)"%(a, sigma), size=14) plt.show()




9. Test3, requires QuantLib, numpy, panda, xlrd

The code is using QuantLib, numpy, panda and xlrd to read xls data
testreadxls.py    Select all
#! python2 #!/usr/bin/env python # pylint: disable-msg=C0103 # pylint: disable-msg=C0301 # testreadxls.py import os import pandas import numpy as np import QuantLib as ql xls_file = os.path.dirname(os.path.realpath(__file__)) + '/usd_market_data_2016-07-13.xls' #alternate way to mount google drive and read xlsx file data #import os #from google.colab import drive #drive.mount('/content/drive') #xls_file = '/content/drive/My Drive/usd_market_data_2016-07-13.xlsx' # if the file is in csv format #csv_file = '/content/drive/My Drive/usd_market_data_2016-07-13.csv' #csv = pandas.read_csv(csv_file) #print("\nCSV data\n") #print(csv) #print (csv.loc[:, 'dates']) #print (csv.iloc[0:, 1]) #discounts_csv = np.array(csv.iloc[0:,1].tolist()) #print(discounts_csv) xl = pandas.ExcelFile(xls_file) print (xl.sheet_names) #df = xl.parse("usdstd") #df = xl.parse(0) # alternate way to read first worksheet filename = xls_file sheetname = 'usdois' sheet = pandas.read_excel(filename, sheetname) # Read an Excel table into a pandas DataFrame #sheet = pandas.read_excel(filename, 0) # alternate way to read first worksheet instead of name print (sheet.columns) #tenors = np.array([Date.from_timestamp(d).t for d in sheet['dates']]) today = ql.Date(21,3,2016) act365 = ql.Actual365Fixed() dates = np.array([ql.Date(d.day, d.month, d.year) for d in sheet['dates']]) #dates = np.array([ql.Date(d.day, d.month, d.year) for d in df.iloc[0:,0]]) # use iloc to read first column, all rows print ("\nusd_market_data_2016-07-13.xls dates column") print (dates) tenors = np.array([act365.yearFraction(today,ql.Date(d.day, d.month, d.year)) for d in sheet['dates']]) print ("\nusd_market_data_2016-07-13.xls dates column convert to tenor") print (tenors) print ("\nusd_market_data_2016-07-13.xls discounts column") discounts = np.array(sheet['discounts'].tolist()) #discounts = np.array(df.iloc[0:,1].tolist()) # use iloc to read second column, all rows print (discounts)


Assume the usd_market_data_2016-07-13.xls sheet usdois (first worksheet) has the following data
https://mega.nz/#!m4Bh2TJD!KVZbvAn4D_sSR8-FYJtNASkiWvY2TWZ1LokJ-vcw-u4


