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c++ dll tutorials using eclipse

  • #21
  • Dec 27, 2011 6:36pm Dec 27, 2011 6:36pm
I will take this quite slowly i.e. showing every step clearly so that people shouldn't get lost.

Metaquotes provides example dll source code in the following directory. We need only two of the files:

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Start by creating a new c++ project:

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This time we choose a blank shared library project:

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Make a 'src' folder in the new project:

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  • #22
  • Dec 27, 2011 6:40pm Dec 27, 2011 6:40pm
Copy the def file into the project:

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Copy the cpp file into the project:

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The project structure needs to end up looking like this:

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  • #23
  • Dec 27, 2011 6:45pm Dec 27, 2011 6:45pm
Open the project settings:

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Compiler settings need no changes:

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Linker settings (stdcall):

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Linker settings (def file):

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Output file name. Remove the 'lib' prefix:

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  • #24
  • Dec 27, 2011 6:54pm Dec 27, 2011 6:54pm
The group of functions that start with "MT4_EXPFUNC int __stdcall" need to be 'wrapped' with an 'extern c' directive. Open the cpp file and add the beginning and end of directive as follows:

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Build the project by clicking on the 'hammer' icon and the console output should look very similar to:

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The newly created DLL can be found in the project navigator:

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  • #25
  • Dec 27, 2011 7:03pm Dec 27, 2011 7:03pm
Copy the dll directly from inside the eclipse ide:

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Paste the dll into the libraries directory of mt4:

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Note that the dll size is quite large. This is because it was compiled as a 'debug' version. Difference between debug and release will be explained in a later post:

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There are two more sample files (mqh and EA) that need copied:

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Open MT4. The EA we copied should now be available:

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Click and drag the EA onto a chart and setup the dialog for DLLs:

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Look in the Experts log (tab at bottom) to see result. Should be similar to:

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  • #26
  • Dec 28, 2011 2:55pm Dec 28, 2011 2:55pm
I use boost because it provides what most people would consider to be missing in the c++ language. In fact, boost libraries will become part of the c++ language ...

Quote
boost provides free peer-reviewed portable C++ source libraries. Ten Boost libraries are included in the C++ Standards Committee's Library Technical Report (TR1) and in the new C++11 Standard. C++11 also includes several more Boost libraries in addition to those from TR1. More Boost libraries are proposed for TR2.

Until then, we have to 'add' boost headers and libraries to our toolchain MinGW. Most of boost code is contained in the header files i.e. inline functions. This means that in most cases we don't have to have a 'built' version of boost. Some functionality can only be obtained from using the compiled libraries e.g. date_time, regex etc.

I'm about to show you how to build boost but need to explain something that confuses many people. The boost build process can provide many possible versions of the libraries. You can choose debug/release, static/shared, single/multi threaded, runtime static/shared etc. If you compiled every version (I have) you get a list of 16 possibilities. Look at the 'boost_chrono' library:

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Building all 16 versions of every boost library takes a very long time and is not really of benefit in our case. A gnu toolchain can't automatically determine the most appropriate version whenever we link a library. To link the 'boost_chrono' library, it would be far simpler to link using that simple name (boost_chrono) than having to type the full name.

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  • #27
  • Dec 28, 2011 3:09pm Dec 28, 2011 3:09pm
Download the 7z version of boost from http://www.boost.org/users/download/

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Extract boost directly into your c: root using 7zip:

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You need to edit the bootstrap file to make it work for MinGW:

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Use a command prompt to run bootstrap:

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[noparse]cd\boost_1_48_0[/noparse]

bootstrap

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  • #28
  • Dec 28, 2011 3:30pm Dec 28, 2011 3:30pm
Nothing to Build?

Most Boost libraries are header-only: they consist entirely of header files containing templates and inline functions, and require no separately-compiled library binaries or special treatment when linking.

