Info: QuantLib 1.1 released!

finanzmaster · Post by **finanzmaster** » Mon May 23, 2011 3:43 pm

http://quantlib.org/download.shtml

gotta try it today and report my impressions.

finanzmaster · Post by **finanzmaster** » Mon May 23, 2011 11:07 pm

Guys, it works!

The instruction here is good but a little bit obsolete.

So howto quickly build QuantLib 1.1 with VS2010:

1. Download QuantLib 1.1. and boost (I used v1.46.1), unpack to D:\sandbox

2. Open VS2010, choose Tools -> Visual Studio Command Prompt

3. >cd d:\sandbox\boost_1_46_1

4. >bootstrap.bat (this will build bjam.exe)

5. >bjam --build-type=complete --toolset=msvc install

6. ............ PATIENCE!..........................

7. Finally, bjam will create a folder c:\boost

8. In VS2010 open D:\Sandbox\QuantLib-1.1\QuantLib-1.1\QuantLib_vc10.sln

9. In Solution Explorer select all projects, goto configurations properties -> VC++ Directories and add

a) to Include Directories C:\Boost\include\boost-1_46_1

b) to Library Directories C:\Boost\lib

10. Build solution, have fun!

Dimatrix · Post by **Dimatrix** » Fri May 27, 2011 10:56 pm

You are very excited about it. Aren't you?

pj · Post by pj » Sat May 28, 2011 7:36 pm

I am interested as well.

Aren't you?

Dimatrix · Post by **Dimatrix** » Sat May 28, 2011 10:06 pm

Yes yes. I've contributed code and more to the latest release (and previous ones). I was just very amused about the "Guys, it works!" statement. As if QuantLib would be a dubious medicine

pj · Post by pj » Sun May 29, 2011 10:27 am

> As if QuantLib would be a dubious medicine

Cool

Praetorian · Post by **Praetorian** » Sun May 29, 2011 11:07 am

> As if QuantLib would be a dubious medicine

hehe. For me it actually is: Implementing eastern holidays by myself is just a pain in the ass.

finanzmaster · Post by **finanzmaster** » Tue May 31, 2011 8:12 am

>Yes yes. I've contributed code and more to the latest release (and >previous ones). I was just very amused about the "Guys, it works!" >statement. As if QuantLib would be a dubious medicine

It is not a dubious medicine, it is just a gun, heavy enough to shoot your own foot ${L_SMILIES_SMILE}$

I think no one will doubt the power of QuantLib. But the usability...

I talked to many C++ Quant-Developers, from novices to experts with 10+ years experience, none of them finds QuantLib user-friendly.

Some companies tried it but dropped.

As I, myself, started with QuantLib, I could relatively easy set up boost via the boostpro's installer. In such a way QuantLib can be compiled but the unit-test-suite not!

(Later I have found howto setup the boost via bjam, so that everything works).

Another problem: before the version 1.1 there was no straightforward way to use QuantLib with VS2010. A naive way just to convert vs9-files didn't work.

One more remark: an excellent tutorial by Dimitri Reiswich has become just recently available.

Implementing Quantlib by Luigi Ballabio, which was longer time there, does not bring much (well, ihmo).

So just recently one had to start without a good starting point.

And the last but not the least: VS has a powerful debugger but the data structures in QuantLib are very debugging-unfriendly.

Even tricking with autoexp.dat (s. https://svn.boost.org/svn/boost/sandbox/boost_docs/subprojects/DebuggerVisualizers/) does not help much.

And even such a simple class as Date cannot be overridden in autoexp.dat to dd:mm:yyyy format!

I think now my excitement about "it works!" becomes clear ${L_SMILIES_SMILE}$

P.S.

I know that one shouldn't look a gift horse in the mouth

pj · Post by pj » Tue May 31, 2011 8:46 am

> I know that one shouldn't look a gift horse in the mouth

Cool Timeo Danaos et dona ferentes

finanzmaster · Post by **finanzmaster** » Sun Dec 23, 2012 9:21 am

Update: howto build QuantLib 1.2.1 + boost_1_52_0 in VS2012
To build boost follow this (http://stackoverflow.com/questions/12149524/build-boost-with-vs2012-rc)

change directory to boost_1_51_0-x64\tools\build\v2
execute bootstrap.bat (not from the the native x64 comand prompt - just double click it)
copy b2.exe back to boost_1_51_0-x64 dir
change directory to boost_1_51_0-x64
execute b2

After b2 builds boost it will display the message like this:

The Boost C++ Libraries were successfully built!

The following directory should be added to compiler include paths: D:/sandbox/boost_1_52_0/boost_1_52_0

The following directory should be added to linker library paths:

D:\sandbox\boost_1_52_0\boost_1_52_0\stage\lib

So far there is no QuantLib_vc11.sln but VS2012 successfully imports QuantLib_vc10.sln

In Solution Explorer select all projects, (right mousebutton click) -> Properties -> VC++ Directories and add

a) to Include Directories D:/sandbox/boost_1_52_0/boost_1_52_0

b) to Library Directories D:\sandbox\boost_1_52_0\boost_1_52_0\stage\lib

Build solution.

QuantLib builds successfully but other projects do not. To fix it, goto

D:\sandbox\QuantLib-1.2.1\ql\auto_link.hpp and replace

error "unknown Microsoft compiler"

with
define QL_LIB_TOOLSET "vc100"

Rebuild solution.