10. Test3, requires QuantLib, pandas, matplotlib

The code demonstrates the download of Interest Rate xml market data from markit.com and Bootstrapping IR Curve in QuantLib
test_xml_download.py    Select all
#!python2 #!/usr/bin/env python # pylint: disable-msg=C0103 # pylint: disable-msg=C0301 # test_xml_download.py from QuantLib import * print ("\nQuantLib version", QuantLib.__version__) import urllib import zipfile import xml.etree.ElementTree as ET import pandas as pd import datetime as dt from matplotlib.dates import YearLocator, MonthLocator, DateFormatter from matplotlib.ticker import FuncFormatter import sys if sys.version_info[0] >= 3: from urllib.request import urlretrieve else: # Not Python 3 - today, it is most likely to be Python 2 # But note that this might need an update when Python 4 # might be around one day from urllib import urlretrieve def to_datetime(d): """ to_datetime """ return dt.datetime(d.year(), d.month(), d.dayOfMonth()) def format_rate(r, p=2): """ format_rate """ return '{0:.{prec}f}%'.format(r*100.00, prec=p) period_dict = {str(k)+'M': (k, Months) for k in range(1, 12, 1)} d2 = {str(k)+'Y': (k, Years) for k in range(1, 50, 1)} period_dict.update(d2) (ir_currency, ir_date) = ('USD', '20170331') url = 'https://www.markit.com/news/InterestRates_%s_%s.zip' % (ir_currency, ir_date) #filehandle, _ = urllib.urlretrieve(url) filehandle, _ = urlretrieve(url) zip_file_object = zipfile.ZipFile(filehandle, 'r') interest_rate_file = zip_file_object.open(zip_file_object.namelist()[1]) content = interest_rate_file.read() #print (content) root = ET.fromstring(content) print ("\nInfo on InterestRates_%s_%s" % (ir_currency, ir_date)) for a in [root.find(b) for b in ['./currency', './effectiveasof', './deposits/daycountconvention', './deposits/snaptime', './deposits/spotdate', './swaps/fixeddaycountconvention', './swaps/floatingdaycountconvention', './swaps/snaptime', './swaps/spotdate']]: print (a.tag, a.text) effectiveasof = root.find('./effectiveasof').text currency = root.find('./currency').text today = DateParser.parseFormatted(effectiveasof, '%Y-%m-%d') Settings.instance().evaluationDate = today print ("\nDeposit Rates") deposits_maturitydates = [a.text for a in root.findall('.//deposits/curvepoint/maturitydate')] deposits_parrates_text = [a.text for a in root.findall('.//deposits/curvepoint/parrate')] deposits_tenors = [a.text for a in root.findall('.//deposits/curvepoint/tenor')] deposits_periods = [period_dict[a] for a in deposits_tenors] print (pd.DataFrame(zip(deposits_tenors, deposits_maturitydates, map(float, deposits_parrates_text)), columns=('Tenor', 'Maturity', 'Parrate'))) maturity_dict = {} for t, m in zip(deposits_tenors, deposits_maturitydates): d = {t: m} maturity_dict.update(d) print ("\nSwap Rates") swaps_maturitydates = [a.text for a in root.findall('.//swaps/curvepoint/maturitydate')] swaps_parrates_text = [a.text for a in root.findall('.//swaps/curvepoint/parrate')] swaps_tenors = [a.text for a in root.findall('.//swaps/curvepoint/tenor')] swaps_periods = [period_dict[a] for a in swaps_tenors] print (pd.DataFrame(zip(swaps_tenors, swaps_maturitydates, map(float, swaps_parrates_text)), columns=('Tenor', 'Maturity', 'Parrate'))) for t, m in zip(swaps_tenors, swaps_maturitydates): d = {t: m} maturity_dict.update(d) #print (maturity_dict) euribor6m = Euribor6M() helpers = [DepositRateHelper(rate, Period(*tenor), 2, TARGET(), Following, False, Actual360()) for tenor, rate in zip(deposits_periods, map(float, deposits_parrates_text))] helpers += [SwapRateHelper(rate, Period(*tenor), TARGET(), Semiannual, Unadjusted, Thirty360(), euribor6m) for tenor, rate in zip(swaps_periods, map(float, swaps_parrates_text))] curve = PiecewiseLogCubicDiscount(2, TARGET(), helpers, Actual360()) curve.enableExtrapolation() spot = curve.referenceDate() #dates = [spot+Period(i,Months) for i in range(0, 30*12+1)] dates = [spot+Period(i, Years) for i in range(0, 30)] rates = [curve.forwardRate(d, euribor6m.maturityDate(d), Actual360(), Simple).rate() for d in dates] valid_dates = [d for d in dates if d >= spot] import matplotlib.pyplot as plt fig, ax = plt.subplots() fig.autofmt_xdate() ax.plot_date([to_datetime(d) for d in valid_dates], rates, '-') ax.set_xlim(to_datetime(min(dates)), to_datetime(max(dates))) ax.xaxis.set_major_locator(YearLocator(2, month=today.month(), day=today.dayOfMonth())) ax.xaxis.set_major_formatter(DateFormatter("%Y")) ax.xaxis.grid(True, 'major') ax.xaxis.grid(False, 'minor') ax.yaxis.set_major_formatter(FuncFormatter(lambda r, pos: format_rate(r))) plt.title("%s Interest Rate Curve Bootstrapping, effective %s" % (currency, effectiveasof)) plt.xlabel('Year') plt.ylabel('Rates') plt.show()






11. Compile QuantLib Python 1.10 for Mac

script.sh    Select all
# install Xcode and HomeBrew # ruby -e "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/master/install)" # install boost brew install boost # Download QuantLib-1.10 cd $(HOME)/Downloads wget --no-check-certificate https://jaist.dl.sourceforge.net/project/quantlib/test/QuantLib-1.10.tar.gz tar xzvf QuantLib-1.10.tar.gz # Compile QuantLib 1.10 cd QuantLib-1.10 ./configure --prefix=/usr/local/ CXXFLAGS='-O2 -stdlib=libstdc++ -mmacosx-version-min=10.6' LDFLAGS='-stdlib=libstdc++ -mmacosx-version-min=10.6' make && sudo make install # test compile c++ g++ Bonds.cpp -std=c++11 -stdlib=libstdc++ -o Bonds -lQuantLib ./Bonds # Download QuantLib-SWIG 1.10 cd $(HOME)/Downloads wget --no-check-certificate https://jaist.dl.sourceforge.net/project/quantlib/test/QuantLib-SWIG-1.10.tar.gz tar xzvf QuantLib-SWIG-1.10.tar.gz # Compile QuantLib Python cd QuantLib-SWIG-1.10 ./configure CXXFLAGS='-O2 -stdlib=libstdc++ -mmacosx-version-min=10.6' make -C Python make -C Python check sudo make -C Python install # Package wheel file sudo -H python pip install setuptools wheel cd $(HOME)/Downloads/QuantLib-SWIG-1.10/Python # Modify setup.py and replace from distutils.core import setup, Extension # By try: from setuptools import setup, Extension except: from distutils.core import setup, Extension # python 2 wheel file python setup.py bdist_wheel ls dist/ # python 3 wheel file LDFLAGS="-arch x86_64 -bundle -flat_namespace -undefined suppress" CFLAGS="-fno-strict-aliasing -Wsign-compare -fno-common -static -arch x86_64 -Wno-shorten-64-to-32" python3 setup.py bdist_wheel ls dist/