The only Boost libraries that must be built separately are:

 

  1. Boost.Filesystem
  2. Boost.GraphParallel
  3. Boost.IOStreams
  4. Boost.MPI
  5. Boost.ProgramOptions
  6. Boost.Python (see the Boost.Python build documentation before building and installing it)
  7. Boost.Regex
  8. Boost.Serialization
  9. Boost.Signals
  10. Boost.System
  11. Boost.Thread
  12. Boost.Wave


A few libraries have optional separately-compiled binaries:

 

  1. Boost.DateTime has a binary component that is only needed if you're using its to_string/from_string or serialization features.
  2. Boost.Graph also has a binary component that is only needed if you intend to parse GraphViz files.
  3. Boost.Math has binary components for the TR1 and C99 cmath functions.
  4. Boost.Random has a binary component which is only needed if you're using random_device.
  5. Boost.Test can be used in “header-only” or “separately compiled” mode, although separate compilation is recommended for serious use.


In an earlier post (here), I explained that 16 versions of each library can be built but linking to them is difficult due to the cumbersome names.

I build a single version of each library with the following features:

  1. system: File names are simple (no version info etc in name)
  2. release: I have no need to debug boost, also creates smaller size files
  3. static: Static means not shared. These libraries will be used by inclusion into my own dlls.
  4. multi: Create multi-threaded versions rather than single threaded.


Build the libraries on a command prompt:

Inserted Code
[noparse]cd\boost_1_48_0[/noparse]

.b2 --layout=system toolset=gcc variant=release link=static threading=multi runtime-link=static

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This could take around 15 min but the result should be success:

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Copy the boost headers directory (and sub directories) to MinGW:

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Copy our newly created libraries (in stage dir) to MinGW:

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Now the original boost directory can be removed (no longer needed):

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  • #29
  • Dec 28, 2011 3:43pm Dec 28, 2011 3:43pm
Often we will want to create a new executable starting from a blank cpp file. This is the procedure.

Create a new project:

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Choose exe project:

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Create a new source folder:

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Create a new source file.

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In this case, we're choosing a blank cpp file that we'll paste into but you can create a hpp or cpp. Give it any name you like. The extension will typically be .hpp or .cpp in our case. You can also choose a template so some text will be added to your file automatically.
  • #30
  • Edited 4:05pm Dec 28, 2011 3:52pm | Edited 4:05pm
We're going to run two tests. One using boost headers only, the other requiring a library we built previously.

Testing headers

Create a new executable project (instructions here).

Paste the following code into the blank file:

Inserted Code
#include <boost/lambda/lambda.hpp>
#include <iostream>
#include <iterator>
#include <algorithm>

int main()
{
    using namespace boost::lambda;
    typedef std::istream_iterator<int> in;

    std::for_each(
        in(std::cin), in(), std::cout << (_1 * 3) << " " );
}


Click the build button (hammer) and look for success in your console. No need to run the exe i.e. we are only testing for a successful build:

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Library Required

Create a new executable project (instructions here). It should be obvious that you need to choose a unique (to you workspace) project name

Paste the following code into the blank file:

Inserted Code
#include <boost/regex.hpp>
#include <iostream>
#include <string>

int main()
{
    std::string line;
    boost::regex pat( "^Subject: (Re: |Aw: )*(.*)" );

    while (std::cin)
    {
        std::getline(std::cin, line);
        boost::smatch matches;
        if (boost::regex_match(line, matches, pat))
            std::cout << matches[2] << std::endl;
    }
}


If you try to build now, you will get error messages:

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This is where our choice to give simple naming to the boost library files helps. Note that there is no need to include the 'lib' prefix or the '.a' extension. Open up the project properties (top menu 'project' -> 'properties') and include the library 'boost_regex':

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While in the properties, tell the linker where to find the library i.e. c:\mingw\lib:

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Your build should now be successfull:

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Again, no need to run the exe as we are only testing for a successful build.
  • #31
  • Dec 28, 2011 8:28pm Dec 28, 2011 8:28pm
MSYS is a minimal linux (bash) shell that provides the gnu build system i.e. 'configure', 'make', 'make install'.

Read more about it here:

http://www.mingw.org/faq/What_is_MSYS
  • #32
  • Edited Dec 29, 2011 4:33pm Dec 28, 2011 8:44pm | Edited Dec 29, 2011 4:33pm
MSYS was installed as part of MinGW. To use MSYS components 'configure', 'make', 'make install' features, we must modify our path environment variable. We already added c:mingwbin when we installed the toolchain (click here).

