search for: swaption

Hi there, I ran the following code: vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption vols.csv" , header=TRUE, sep=",") X<-ts(vols[,2]) #X dcOU<-function(x,t,x0,theta,log=FALSE){ Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t) Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2]) dnorm(x,mean=Ex,sd=sqrt(Vx),log=log) } OU.lik<-function(thet...

From here: http://parsec.cs.princeton.edu It is open-source and redistributable, and I have added LICENSE.TXT files to all the pieces I want to merge. These are blackscholes, canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I will disable the tests by default on the initial merge and test thoroughly on Linux and MacOS before enabling them. May I please commit my changes directly to test-suite? Thanks, --Patrick -- If I'm not here, I've gone out to find myself. If I get back before I return, please k...

...---------------------------------------------------------------------------+ | streamcluster | _Z5pgainlP6PointsdPliP17pthread_barrier_t | +-----------------+----------------------------------------------------------------------------------------------+ | swaptions | _Z21HJM_Swaption_BlockingPddddddiidS_PS_llii | +-----------------+----------------------------------------------------------------------------------------------+ | h264ref | dct_luma_16x16 | +------...

...te: > Patrick, > > On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: >> It is open-source and redistributable, and I have added LICENSE.TXT >> files to all the pieces I want to merge.  These are blackscholes, >> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions.  I >> will disable the tests by default on the initial merge and test >> thoroughly on Linux and MacOS before enabling them.  May I please commit >> my changes directly to test-suite? Awesome! Can we see a patch? The PARSEC webpage mentions that the benchmark suite is quite la...

...------------------------------+ > > | streamcluster | _Z5pgainlP6PointsdPliP17pthread_barrier_t > > | > > > +-----------------+----------------------------------------------------------------------------------------------+ > > | swaptions | _Z21HJM_Swaption_BlockingPddddddiidS_PS_llii > > | > > > +-----------------+----------------------------------------------------------------------------------------------+ > > | h264ref | dct_luma_16x16 > >...

...-------------------------------------------------------+ > | streamcluster | _Z5pgainlP6PointsdPliP17pthread_barrier_t > | > +-----------------+----------------------------------------------------------------------------------------------+ > | swaptions | _Z21HJM_Swaption_BlockingPddddddiidS_PS_llii > | > +-----------------+----------------------------------------------------------------------------------------------+ > | h264ref | dct_luma_16x16 >...

Patrick, On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: > It is open-source and redistributable, and I have added LICENSE.TXT > files to all the pieces I want to merge. These are blackscholes, > canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I > will disable the tests by default on the initial merge and test > thoroughly on Linux and MacOS before enabling them. May I please commit > my changes directly to test-suite? I'm not convinced that the PARSEC tests are appropriate for addition the LLVM testsuite, because th...

...-----+ >> > | streamcluster | _Z5pgainlP6PointsdPliP17pthread_barrier_t >> > | >> > >> > +-----------------+----------------------------------------------------------------------------------------------+ >> > | swaptions | _Z21HJM_Swaption_BlockingPddddddiidS_PS_llii >> > | >> > >> > +-----------------+----------------------------------------------------------------------------------------------+ >> > | h264ref | dct_luma_1...

...+---------------+-----------+--------------+----------+ | streamcluster | 21121728 | 0m0.947s | 0m0.908s | 33 | 0m50.212s | 0m5.986s | 191981 | 185438 | +---------------+----------+-------------+-----------+-----------+---------------+-----------+--------------+----------+ | swaptions | 20655 | 0m0.965s | 0m0.950s | 13 | 0m0.263s | 0m0.178s | 193841 | 184274 | +---------------+----------+-------------+-----------+-----------+---------------+-----------+--------------+----------+ | h264ref | 24130 | 0m4.278s | 0m4.272s | 76 | 3...

...M, Patrick Simmons wrote: >>> >>>> >>>> It is open-source and redistributable, and I have added LICENSE.TXT >>>> files to all the pieces I want to merge.  These are blackscholes, >>>> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions.  I >>>> will disable the tests by default on the initial merge and test >>>> thoroughly on Linux and MacOS before enabling them.  May I please commit >>>> my changes directly to test-suite? >>>> >> >> Awesome! Can we see a patch? >&gt...

...; On Jul 20, 2010, at 1:18 AM, Patrick Simmons wrote: >> >>> It is open-source and redistributable, and I have added LICENSE.TXT >>> files to all the pieces I want to merge. These are blackscholes, >>> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I >>> will disable the tests by default on the initial merge and test >>> thoroughly on Linux and MacOS before enabling them. May I please commit >>> my changes directly to test-suite? >>> > > Awesome! Can we see a patch? > Hi! I'm th...

...>>>> >>>> >>>>> It is open-source and redistributable, and I have added LICENSE.TXT >>>>> files to all the pieces I want to merge. These are blackscholes, >>>>> canneal, dedup, fluidanimate, freqmine, streamcluster, and swaptions. I >>>>> will disable the tests by default on the initial merge and test >>>>> thoroughly on Linux and MacOS before enabling them. May I please commit >>>>> my changes directly to test-suite? >>>>> >>>>> >&...

...ect.org and all mirrors). Debian binaries are also available. Among the new features in version 0.2.0, all of which are due to excellent contributions by Dominick Samperi, are - new functions for Fixed Income support: * DiscountCurve for discount / forward / zero curve construction * BermudanSwaption provding several QuantLib pricers for Swaptions - new internal R / C++ interface class RCpp - Windows binary packages on CRAN Windows users can now install RQuantLib via the menu just like any other package. Debian users can still say 'apt-get install r-cran-rquantlib'. All others can co...

...ect.org and all mirrors). Debian binaries are also available. Among the new features in version 0.2.0, all of which are due to excellent contributions by Dominick Samperi, are - new functions for Fixed Income support: * DiscountCurve for discount / forward / zero curve construction * BermudanSwaption provding several QuantLib pricers for Swaptions - new internal R / C++ interface class RCpp - Windows binary packages on CRAN Windows users can now install RQuantLib via the menu just like any other package. Debian users can still say 'apt-get install r-cran-rquantlib'. All others can co...

I get the following error: Error in backSpline.npolySpline(sp) : spline must be monotone Has anyone had this error before? any ideas on a workaround? > > vols=read.csv(file="C:/Documents and Settings/Hugh/My > Documents/PhD/Swaption vols.csv" + , header=TRUE, sep=",") > X<-ts(vols[,2]) > #X > > > dcOU<-function(x,t,x0,theta,log=FALSE){ + Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t) + Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2]) + dnorm(x,mean=Ex,sd=sqrt(Vx),lo...

This proposal adds support for path profiling [Ball96] to LLVM. Path profiling compactly represents acyclic paths in a directed acyclic graph representation of the control flow graph of a routine. Instrumentation can be added to uniquely identify paths executed at runtime. Path profiles enable precise enumeration of the sequence of basic blocks executed in order for a particular path. Using path