QuantLib_Python-1.10-cp27-cp27m-macosx_10_10_intel.whl download

QuantLib_Python-1.10-cp36-cp36m-macosx_10_6_intel.whl download
For Python3, have to install libQuantLib to /usr/local/lib
cd /usr/local/lib
sudo tar xzvf ~/Download/libQuantLib.tgz
Download libQuantLib.tgz here https://mega.nz/#!rpJg0B6T!NlG3Ijgo0weNOi_CVOkCzpGCMRqHZkWSeF3S0sAR12o



12. For Windows 64-bit, Regeneration of python SWIG interface method
If you need to edit the SWIG interface file and add functionality in QuantLib Python, you need to regenerate.


script.cmd    Select all
# First, compile QuantLib using Visual Studio 2015. # Select 21 projects and right click select Property -> All Configurations Add C:\local\boost_1_59_0; to the Property Pages : VC++ Include directories to win32 platform and Add C:\local\boost_1_59_0\lib32-msvc-14.0; to the VC++ Libs directories to win32 platform # Select All Configurations Add C:\local\boost_1_59_0_64; to the Property Pages : VC++ Include directories to x64 platform and Add C:\local\boost_1_59_0_64\lib64-msvc-14.0; to the VC++ Libs directories to x64 platform # Add /wd4819 to Command Line : Additional Options to disable C4819 warnings when compiling Quantlib to both win32 and x64 platform # Build Release x64 Solution or Release win32 Solution. # setting of QuantLib Project directory, e.g. SET QL_DIR=C:\local\QuantLib-1.10\QuantLib-1.10 # or alternatively, edit the setup.py # QL_INSTALL_DIR = r'C:\local\QuantLib-1.10\QuantLib-1.10' # setting of compiled libraries location for QuantLib ('QuantLib-vc140-x64-mt.lib') and Boost, e.g. for x64 platform SET LIB=C:\local\boost_1_59_0_64\lib64-msvc-14.0 # setting of Boost Project directory, e.g. SET INCLUDE=C:\local\boost_1_59_0_64 # setting of SWIGWIN.exe PATH, e.g. SET PATH=C:\local\swigwin-3.0.12;%PATH% # setting of VISUAL STUDIO 2015 (Version 14) SET VS90COMNTOOLS=%VS140COMNTOOLS% # Edit SWIG interface file if any C:\local\QuantLib-1.10\QuantLib-SWIG-1.10\SWIG\*.i # e.g. edit piecewiseyieldcurve.i and add at the end # export_piecewise_curve(PiecewiseLogLinearDiscount,Discount,LogLinear); # Wrap the edited interface file again after edit py -2 setup.py wrap # compile using msvc # need to edit setup.py to add ,'/wd4819' to the extra_compile_args to disable warnings py -2 setup.py build --compiler=msvc # must use Administrator Command Prompt to install py -2 -m setup.py install --skip-build # generation of wheel file is same as above that is modify setup.py first # need to install setuptools and wheel py -2 -m pip install setuptools wheel py -2 setup.py test py -2 setup.py bdist_wheel dir dist


Visual Studio 2015 setup https://mega.nz/#!70ZwyARa!z4et3sKwguU16tEbCYTdwBC1VEkNJTTakryrDRBSKM8


Saturday, December 31, 2016

How to create bootable PIXEL USB stick for Mac

The Debian+PIXEL is for x86 platforms. The PIXEL ISO, which is a 1.3GB download.