We need to edit it again but ensure to put the following before c:\mingw\bin

Inserted Code
[noparse]C:\MinGW\msys\1.0;C:\MinGW\msys\1.0\bin;[/noparse]

The final result should look like:

Inserted Code
[i]erShell[noparse]\[/noparse]v1.0[/i];[noparse]C:\MinGW\msys\1.0;C:\MinGW\msys\1.0\bin;c:\mingw\bin[/noparse]

The order of directories is important! Lower/upper case does not seem to matter.

Let's test it out to see if we did it correctly. Open a command prompt (Click start -> run -> cmd) and type msys and press enter. A window with colored writing should appear. This is a linux bash shell. It allows us to run linux scripts/command on windows:

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Type in the following 'which' commands and press enter after each one. Ensure you get the same responses as me i.e. sed and make should not have 'mingw' in front.

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We will use MSYS later when we compile quantlib.
  • #33
  • Dec 29, 2011 4:44pm Dec 29, 2011 4:44pm
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The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.

I haven't used this library yet but I'm sure I will. It's taken me days to figure out how to compile this successfully . It takes hours to compile so every mistake cost me more hours ... adjust parameters, recompile ... the cycle went on an on
  • #34
  • Dec 29, 2011 5:06pm Dec 29, 2011 5:06pm
Building this library is dependent on already having boost and msys set up as explained in the first post of this thread.

Download the latest source files from http://sourceforge.net/projects/quantlib/files/

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Extract the zip directly into the c: root:

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Start an MSYS window (start -> run -> msys.bat). These are the commands that we'll be using (in msys window):

Note: If you would like a debug build, don't run the export command i.e. the default flags will be "-O2 -g" (-g = debug). The debug version is approx 300MB whereas the release build is approx 50MB. I usually build the release version.


Inserted Code
cd /c/QuantLib-1.1
export CXXFLAGS="-O3"
./configure --with-boost-include=/c/mingw/include --with-boost-lib=/c/mingw/lib
make
make install
cd /usr/local/bin
quantlib-test-suite


Change to the quantlib directory and run the export command, then configure. :

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Now run make:

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make install:

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We really should test that the library built ok. Do this by running tests:

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To use this library, copy the headers and library to our mingw directories (note the pic is actually of a 300MB debug build I did later ... your release build should be about 50MB):

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  • #35
  • Dec 29, 2011 5:18pm Dec 29, 2011 5:18pm
Create a new exe project with a blank source file (instructions)

Paste in the following code and save the file:

Inserted Code
#include <ql/quantlib.hpp>
#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>

using namespace QuantLib;

int main(int, char* []) {

    try {

        boost::timer timer;
        std::cout << std::endl;

        // set up dates
        Calendar calendar = TARGET();
        Date todaysDate(15, May, 1998);
        Date settlementDate(17, May, 1998);
        Settings::instance().evaluationDate() = todaysDate;

        // our options
        Option::Type type(Option::Put);
        Real underlying = 36;
        Real strike = 40;
        Spread dividendYield = 0.00;
        Rate riskFreeRate = 0.06;
        Volatility volatility = 0.20;
        Date maturity(17, May, 1999);
        DayCounter dayCounter = Actual365Fixed();

        std::cout << "Option type = "  << type << std::endl;
        std::cout << "Maturity = "        << maturity << std::endl;
        std::cout << "Underlying price = "        << underlying << std::endl;
        std::cout << "Strike = "                  << strike << std::endl;
        std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
                  << std::endl;
        std::cout << "Dividend yield = " << io::rate(dividendYield)
                  << std::endl;
        std::cout << "Volatility = " << io::volatility(volatility)
                  << std::endl;
        std::cout << std::endl;
        std::string method;
        std::cout << std::endl ;

