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enthought / pyql

Cython QuantLib wrappers
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fix windows build of pyql #1

Closed dpinte closed 10 years ago

dpinte commented 12 years ago

The build fails at the moment under MSVC 2008.

bondgeek commented 12 years ago

I have a build that works under MSVC 2008 for my pybg project, which uses part of pyql, but there are still problems. It compiles, links and runs, but QuantLib's Settings singleton is not a singleton under MSVC--the instance created in each module has a different address and not all have the same values.

This is way beyond my level of expertise, so I'm curious if anyone has any insights.

bondgeek commented 12 years ago

Also, should mention the changes I had to make included stripping out the distutils directives from the code--they override MSVC's auto-linking, causing it to look for an non-existent QuantLib.lib, instead of the standard QuantLib-vc90-mt.lib created when you build QuantLib with MSVC.

dpinte commented 12 years ago

Thanks for the report. This is a known issue with MSVC and mingw/gcc on Windows. We had the very same problem with some previous Ubuntu versions that were solved by preloading the shared library. I am investigating and want to have a robust solution soon

malos commented 11 years ago

Similar to bondgeek:

After running the tests, the following fail:

test_bonds.py (fail 2, skip 1)

FFs
======================================================================
FAIL: test_excel_example_with_fixed_rate_bond (__main__.BondTestCase)
Port the QuantLib Excel adding bond example to Python.
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_bonds.py", line 184, in test_excel_example_with_fixed_rate_bond
    calendar.advance(todays_date, 3, Days), bond.settlement_date()
AssertionError: 30/08/2011 !=  5/12/2012

======================================================================
FAIL: test_excel_example_with_zero_coupon_bond (__main__.BondTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_bonds.py", line 224, in test_excel_example_with_zero_coupon_bond
    calendar.advance(todays_date, 3, Days), bond.settlement_date()
AssertionError: 30/08/2011 !=  5/12/2012

----------------------------------------------------------------------
Ran 3 tests in 0.001s

FAILED (failures=2, skipped=1)

test_heston_model.py (fail 1)

F...
======================================================================
FAIL: test_DAX_calibration (__main__.HestonModelTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_heston_model.py", line 225, in test_DAX_calibration
    self.assertAlmostEquals(expected, sse, delta=1.0)
AssertionError: 177.2 != 103062.59612570431 within 1.0 delta

----------------------------------------------------------------------
Ran 4 tests in 1.071s

FAILED (failures=1)

test_mlab.py (fail 1)

.E
======================================================================
ERROR: test_option_to_rate (__main__.OptionPricerTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_mlab.py", line 17, in test_option_to_rate
    os.path.join('quantlib', 'test','data','df_SPX_24jan2011.pkl')
  File "C:\Python27\lib\site-packages\pandas\core\common.py", line 830, in load
    f = open(path, 'rb')
IOError: [Errno 2] No such file or directory: 'quantlib\\test\\data\\df_SPX_24jan2011.pkl'

----------------------------------------------------------------------
Ran 2 tests in 0.009s

FAILED (errors=1)

test_piecewise_yield_curve.py (fail 1)

..F.
======================================================================
FAIL: test_deposit_swap (__main__.PiecewiseYieldCurveTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_piecewise_yield_curve.py", line 201, in test_deposit_swap
    ts.discount(calendar.advance(todays_date, 2, Years)),3)
AssertionError: 0.9103 != 0.9126920284652297 within 3 places

----------------------------------------------------------------------
Ran 4 tests in 0.010s

FAILED (failures=1)

test_vanilla_option.py (fail 3)

FF.F.
======================================================================
FAIL: test_american_vanilla_option (__main__.VanillaOptionTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_vanilla_option.py", line 121, in test_american_vanilla_option
    self.assertAlmostEquals(4.459628, american_option.net_present_value, 6)
AssertionError: 4.459628 != 0.0 within 6 places

======================================================================
FAIL: test_american_vanilla_option_with_earliest_date (__main__.VanillaOptionTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_vanilla_option.py", line 137, in test_american_vanilla_option_with_earliest_date
    self.assertAlmostEquals(4.459628, american_option.net_present_value, 6)
AssertionError: 4.459628 != 0.0 within 6 places