The latest RASPBERRY PI DESKTOP image is DEBIAN STRETCH (add nomodeset in enterprise.cfg) https://downloads.raspberrypi.org/rpd_x86/images/rpd_x86-2017-12-01/2017-11-16-rpd-x86-stretch.iso

Reference : Fixing booting of the x86 image on Macs

Instructions to create EFI bootable USB stick for Mac. (tested working on my old MacBook Air 11-inch, Late 2010, Intel Core 2 Duo)

shell script    Select all
And here are the instructions to create EFI bootable USB stick on Mac # Running on Mac # list disk volumes diskutil list # assume format USB stick (64G) on /dev/disk1 with 2 partitions 8g and remaining 55g respectively # if for 32G USB stick, the 2 partition sizes can be divided into 4g and remaining 27g respectively sudo diskutil partitionDisk /dev/disk1 MBRFormat FAT32 LINUX 8g FAT32 PERSISTENCE 0b # for older Mac OSX 10.6, the partition type is "MS-DOS FAT32" # sudo diskutil partitionDisk /dev/disk1 MBRFormat "MS-DOS FAT32" LINUX 8g "MS-DOS FAT32" PERSISTENCE 0b mkdir -p /Volumes/LINUX/efi/boot # Download Enterprise-0.4.0.tar.gz to ~/Download # from https://github.com/SevenBits/Enterprise/releases cd ~/Downloads curl -OL https://github.com/SevenBits/Enterprise/releases/download/v0.4.0/Enterprise-0.4.0.tar.gz tar xzvf Enterprise-0.4.0.tar.gz cp ~/Downloads/Enterprise-0.4.0/*.efi /Volumes/LINUX/efi/boot/ cp ~/Downloads/2016-12-13-pixel-x86-jessie.iso /Volumes/LINUX/efi/boot/boot.iso # create enterprise.cfg cat > /Volumes/LINUX/efi/boot/enterprise.cfg << EOF autoboot 0 entry Debian family Debian initrd /live/initrd1.img kernel /live/vmlinuz1 findiso=/efi/boot/boot.iso boot=live config live-config quiet splash EOF # umount disk sudo diskutil unmountDisk disk1 # Reboot Mac and press Option key on restart and select EFI Boot for boot menu # Running on Debian PIXEL sudo fdisk -l #assume /dev/sdb is the USB stick sudo fdisk /dev/sdb # (d) (2) to delete partition 2 # and then (n) (p) (2) to recreate primary partition 2 for Linux in fdisk # (w) to write to partition table and quit fdisk # Reboot to let partition table effective # Running on Debian PIXEL # unmount /dev/sdb2 sudo umount /dev/sdb2 # format and label /dev/sdb2 sudo mkfs.ext4 -L persistence /dev/sdb2 # rename /dev/sdb2 if manually # sudo e2label /dev/sdb2 "persistence" # create persistence.conf sudo mkdir -p /mnt/persistence sudo mount -t ext4 /dev/sdb2 /mnt/persistence echo / union | sudo tee /mnt/persistence/persistence.conf #unmount /dev/sdb2 sudo umount /dev/sdb2 # Reboot # Running on Mac # recreate enterprise.cfg with persistence cat > /Volumes/LINUX/efi/boot/enterprise.cfg << EOF autoboot 0 entry Debian family Debian initrd /live/initrd1.img kernel /live/vmlinuz1 findiso=/efi/boot/boot.iso boot=live config live-config quiet splash persistence EOF # Reboot and Running on Debian PIXEL to verify the persistence mounting df -h


Additional configurations or installation for PIXEL using Terminal
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# username of this image is pi # password is raspberry #keyboard configuration #Preferences -> Mouse and Keyboard Settings -> Keyboard -> Keyboard Layout... sudo dpkg-reconfigure keyboard-configuration #reload the keymap (need reboot to be effective) sudo invoke-rc.d keyboard-setup start #reset timezone sudo dpkg-reconfigure tzdata #generate locale sudo dpkg-reconfigure locales sudo locale-gen en_US.UTF-8 # requires reboot sudo update-locale LC_ALL="en_US.UTF-8" #scan private hidden SSID network sudo iwlist wlan0 scanning essid "yourSSID" # then edit /etc/wpa_supplicant/wpa_supplicant.conf and add scan_ssid=1 in the network block for auto scan #reset wireless interface sudo ifdown wlan0 sudo ifup wlan0 # or sudo service network-manager restart # For Buster or above sudo vi /etc/network/interfaces.d/wlan0 wpa-scan-ssid 1 wpa-ssid "Your SSID network" wpa-key-mgmt WPA-PSK wpa-psk "password" # then reboot #reinstall sshd on the system sudo apt-get update sudo apt-get purge openssh-server sudo apt-get install -y openssh-server ssh # List available upgrade sudo apt-get update sudo apt-get -V -u --assume-no upgrade #two fingers tap on touch pad for Right Click synclient tapbutton2=3 #node.js x86 (32 bit) download cd $HOME wget --no-check-certificate https://nodejs.org/dist/v6.9.2/node-v6.9.2-linux-x86.tar.xz tar xJvf node-v6.9.2-linux-x86.tar.xz # put this in $HOME/.bashrc export PATH=$HOME/node-v6.9.2-linux-x86/bin:$PATH #google app engine for python download cd $HOME wget --no-check-certificate https://storage.googleapis.com/appengine-sdks/featured/google_appengine_1.9.49.zip unzip google_appengine_1.9.49.zip # put this in $HOME/.bashrc export PATH=$HOME/google_appengine:$PATH #Traditional Chinese input method, need reboot to be effective and control+space to activate #Choose Auto in Preferences -> Input Method sudo apt-get install -y scim-tables-zh im-config # install additional Chinese fonts sudo apt-get install -y ttf-wqy-microhei ttf-wqy-zenhei xfonts-wqy # install vlc sudo apt-get install -y vlc browser-plugin-vlc # restart control panel lxpanelctl restart #install spotify #add repo and certificate see instructions here https://www.spotify.com/download/linux/ sudo apt-get update sudo apt-get install -y spotify-client Here is Visual Studio Code (32 bits) for Debian https://go.microsoft.com/fwlink/?LinkID=760680