        // write column headings
        Size widths[] = { 35, 14, 14, 14 };
        std::cout << std::setw(widths[0]) << std::left << "Method"
                  << std::setw(widths[1]) << std::left << "European"
                  << std::setw(widths[2]) << std::left << "Bermudan"
                  << std::setw(widths[3]) << std::left << "American"
                  << std::endl;

        std::vector<Date> exerciseDates;
        for (Integer i=1; i<=4; i++)
            exerciseDates.push_back(settlementDate + 3*i*Months);

        boost::shared_ptr<Exercise> europeanExercise(
                                         new EuropeanExercise(maturity));

        boost::shared_ptr<Exercise> bermudanExercise(
                                         new BermudanExercise(exerciseDates));

        boost::shared_ptr<Exercise> americanExercise(
                                         new AmericanExercise(settlementDate,
                                                              maturity));

        Handle<Quote> underlyingH(
            boost::shared_ptr<Quote>(new SimpleQuote(underlying)));

        // bootstrap the yield/dividend/vol curves
        Handle<YieldTermStructure> flatTermStructure(
            boost::shared_ptr<YieldTermStructure>(
                new FlatForward(settlementDate, riskFreeRate, dayCounter)));
        Handle<YieldTermStructure> flatDividendTS(
            boost::shared_ptr<YieldTermStructure>(
                new FlatForward(settlementDate, dividendYield, dayCounter)));
        Handle<BlackVolTermStructure> flatVolTS(
            boost::shared_ptr<BlackVolTermStructure>(
                new BlackConstantVol(settlementDate, calendar, volatility,
                                     dayCounter)));
        boost::shared_ptr<StrikedTypePayoff> payoff(
                                        new PlainVanillaPayoff(type, strike));
        boost::shared_ptr<BlackScholesMertonProcess> bsmProcess(
                 new BlackScholesMertonProcess(underlyingH, flatDividendTS,
                                               flatTermStructure, flatVolTS));

        // options
        VanillaOption europeanOption(payoff, europeanExercise);
        VanillaOption bermudanOption(payoff, bermudanExercise);
        VanillaOption americanOption(payoff, americanExercise);

        // Analytic formulas:

        // Black-Scholes for European
        method = "Black-Scholes";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                     new AnalyticEuropeanEngine(bsmProcess)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;

        // semi-analytic Heston for European
        method = "Heston semi-analytic";
        boost::shared_ptr<HestonProcess> hestonProcess(
            new HestonProcess(flatTermStructure, flatDividendTS,
                              underlyingH, volatility*volatility,
                              1.0, volatility*volatility, 0.001, 0.0));
        boost::shared_ptr<HestonModel> hestonModel(
                                              new HestonModel(hestonProcess));
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                     new AnalyticHestonEngine(hestonModel)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;

        // semi-analytic Bates for European
        method = "Bates semi-analytic";
        boost::shared_ptr<BatesProcess> batesProcess(
            new BatesProcess(flatTermStructure, flatDividendTS,
                             underlyingH, volatility*volatility,
                             1.0, volatility*volatility, 0.001, 0.0,
                             1e-14, 1e-14, 1e-14));
        boost::shared_ptr<BatesModel> batesModel(new BatesModel(batesProcess));
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                                new BatesEngine(batesModel)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;

        // Barone-Adesi and Whaley approximation for American
        method = "Barone-Adesi/Whaley";
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                       new BaroneAdesiWhaleyApproximationEngine(bsmProcess)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << "N/A"
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Bjerksund and Stensland approximation for American
        method = "Bjerksund/Stensland";
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BjerksundStenslandApproximationEngine(bsmProcess)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << "N/A"
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Integral
        method = "Integral";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                             new IntegralEngine(bsmProcess)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;