======================================================================
FAIL: test_european_vanilla_option_usage (__main__.VanillaOptionTestCase)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "C:\Users\smalov\workspace\stas_sandbox\test\test_vanilla_option.py", line 108, in test_european_vanilla_option_usage
    self.assertAlmostEquals(3.844308, european_option.net_present_value, 6)
AssertionError: 3.844308 != 0.0 within 6 places

----------------------------------------------------------------------
Ran 5 tests in 0.002s

FAILED (failures=3)
dpinte commented 11 years ago

Thanks for the report. Just to confirm, those are mostly issues related to the QuantLib::Settings singleton ...

iceman273 commented 11 years ago

Will you guys be able to provide a windows binary for this, or a way to do a clean install in Windows 7?

dpinte commented 11 years ago

@iceman: no real timeline so far but if somebody really need this, we could prioritize and solve the issue.

iceman273 commented 11 years ago

Not sure if one vote would count but I definitely need this.

dpinte commented 11 years ago

Every single vote counts ;-) This is an annoying bug. I'll try to get some time to look at it in the coming weeks.

iceman273 commented 11 years ago

Much appreciated. I am looking forward to it.

Even better if the binaries could be hosted on Chris Goehlke's Windows binaries page for us unsophisticated users who are not good at compiler tweaking.

Please keep us posted.

BlueCollarWorker commented 11 years ago

I want to throw in my vote too. I regularly come in check to see if the windows build is fixed. I really need this as well.

RayVR commented 10 years ago

So I am guessing this didn't get enough votes...you can add mine.

dpinte commented 10 years ago

@RayVR I am working on it in my spare time. It is a nightmare ;-) The Settings singleton is causing way more pain than it should.

RayVR commented 10 years ago

Have you spoken with any of the QuantLib developers about a change on their side? (This question is coming from complete ignorance about the nature of the problem)

On Mar 14, 2014, at 7:00 AM, Didrik Pinte notifications@github.com wrote:

@RayVR I am working on it in my spare time. It is a nightmare ;-) The Settings singleton is causing way more pain than it should.

\ Reply to this email directly or view it on GitHub.

dpinte commented 10 years ago

@RayVR the key problem is more how we link things on the Windows side. I'll ping the QL mailing list and see if somebody else on Windows have the same kind of issue. I haven't found anything about it in the archives

RayVR commented 10 years ago

is a segfault while running the tests the expected symptom of this issue or is that unrelated?

dpinte commented 10 years ago

@RayVR No, the test suite runs without segfault. The problem is that the Settings singleton seem to have multiple instances ... This means that if you set your evaluation date two month in the past and construct a bond e.g., the bond settlement date will not be correct (should be two month ago + 3 days but will today + 3 days).

dpinte commented 10 years ago

@RayVR good news, I got it to work this morning. There is a bit of work left but I'll push the fist bit of working code in the next two days to the repo.

RayVR commented 10 years ago

great news. I'm using the swig wrappers right now, which give me a headache.

dpinte commented 10 years ago

@RayVR I got the full test suite passing in this branch https://github.com/dpinte/pyql/tree/fix-win-build If you get a chance to give it a try, it requires MSVC 2008. I'm testing it on Mac/Linux and fix regressions and we will finally have a PR

dpinte commented 10 years ago

@BlueCollarWorker @iceman273 @malos @bondgeek If you want to give a try at the fix-win-build branch and report success or failures, please do. It runs on OSX and Win-32 without problems for me. I'll merge master in this week-end.

RayVR commented 10 years ago

I have taken a look at this branch but after making all the modifications to the setup file I had to make on enthought/master it still does not compile for me. I get "fatal error LNK1120: 155 unresolved externals"

dpinte commented 10 years ago

@RayVR I have that solved on a branch. Will push the latest latest today.

dpinte commented 10 years ago

PR #63 comes with a real solution to the issue. The entire test suite passes with no more issue with the Settings singleton.

dpinte commented 10 years ago

63 fixes the issue