Open Othmane-Ch opened 1 year ago
If we've built the latest from master, then you shouldn't have this error per https://github.com/OpenSourceRisk/Engine/blob/master/OREData/ored/utilities/parsers.cpp
May I ask how did you build your project ? cause I have errors when building the latest version from master
"\Desktop\Engine-master\build\ALL_BUILD.vcxproj" (default target) (1) ->
"\Desktop\Engine-master\build\OREAnalytics\orea\OREAnalytics-x64-mt.vcxproj" (default target) (21) ->
"\Desktop\Engine-master\build\OREData\ored\OREData-x64-mt.vcxproj" (default target) (22) ->
"\Desktop\Engine-master\build\QuantExt\qle\QuantExt-x64-mt.vcxproj" (default target) (23) ->
(ClCompile target) ->
\Desktop\Engine-master\QuantExt\qle\pricingengines\midpointcdsenginemultistate.cpp(52,5): error C2678: binary '=': no operator found which takes a
left-hand operand of type 'const QuantLib::Handle
It's a QL error, so try updating the submodule:
git submodule foreach git pull origin master
Works perfectly. Thank you
While I can run the example 43, it doesn't seem to load the trades. I am using the recent version from master.This is my output :
D:\Desktop\Engine-master\Examples\Example_43>python run.py
1) Run ORE for a single Bond
Loading inputs OK
Requested analytics CASHFLOW,EXPOSURE,NPV,XVA
Pricing: Build Market OK
Pricing: Build Portfolio
Error: Error in ORE analytics: Portfolio does not contain any built trades, context is 'analytic/PRICING'
Saving plot....Output\mpl_cdf_bond1.pdf
Saving plot....Output\mpl_pdf_bond1.pdf
2) Run ORE for Bond and Swap
Loading inputs OK
Requested analytics CASHFLOW,EXPOSURE,NPV,XVA
Pricing: Build Market OK
Pricing: Build Portfolio OK
Pricing: Cashflow Report OK
Pricing: NPV Report OK
Pricing: Curves Report OK
XVA: Build Market OK
Error: Error in ORE analytics: did not find object 'BOND_AAA' of type default curve under configuration 'collateral_eur' or 'default'
Saving plot....Output\mpl_cdf_bond_swap.pdf
Saving plot....Output\mpl_pdf_bond_swap.pdf
3) Run ORE for 3 Bonds
Loading inputs OK
Requested analytics CASHFLOW,EXPOSURE,NPV,XVA
Pricing: Build Market OK
Pricing: Build Portfolio
Error: Error in ORE analytics: Portfolio does not contain any built trades, context is 'analytic/PRICING'
Saving plot....Output\mpl_cdf_bond3.pdf
Saving plot....Output\mpl_pdf_bond3.pdf
4) Run ORE for 10 bonds
Loading inputs OK
Requested analytics CASHFLOW,EXPOSURE,NPV,XVA
Pricing: Build Market OK
Pricing: Build Portfolio
Error: Error in ORE analytics: Portfolio does not contain any built trades, context is 'analytic/PRICING'
Saving plot....Output\mpl_cdf_bond10.pdf
Saving plot....Output\mpl_pdf_bond10.pdf
5) Run ORE for Bond and CDS
Loading inputs OK
Requested analytics CASHFLOW,EXPOSURE,NPV,XVA
Pricing: Build Market OK
Pricing: Build Portfolio
Error: Error in ORE analytics: Portfolio does not contain any built trades, context is 'analytic/PRICING'
Saving plot....Output\mpl_cdf_bond_cds.pdf
Saving plot....Output\mpl_pdf_bond_cds.pdf
Shoutout to my boi oussama from Lydex :)
Still got this error (build it from master on 22 Nov 2023)
1) Run ORE for a single Bond
Loading inputs OK
Requested analytics CASHFLOW,EXPOSURE,NPV,XVA
Pricing: Build Market OK
Pricing: Build Portfolio
Error: Error in ORE analytics: Portfolio does not contain any built trades, context is 'analytic/PRICING'
Traceback (most recent call last):
File "/Volumes/Crucial X6/Documents SSD/ore/Examples/Example_43/run.py", line 15, in
Well, this is due to default curve building requiring the additional Eigen3 library, the log says:
ALERT [2024-Jan-28 12:19:18.654435] (...ta\ored\marketdata\todaysmarket.cpp:920) : error while building node DefaultCurve(BOND_AAA,Default/EUR/BOND_AAA) in configuration collateral_eur: default curve building failed for BOND_AAA: build attempt failed for BOND_AAA using config with priority 0: Logm(): no implementation provided, you can e.g. install Eigen and rebuild ORE to enable this function.
There are instructions to install this in the userguide, it works quite well (you have to remove the build cache however), simply install vcpkg https://vcpkg.io/en/getting-started.html, then install Eigen3 with vcpkg install -–triplet x64-windows eigen3
and finally configure ORE cmake / build ORE using
set VCPKG_ROOT=C:/dev/vcpkg
cmake -G "Visual Studio 17 2022" -A x64 -DCMAKE_TOOLCHAIN_FILE=%VCPKG_ROOT%/scripts/buildsystems/vcpkg.cmake -DBOOST_INCLUDEDIR=%BOOST% -DBOOST_LIBRARYDIR=%BOOST_LIB64% -DQL_ENABLE_SESSIONS=ON -B build
cmake --build build -v --config Release
In general, I would suggest to include Eigen3 and zlib in the prebuilt binary, once this is possible again (see #190 ), otherwise the examples do not run completely. In the meantime I've built a windows binary with the latest version of ORE and made it available here. Simply klick on download raw file:
What about mentioning explicitly the dependency on Eigen3 for all build environment in the doc? (not just windows)
Actually this is already mentioned in creditmodel.tex (separate doc). I have also included it in the userguide in #242 , line 3140 of userguide.tex.
I have seen that a new example 43 on bonds has been added . I have this error while running it. Anybody has the same error ?