        // Finite differences
        Size timeSteps = 801;
        method = "Finite differences";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                 new FDEuropeanEngine<CrankNicolson>(bsmProcess,
                                                     timeSteps,timeSteps-1)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                 new FDBermudanEngine<CrankNicolson>(bsmProcess,
                                                     timeSteps,timeSteps-1)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                 new FDAmericanEngine<CrankNicolson>(bsmProcess,
                                                     timeSteps,timeSteps-1)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Binomial method: Jarrow-Rudd
        method = "Binomial Jarrow-Rudd";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;
        method = "Binomial Cox-Ross-Rubinstein";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess,
                                                                   timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess,
                                                                   timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess,
                                                                   timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Binomial method: Additive equiprobabilities
        method = "Additive equiprobabilities";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess,
                                                                   timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess,
                                                                   timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess,
                                                                   timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Binomial method: Binomial Trigeorgis
        method = "Binomial Trigeorgis";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<Trigeorgis>(bsmProcess,timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<Trigeorgis>(bsmProcess,timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new BinomialVanillaEngine<Trigeorgis>(bsmProcess,timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Binomial method: Binomial Tian
        method = "Binomial Tian";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BinomialVanillaEngine<Tian>(bsmProcess,timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BinomialVanillaEngine<Tian>(bsmProcess,timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                      new BinomialVanillaEngine<Tian>(bsmProcess,timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Binomial method: Binomial Leisen-Reimer
        method = "Binomial Leisen-Reimer";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
              new BinomialVanillaEngine<LeisenReimer>(bsmProcess,timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
              new BinomialVanillaEngine<LeisenReimer>(bsmProcess,timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
              new BinomialVanillaEngine<LeisenReimer>(bsmProcess,timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Binomial method: Binomial Joshi
        method = "Binomial Joshi";
        europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                    new BinomialVanillaEngine<Joshi4>(bsmProcess,timeSteps)));
        bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                    new BinomialVanillaEngine<Joshi4>(bsmProcess,timeSteps)));
        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                    new BinomialVanillaEngine<Joshi4>(bsmProcess,timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << bermudanOption.NPV()
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // Monte Carlo Method: MC (crude)
        timeSteps = 1;
        method = "MC (crude)";
        Size mcSeed = 42;
        boost::shared_ptr<PricingEngine> mcengine1;
        mcengine1 = MakeMCEuropeanEngine<PseudoRandom>(bsmProcess)
            .withSteps(timeSteps)
            .withAbsoluteTolerance(0.02)
            .withSeed(mcSeed);
        europeanOption.setPricingEngine(mcengine1);
        // Real errorEstimate = europeanOption.errorEstimate();
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;

        // Monte Carlo Method: QMC (Sobol)
        method = "QMC (Sobol)";
        Size nSamples = 32768;  // 2^15

        boost::shared_ptr<PricingEngine> mcengine2;
        mcengine2 = MakeMCEuropeanEngine<LowDiscrepancy>(bsmProcess)
            .withSteps(timeSteps)
            .withSamples(nSamples);
        europeanOption.setPricingEngine(mcengine2);
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanOption.NPV()
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << "N/A"
                  << std::endl;

        // Monte Carlo Method: MC (Longstaff Schwartz)
        method = "MC (Longstaff Schwartz)";
        boost::shared_ptr<PricingEngine> mcengine3;
        mcengine3 = MakeMCAmericanEngine<PseudoRandom>(bsmProcess)
            .withSteps(100)
            .withAntitheticVariate()
            .withCalibrationSamples(4096)
            .withAbsoluteTolerance(0.02)
            .withSeed(mcSeed);
        americanOption.setPricingEngine(mcengine3);
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << "N/A"
                  << std::setw(widths[2]) << std::left << "N/A"
                  << std::setw(widths[3]) << std::left << americanOption.NPV()
                  << std::endl;

        // End test
        Real seconds = timer.elapsed();
        Integer hours = int(seconds/3600);
        seconds -= hours * 3600;
        Integer minutes = int(seconds/60);
        seconds -= minutes * 60;
        std::cout << " nRun completed in ";
        if (hours > 0)
            std::cout << hours << " h ";
        if (hours > 0 || minutes > 0)
            std::cout << minutes << " m ";
        std::cout << std::fixed << std::setprecision(0)
                  << seconds << " sn" << std::endl;
        return 0;

    } catch (std::exception& e) {
        std::cerr << e.what() << std::endl;
        return 1;
    } catch (...) {
        std::cerr << "unknown error" << std::endl;
        return 1;
    }
}


You might get lot's of red underlines indicating errors. This can happen due to a bug in eclipse that I'll show how to fix in a later post.