EFI bootable USB stick for Ubuntu 16.10 Exton x64 platforms (PC or Mac)

exton-os-64bit-mate-refracta-1840mb-161231.iso (which is Ubuntu 16.10 for x64 platforms) can be downloaded from here https://sourceforge.net/projects/exton-os/ and copy to /Volumes/LINUX/efi/boot/ as boot.iso

or alternatively use the exton-os-light-64bit-isohybrid-970mb-161021.iso image from https://sourceforge.net/projects/exton-os/files/

The setup for this image for persistence in Mac is similar to the Debian PIXEL above
except the enterprise.cfg content should be
shell script    Select all
cat > /Volumes/LINUX/efi/boot/enterprise.cfg << EOF autoboot 0 entry Ubuntu family Ubuntu initrd /live/initrd.img kernel /live/vmlinuz findiso=/efi/boot/boot.iso boot=live username=live config live-config splash persistence EOF


Additional configuration and installation for Ubuntu 16.10 Exton x64 using Terminal
shell script    Select all
# additional installation for swift 3.0 for Exton OS Ubuntu 16.10 # username of this Ubuntu image is root # password is root sudo apt-get update sudo apt-get install -y libicu-dev clang-3.6 git cd $HOME # To download swift 3 release for Ubuntu 16.04 instead as the one for ubuntu1610 has bugs wget --no-check-certificate https://swift.org/builds/swift-3.0.2-release/ubuntu1604/swift-3.0.2-RELEASE/swift-3.0.2-RELEASE-ubuntu16.04.tar.gz tar xzvf $HOME/swift-3.0.2-RELEASE-ubuntu16.04.tar.gz export PATH=$HOME/swift-3.0.2-RELEASE-ubuntu16.04/usr/bin:$PATH #wget --no-check-certificate https://swift.org/builds/development/ubuntu1610/swift-DEVELOPMENT-SNAPSHOT-2017-01-05-a/swift-DEVELOPMENT-SNAPSHOT-2017-01-05-a-ubuntu16.10.tar.gz #tar xzvf $HOME/swift-DEVELOPMENT-SNAPSHOT-2017-01-05-a-ubuntu16.10.tar.gz #export PATH=$HOME/swift-DEVELOPMENT-SNAPSHOT-2017-01-05-a-ubuntu16.10/usr/bin:$PATH sudo update-alternatives --install /usr/bin/clang clang /usr/bin/clang-3.6 100 sudo update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-3.6 100 swift --version #node.js x64 (64 bit) download cd $HOME wget --no-check-certificate https://nodejs.org/dist/v6.9.3/node-v6.9.3-linux-x64.tar.xz tar xJvf node-v6.9.3-linux-x64.tar.xz # put this in $HOME/.bashrc export PATH=$HOME/node-v6.9.3-linux-x64/bin:$PATH node --version npm --version #install spotify sudo apt-get update sudo apt-get install -y spotify-client #Traditional Chinese input method sudo apt-get install -y ibus-cangjie ibus restart #then choose input method in System -> Preferences -> Other # install R # see insturctions here https://cloud.r-project.org/bin/linux/ubuntu/README.html cd $HOME echo deb https://cran.cnr.berkeley.edu//bin/linux/ubuntu yakkety/ | sudo tee /etc/apt/sources.list.d/r.list sudo apt-key adv --keyserver keyserver.ubuntu.com --recv-keys E084DAB9 gpg --keyserver keyserver.ubuntu.com --recv-key E084DAB9 gpg -a --export E084DAB9 | sudo apt-key add - sudo apt-get update sudo apt-get install -y r-base # download R Studio from https://www.rstudio.com/products/rstudio/download/ and install sudo apt-get install -y libjpeg62 libgstreamer0.10-0 libgstreamer-plugins-base0.10-0 cd ~/Downloads wget --no-check-certificate https://download1.rstudio.org/rstudio-1.0.136-amd64.deb sudo dpkg -i rstudio-1.0.136-amd64.deb # install Quantlib 1.9.1 sudo apt-get update sudo apt-get install -y libboost1.60-all-dev cd $HOME wget https://ncu.dl.sourceforge.net/project/quantlib/QuantLib/1.9.1/QuantLib-1.9.1.tar.gz tar xzvf QuantLib-1.9.1.tar.gz cd QuantLib-1.9.1 ./autogen.sh ./configure --prefix=/usr make -j9 sudo make install # Install RQuantLib Package in R # install.packages("RQuantLib") # install Quantlib-Python cd $HOME wget https://jaist.dl.sourceforge.net/project/quantlib/QuantLib/1.9/other%20languages/QuantLib-SWIG-1.9.tar.gz tar xzvf QuantLib-SWIG-1.9.tar.gz cd QuantLib-SWIG-1.9 ./autogen.sh ./configure make -C Python sudo make -C Python install # upgrade pip sudo apt-get update sudo apt-get install -y python-pip pip install --upgrade pip sudo pip install numpy # install ipython sudo pip install ipython # install jupyter notebook sudo pip install jupyter # List available upgrade sudo apt-get update sudo apt list --upgradeable # test QuantLib and QuantLib-Python cd $HOME cat > $HOME/qlversion.cpp <<EOF #include <iostream> #include <ql/version.hpp> int main() { std::cout << "Current QL Version:" << QL_LIB_VERSION << std::endl; return 0; } EOF g++ qlversion.cpp -o qlversion ./qlversion cat > $HOME/swap.py <<EOF import numpy as np import QuantLib as ql # Set Evaluation Date today = ql.Date(31,3,2015) ql.Settings.instance().setEvaluationDate(today) # Setup the yield termstructure rate = ql.SimpleQuote(0.03) rate_handle = ql.QuoteHandle(rate) dc = ql.Actual365Fixed() disc_curve = ql.FlatForward(today, rate_handle, dc) disc_curve.enableExtrapolation() hyts = ql.YieldTermStructureHandle(disc_curve) discount = np.vectorize(hyts.discount) start = ql.TARGET().advance(today, ql.Period('2D')) end = ql.TARGET().advance(start, ql.Period('10Y')) nominal = 1e7 typ = ql.VanillaSwap.Payer fixRate = 0.03 fixedLegTenor = ql.Period('1y') fixedLegBDC = ql.ModifiedFollowing fixedLegDC = ql.Thirty360(ql.Thirty360.BondBasis) index = ql.Euribor6M(ql.YieldTermStructureHandle(disc_curve)) spread = 0.0 fixedSchedule = ql.Schedule(start, end, fixedLegTenor, index.fixingCalendar(), fixedLegBDC, fixedLegBDC, ql.DateGeneration.Backward, False) floatSchedule = ql.Schedule(start, end, index.tenor(), index.fixingCalendar(), index.businessDayConvention(), index.businessDayConvention(), ql.DateGeneration.Backward, False) swap = ql.VanillaSwap(typ, nominal, fixedSchedule, fixRate, fixedLegDC, floatSchedule, index, spread, index.dayCounter()) engine = ql.DiscountingSwapEngine(ql.YieldTermStructureHandle(disc_curve)) swap.setPricingEngine(engine) print(swap.NPV()) print(swap.fairRate()) EOF python swap.py sudo apt-get install -y git cd $HOME git clone git://github.com/mmport80/QuantLib-with-Python-Blog-Examples.git cd QuantLib-with-Python-Blog-Examples/ python blog_frn_example.py








If for Debian PIXEL-x86 and Ubuntu-16.10 Exton-x64 together in one USB stick with persistence
shell script    Select all
# Running on Mac # copy iso to USB stick rm -f /Volumes/LINUX/efi/boot/boot.iso cp ~/Downloads/2016-12-13-pixel-x86-jessie.iso /Volumes/LINUX/efi/boot/pixel.iso cp ~/Downloads/exton-os-64bit-mate-refracta-1840mb-161231.iso /Volumes/LINUX/efi/boot/exton.iso # set up enterprise.cfg in USB stick and assume persistence is already formatted as ext4 with persistence.conf cat > /Volumes/LINUX/efi/boot/enterprise.cfg << EOF entry Debian PIXEL family Debian iso pixel.iso initrd /live/initrd1.img kernel /live/vmlinuz1 findiso=/efi/boot/pixel.iso boot=live config live-config quiet splash persistence entry Debian STRETCH family Debian iso stretch.iso initrd /live/initrd1.img kernel /live/vmlinuz1 findiso=/efi/boot/stretch.iso boot=live config live-config quiet splash nomodeset persistence entry Ubuntu 16.10 Exton family Ubuntu iso exton.iso initrd /live/initrd.img kernel /live/vmlinuz findiso=/efi/boot/exton.iso boot=live username=live config live-config splash persistence EOF








