aviks / ito.jl Goto Github PK

A Julia package for quantitative finance

Home Page: http://aviks.github.com/Ito.jl/

License: Other

Julia 100.00%

ito.jl's Introduction

Deprecated

This package is now deprecated. This package started by emulating functionality from Quantlib, but the Quantlib.jl package now contains a much larger port of Quantlib. Some of the longer terms goals of this package are now implemented in Miletus, a contract definition and modelling language from Julia Computing.

Ito, an open source toolkit for financial computing in Julia

Ito is a collection of Julia modules containing algorithms for efficient quantitative finance. It includes functions and frameworks for holiday calendars, day count conventions, term structures, stochastic processes and more.

A lot of the functionality is work in progress, but there are hopefully some useful bits already.

Detailed documentation is available at http://aviks.github.com/Ito.jl/

Installation

Pkg.add("Ito")

ito.jl's People

Contributors

Stargazers

Watchers

Forkers

milktrader eucalyptus2013 tkelman peter1000 ph0non juliaquant anqijiao dqlab pazzo83 noisyoscillator stephenll-forks

ito.jl's Issues

[PackageEvaluator.jl] Your package Ito may have a testing issue.

This issue is being filed by a script, but if you reply, I will see it.

PackageEvaluator.jl is a script that runs nightly. It attempts to load all Julia packages and run their test (if available) on both the stable version of Julia (0.2) and the nightly build of the unstable version (0.3).

The results of this script are used to generate a package listing enhanced with testing results.

The status of this package, Ito, on...

Julia 0.2 is 'Tests fail, but package loads.'
Julia 0.3 is 'Tests fail, but package loads.'

'No tests, but package loads.' can be due to their being no tests (you should write some if you can!) but can also be due to PackageEvaluator not being able to find your tests. Consider adding a test/runtests.jl file.

'Package doesn't load.' is the worst-case scenario. Sometimes this arises because your package doesn't have BinDeps support, or needs something that can't be installed with BinDeps. If this is the case for your package, please file an issue and an exception can be made so your package will not be tested.

This automatically filed issue is a one-off message. Starting soon, issues will only be filed when the testing status of your package changes in a negative direction (gets worse). If you'd like to opt-out of these status-change messages, reply to this message.

[PkgEval] Ito may have a testing issue on Julia 0.3 (2014-07-15)

PackageEvaluator.jl is a script that runs nightly. It attempts to load all Julia packages and run their tests (if available) on both the stable version of Julia (0.2) and the nightly build of the unstable version (0.3). The results of this script are used to generate a package listing enhanced with testing results.

On Julia 0.3

On 2014-07-14 the testing status was Tests pass.
On 2014-07-15 the testing status changed to Package doesn't load.

Tests pass. means that PackageEvaluator found the tests for your package, executed them, and they all passed.

Package doesn't load. means that PackageEvaluator did not find tests for your package. Additionally, trying to load your package with using failed.

This issue was filed because your testing status became worse. No additional issues will be filed if your package remains in this state, and no issue will be filed if it improves. If you'd like to opt-out of these status-change messages, reply to this message saying you'd like to and @IainNZ will add an exception. If you'd like to discuss PackageEvaluator.jl please file an issue at the repository. For example, your package may be untestable on the test machine due to a dependency - an exception can be added.

Test log:

INFO: Installing ArrayViews v0.4.6
INFO: Installing BinDeps v0.2.14
INFO: Installing Calendar v0.4.2
INFO: Installing Distributions v0.5.2
INFO: Installing ICU v0.4.1
INFO: Installing Ito v0.0.2
INFO: Installing PDMats v0.2.1
INFO: Installing StatsBase v0.5.3
INFO: Installing URIParser v0.0.2
INFO: Building ICU
INFO: Package database updated
ERROR: NumericExtensions not found
 in require at loading.jl:47
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:54
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:54
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:51
 in include at ./boot.jl:245
 in include_from_node1 at loading.jl:128
 in process_options at ./client.jl:285
 in _start at ./client.jl:354
while loading /home/idunning/pkgtest/.julia/v0.3/PDMats/src/PDMats.jl, in expression starting on line 9
while loading /home/idunning/pkgtest/.julia/v0.3/Distributions/src/Distributions.jl, in expression starting on line 4
while loading /home/idunning/pkgtest/.julia/v0.3/Ito/src/Ito.jl, in expression starting on line 2
while loading /home/idunning/pkgtest/.julia/v0.3/Ito/testusing.jl, in expression starting on line 1
INFO: Package database updated

Info about upcoming removal of packages in the General registry

As described in https://discourse.julialang.org/t/ann-plans-for-removing-packages-that-do-not-yet-support-1-0-from-the-general-registry/ we are planning on removing packages that do not support 1.0 from the General registry. This package has been detected to not support 1.0 and is thus slated to be removed. The removal of packages from the registry will happen approximately a month after this issue is open.

To transition to the new Pkg system using Project.toml, see https://github.com/JuliaRegistries/Registrator.jl#transitioning-from-require-to-projecttoml.
To then tag a new version of the package, see https://github.com/JuliaRegistries/Registrator.jl#via-the-github-app.