Add your library name and path to the project properties (menu: project -> properties). Remember that we don't prefix library name with 'lib' or include the extension (even though the actual file is libQuantLib.a):

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Build the project (hammer icon):

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Run the project:

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  • #36
  • Dec 29, 2011 9:06pm Dec 29, 2011 9:06pm
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Multi-Platform Tools for Market Analysis ...
TA-Lib is widely used by trading software developers requiring to perform technical analysis of financial market data.

  1. Includes 200 indicators such as ADX, MACD, RSI, Stochastic, Bollinger Bands etc... (more info)
  2. Candlestick pattern recognition
  3. Open-source API for C/C++, Java, Perl, Python and 100% Managed .NET

  • #37
  • Dec 29, 2011 9:21pm Dec 29, 2011 9:21pm
Get the linux download from http://ta-lib.org/. We can use the linux download because we can compile it in msys to make it run in windows:

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'tar.gz' is a common linux extension. In simple terms it is a tar package that is zipped. We need to use 7zip to unzip, then run 7zip again to unpack:

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Open a msys window (start -> run -> msys). We are going to run the following commands:

Note: if you want a debug version, don't run the export CFLAGS command. The default flags will be '-O2 -g' (-g = debug)

Inserted Code
cd /c/ta-lib
export CFLAGS="-O3"
./configure
make
cd src/tools/ta_regtest
ta_regtest


configure:

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make:

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There is no 'make install' ... wish there was as it would make copying the headers (later) simpler. Now run the tests to check ta-lib compiled ok:

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  • #38
  • Dec 29, 2011 11:24pm Dec 29, 2011 11:24pm
After building with MSYS we need to copy the headers and library to our mingw directories. The headers are a little complicated ... you need to create a new ta-lib directory in the mingw includes to copy headers into:

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Create a new empty exe project as usual (here's how) and paste the following code:

Inserted Code
#include <iostream>
#include <boost/format.hpp>
#include <ta-lib/ta_libc.h>

#define VECTOR_LEN 20

int main()
{
  int i;
  double closePrice[VECTOR_LEN];
  double out[VECTOR_LEN];

  TA_Integer outBeg;
  TA_Integer outNbElement;

  for (i = 0; i < VECTOR_LEN; i++)
  {
  if ( i<5 ) closePrice[i] = 0.500;
  else if ( i<10 ) closePrice[i] = 0.100 * i;
  else closePrice[i] = 1.000;
  }

  TA_MA( 0, VECTOR_LEN-1, &closePrice[0],
  5, TA_MAType_SMA,
          &outBeg, &outNbElement, &out[0] );

  for ( i=0; i< (outBeg + outNbElement); i++ )
  {
  std::cout << "closePrice[" << i << "]=" << boost::format("%1$.4f") % closePrice[i] << " -> ";
  if ( i<outBeg )
  std::cout << "UNDEFINED";
  else
  std::cout << "out[" << i << "] = " << boost::format("%1$.4f") % out[i-outBeg];

  std::cout << std::endl;
  }

  return 0;
}


Edit project properties (menu: project -> properties):

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Build with the hammer icon. Result should be similar to:

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Run the exe and you should get a similar SMA output:

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  • #39
  • Dec 30, 2011 1:40pm Dec 30, 2011 1:40pm
Here's a few preferences I change to make working in eclipse more convenient. You'll have these automatically if you use the workspace I provide on the first post.

You get to the preferences window on the top menu: window -> preferences. The save before build is particularly useful. I'm unsure why that wouldn't be ticked by default

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  • #40
  • Dec 30, 2011 9:43pm Dec 30, 2011 9:43pm
In post 35 I mentioned ...

Quote
You might get lot's of red underlines indicating errors. This can happen due to a bug in eclipse that I'll show how to fix in a later post.

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Turns out that this is not an eclipse bug but caused by the automatic inclusion of quantlib experimental headers. You can fix this permanently by commenting out the following line:

[quote]#include <ql/experimental/all.hpp>

in the file C:\MinGW\include\qlquantlib.hpp

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You'll need to rebuild the index for the project to refresh the editor:

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The result should be a clean project editor:

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These changes are updated in the packages (post 1) with dates greater than equal:

MinGW_20111231_1350_.7z
workspace_20111231_1350.7z
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