Add the Original Ubuntu 16.04 from Ubuntu to the EFI bootable USB stick

For the Original ubuntu-16.04.1-desktop-amd64.iso image, add it by copying the downloaded iso image to the LINUX FAT32 partition and create the enterprise.cfg as below
shell script    Select all
# Running on Mac # copy iso to USB stick rm -f /Volumes/LINUX/efi/boot/boot.iso cp ~/Downloads/2016-12-13-pixel-x86-jessie.iso /Volumes/LINUX/efi/boot/pixel.iso cp ~/Downloads/exton-os-64bit-mate-refracta-1840mb-161231.iso /Volumes/LINUX/efi/boot/exton.iso cp ~/Downloads/ubuntu-16.04.1-desktop-amd64.iso /Volumes/LINUX/efi/boot/ubuntu.iso cat > /Volumes/LINUX/efi/boot/enterprise.cfg << EOF entry Debian PIXEL family Debian iso pixel.iso initrd /live/initrd1.img kernel /live/vmlinuz1 findiso=/efi/boot/pixel.iso boot=live config live-config quiet splash persistence entry Debian STRETCH family Debian iso stretch.iso initrd /live/initrd1.img kernel /live/vmlinuz1 findiso=/efi/boot/stretch.iso boot=live config live-config quiet splash nomodeset persistence entry Ubuntu 16.10 Exton family Ubuntu iso exton.iso initrd /live/initrd.img kernel /live/vmlinuz findiso=/efi/boot/exton.iso boot=live username=live config live-config splash persistence entry Ubuntu 16.04-1 family Ubuntu iso ubuntu.iso initrd /casper/initrd.lz kernel /casper/vmlinuz.efi findiso=/efi/boot/ubuntu.iso file=/cdrom/preseed/ubuntu.seed boot=casper persistent quiet splash --- EOF # Reboot and running in the new Ubuntu 16.04-1 # it requires a Linux partition named casper-rw in order to enable the persistent feature. # So we need to create a third partition in Linux and then format it. # Running on Ubuntu 16.04 # First remove the second partition and recreate second partition with smaller size and add a third partition to it sudo fdisk -l #assume /dev/sdb is the USB stick # umount the partition 2 in order to modify it sudo umount /dev/sdb2 # partition the USB stick sudo fdisk /dev/sdb # (d) (2) to delete partition 2 # and then (n) (p) (2) to recreate primary partition 2 for Linux in fdisk # choose size say 20G if for 64G USB stick # and then (n) (p) (3) to recreate primary partition 3 for Linux in fdisk # choose size say remaining sectors # (w) to write to partition table and quit fdisk # Reboot to let partition table effective # Running on Ubuntu 16.04-1 # format the second partition with label persistence and add persistence.conf sudo mkfs.ext4 -L persistence /dev/sdb2 sudo mkdir -p /media/ubuntu/persistence sudo mount /dev/sdb2 /media/ubuntu/persistence echo / union | sudo tee /media/ubuntu/persistence/persistence.conf # format the third partition with label casper-rw sudo mkfs.ext4 -L casper-rw /dev/sdb3 # Reboot to start other configuration and installation


