http://www.quantlib.co.uk/blog Life as a Quantitative Analyst Thu, 07 Feb 2008 16:08:56 +0000 http://backend.userland.com/rss092 en If you are not an administrator on your own machine you may get an access violation error when using the Yap dvi viewer supplied with MikTex. The error is Windows API error 5: Access is denied. The happens because the user does not have write access to the MikTex directories. ... http://www.quantlib.co.uk/blog/yap-error-windows-api-error-5-access-is-denied When compiling in Microsoft Visual C++ you may come across the preprocessor directive NOMINMAX. This undefines the macros MIN and MAX which are specified in the windows headers. In Visual C++ v 6.0 this may be in C:\Program Files\Microsoft Visual Studio\VC98\Include\windef.h where we have #ifndef NOMINMAX #ifndef max #define max(a,b)            (((a) > (b)) ? ... http://www.quantlib.co.uk/blog/what-does-nominmax-do Software development is iterative and incremental. Therefore a critical part of building a successful production system is the build and release process. The faster we can build, test, and release, the faster we can iterate through development landmarks. This is of no use if we are not sure that everything ... http://www.quantlib.co.uk/blog/implementing-a-build-and-release-process Using assertions is essential in defensive C++ programming. However, you want to see the filename and line number in the error, right. This leads back to using a macro, and we all know how nasty they are ;-) All is explained in this excellent article: http://powerof2games.com/node/10 http://www.quantlib.co.uk/blog/assert-macros-in-c Some functions in quantitative libraries take a long time to evaluate. If you then export this function to Excel and try to populate the arguments via the function wizard you will find that the wizard is totally unresponsive. This is because the function is reevaluated every time you enter an argument. ... http://www.quantlib.co.uk/blog/disabling-the-function-wizard-in-excel This algorithm by Nicholas Higham finds the nearest correlation matrix given an example matrix. It does this by alternate projections onto unit diagonal and positive semidefinite matrices. The paper can be found via: http://citeseer.ist.psu.edu/higham02computing.html Here are some matlab snippets for computing the nearest correlation matrix: function [U] = projU(U) x = size(U); n = ... http://www.quantlib.co.uk/blog/computing-the-nearest-correlation-matrix-a-problem-from-finance Don't install it... It has totally screwed up my installation of Visual Studio 2005 Express Edition. If you don't have over about 4Gb free on the drive it rolls back and deletes your C runtime dll libraries. http://www.quantlib.co.uk/blog/visual-studio-2005-service-pack-1 I have found a useful implementation of the fig drawing program in Java that is very useful if you want to do simple diagrams for LaTeX documents, but are working in a Windows environment where xfig is not readily available. Just use the Java webstart at here. fig2dev -L pstex fig42.fig ... http://www.quantlib.co.uk/blog/jfig Some our our build processes are taking longer than they should. Much of this is probably due to including too many references to different files, and not using forward class declarations wherever possible. This is well explained in C++ header file include patterns. If your library design does not take ... http://www.quantlib.co.uk/blog/c-header-file-include-patterns I happened to be looking for a code obfuscator for C++ and came across COBF. It is easy enough to get it working on a single file. However, when you have a large library which exports many symbols from the dll it is difficult to make a script file that ... http://www.quantlib.co.uk/blog/c-code-obfuscator