Additional configuration and installation for Ubuntu 16.04-1 using Terminal
shell script    Select all
# additional installation for swift 3.0.2 for Ubuntu 16.04 # username of this Ubuntu image is ubuntu # password is ubuntu # Additional installation needs to add these lines in /etc/apt/sources.list echo "deb http://archive.ubuntu.com/ubuntu/ xenial universe" | sudo tee --append /etc/apt/sources.list echo "deb http://archive.ubuntu.com/ubuntu/ xenial-updates universe" | sudo tee --append /etc/apt/sources.list echo "deb http://security.ubuntu.com/ubuntu/ xenial-security universe" | sudo tee --append /etc/apt/sources.list # To install swift 3.0.2 release for Ubuntu 16.04-1 is sudo apt-get update # for AppStream cache update failed error sudo chmod 777 /var/cache/app-info/xapian/default -R sudo apt-get update sudo apt-get install -y libicu-dev clang-3.6 git cd $HOME wget --no-check-certificate https://swift.org/builds/swift-3.0.2-release/ubuntu1604/swift-3.0.2-RELEASE/swift-3.0.2-RELEASE-ubuntu16.04.tar.gz tar xzvf $HOME/swift-3.0.2-RELEASE-ubuntu16.04.tar.gz export PATH=$HOME/swift-3.0.2-RELEASE-ubuntu16.04/usr/bin:$PATH sudo update-alternatives --install /usr/bin/clang clang /usr/bin/clang-3.6 100 sudo update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-3.6 100 swift --version #node.js x64 (64 bit) download cd $HOME wget --no-check-certificate https://nodejs.org/dist/v6.9.3/node-v6.9.3-linux-x64.tar.xz tar xJvf node-v6.9.3-linux-x64.tar.xz # put this in $HOME/.bashrc export PATH=$HOME/node-v6.9.3-linux-x64/bin:$PATH node --version npm --version #install spotify sudo apt-get update sudo apt-get install -y spotify-client #Traditional Chinese input method sudo apt-get install -y ibus-cangjie ibus restart # install R # see insturctions here https://cloud.r-project.org/bin/linux/ubuntu/README.html cd $HOME echo deb https://cran.cnr.berkeley.edu//bin/linux/ubuntu xenial/ | sudo tee /etc/apt/sources.list.d/r.list sudo apt-key adv --keyserver keyserver.ubuntu.com --recv-keys E084DAB9 gpg --keyserver keyserver.ubuntu.com --recv-key E084DAB9 gpg -a --export E084DAB9 | sudo apt-key add - sudo apt-get update sudo apt-get install -y r-base # download R Studio from https://www.rstudio.com/products/rstudio/download/ and install sudo apt-get install -y libjpeg62 libgstreamer0.10-0 libgstreamer-plugins-base0.10-0 cd ~/Downloads wget --no-check-certificate https://download1.rstudio.org/rstudio-1.0.136-amd64.deb sudo dpkg -i rstudio-1.0.136-amd64.deb # install Quantlib 1.9.1 sudo apt-get update sudo apt-get install -y libboost1.58-all-dev cd $HOME wget https://ncu.dl.sourceforge.net/project/quantlib/QuantLib/1.9.1/QuantLib-1.9.1.tar.gz tar xzvf QuantLib-1.9.1.tar.gz cd QuantLib-1.9.1 ./autogen.sh ./configure --prefix=/usr make -j9 # uninstall old library # cd ~/Downloads/QuantLib-1.9 # sudo make uninstall sudo make install # Install RQuantLib Package in R # install.packages("RQuantLib") # install Quantlib-Python cd $HOME wget http://jaist.dl.sourceforge.net/project/quantlib/QuantLib/1.9/other%20languages/QuantLib-SWIG-1.9.tar.gz tar xzvf QuantLib-SWIG-1.9.tar.gz cd QuantLib-SWIG-1.9 ./autogen.sh ./configure # if there is "out of memory" error use this below to configure # ./configure CXXFLAGS="--param ggc-min-expand=1 --param ggc-min-heapsize=32768" make -C Python # uninstall old QuantLib-Python package # sudo -H pip uninstall QuantLib-Python sudo make -C Python install # upgrade pip and install numpy sudo apt-get update sudo apt-get install -y python-pip sudo -H pip install --upgrade pip sudo -H pip install numpy # test QuantLib and QuantLib-Python cd $HOME cat > $HOME/qlversion.cpp <<EOF #include <iostream> #include <ql/version.hpp> int main() { std::cout << "Current QL Version:" << QL_LIB_VERSION << std::endl; return 0; } EOF g++ qlversion.cpp -o qlversion ./qlversion sudo apt-get install -y git cd $HOME git clone git://github.com/mmport80/QuantLib-with-Python-Blog-Examples.git cd QuantLib-with-Python-Blog-Examples/ python blog_frn_example.py # List available upgrade sudo apt-get update sudo apt list --upgradeable


install Emscripten SDK for WebAssembly
shell script    Select all
# need Debian Stretch 32 bits image or Ubuntu 64 bits # need cmake for building in Debian Stretch(32 bits) sudo apt-get update sudo apt-get install cmake libxml2-dev ocaml python-yaml # Get the emsdk repo git clone https://github.com/juj/emsdk.git # Enter that directory cd emsdk # Fetch the latest registry of available tools. ./emsdk update # Download and install the latest SDK tools. Need rebuilding libraries in Debian Stretch 32 bits ./emsdk install latest # Make the "latest" SDK "active" for the current user. (writes ~/.emscripten file) ./emsdk activate latest # Activate PATH and other environment variables in the current terminal source ./emsdk_env.sh # Test mkdir $HOME/hello cd $HOME/hello cat > $HOME/hello/hello_world.c <<EOF #include <stdio.h> int main() { printf("hello, world!\n"); return 0; } EOF # compile and test emcc hello_world.c node a.out.js emcc hello_world.c -s WASM=0 -o hello.html # start webserver and test http://localhost:8080/hello.html emrun --no_browser --port 8080 .