If you believe this package has erroneously been detected as not supporting 1.0 or have any other questions, don't hesitate to discuss it here or in the thread linked at the top of this post.

Problem with using Ito on Windows

When I try to use Ito, I have a problem with ICU.
How can I solve this problem?

not able to use "using Ito"

julia> using Ito
ERROR: find_in_path not defined
in include at boot.jl:238
in include_from_node1 at loading.jl:114
in reload_path at loading.jl:140
in _require at loading.jl:58
in require at loading.jl:43
at /home/ramesh/.julia/Ito/src/Ito.jl:6

JuliaQuant

Why not put Ito.jl in the JuliaQuant organization (https://github.com/JuliaQuant) ?
JuliaQuant is mentioned on the Julia website (http://julialang.org/community/) so it can helps attract more contributors to Ito.jl.

Can't find functions

julia> using Ito
Warning: Method definition lowercase(UTF8String,) in module Base at utf8.jl:100 overwritten in module ICU at /Users/Administrator/.julia/ICU/src/ICU.jl:134.
Warning: Method definition uppercase(UTF8String,) in module Base at utf8.jl:99 overwritten in module ICU at /Users/Administrator/.julia/ICU/src/ICU.jl:134.

julia> gaussian_regret
gaussian_regret not defined

The function is exported in module Statistics (and the code for it is written)

[PkgEval] Ito may have a testing issue on Julia 0.3 (2014-08-16)

PackageEvaluator.jl is a script that runs nightly. It attempts to load all Julia packages and run their tests (if available) on both the stable version of Julia (0.3) and the nightly build of the unstable version (0.4). The results of this script are used to generate a package listing enhanced with testing results.

On Julia 0.3

On 2014-08-15 the testing status was Tests pass.
On 2014-08-16 the testing status changed to Package doesn't load.

Tests pass. means that PackageEvaluator found the tests for your package, executed them, and they all passed.

Package doesn't load. means that PackageEvaluator did not find tests for your package. Additionally, trying to load your package with using failed.

Test log:

>>> 'Pkg.add("Ito")' log
INFO: Cloning cache of Ito from git://github.com/aviks/Ito.jl.git
INFO: Installing ArrayViews v0.4.6
INFO: Installing BinDeps v0.3.0
INFO: Installing Calendar v0.4.2
INFO: Installing Distributions v0.5.4
INFO: Installing ICU v0.4.1
INFO: Installing Ito v0.0.2
INFO: Installing PDMats v0.2.3
INFO: Installing SHA v0.0.2
INFO: Installing StatsBase v0.6.3
INFO: Installing URIParser v0.0.2
INFO: Building ICU
=================================[ ERROR: ICU ]=================================

None of the selected providers can install dependency icu.
Use BinDeps.debug(package_name) to see available providers

while loading /home/idunning/pkgtest/.julia/v0.3/ICU/deps/build.jl, in expression starting on line 28

================================================================================

================================[ BUILD ERRORS ]================================

WARNING: ICU had build errors.

 - packages with build errors remain installed in /home/idunning/pkgtest/.julia/v0.3
 - build a package and all its dependencies with `Pkg.build(pkg)`
 - build a single package by running its `deps/build.jl` script

================================================================================
INFO: Package database updated
INFO: METADATA is out-of-date a you may not have the latest version of Ito
INFO: Use `Pkg.update()` to get the latest versions of your packages

>>> 'using Ito' log

ERROR: could not open file /home/idunning/pkgtest/.julia/v0.3/ICU/src/../deps/deps.jl
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:54
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:54
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:51
 in include at ./boot.jl:245
 in include_from_node1 at loading.jl:128
 in process_options at ./client.jl:285
 in _start at ./client.jl:354
 in _start_3B_1699 at /home/idunning/julia03/usr/bin/../lib/julia/sys.so
while loading /home/idunning/pkgtest/.julia/v0.3/ICU/src/ICU.jl, in expression starting on line 54
while loading /home/idunning/pkgtest/.julia/v0.3/Calendar/src/Calendar.jl, in expression starting on line 1
while loading /home/idunning/pkgtest/.julia/v0.3/Ito/src/Ito.jl, in expression starting on line 1
while loading /home/idunning/pkgtest/.julia/v0.3/Ito/testusing.jl, in expression starting on line 1

>>> test log
no tests to run
>>> end of log

ta-lib interface?

hi @aviks,

I saw your talk on Moving Julia into Production

Just a question: did you consider interfacing with: TA-Lib : Technical Analysis Library instead of writting all in julia?

There is also a nice python binding: ta-lib

Cheers
P

Proposal for currencies

This is my proposal for currencies. It is inspired by QuantLib.

immutable Currency
    name::String
    code::String
    numeric::Int
    symbol::String
    fractionSymbol::String
    fractionsPerUnit::Int
    rounding::Function
    formatString::String
end


list_currencies=[
("Bulgarian lev", "BGL", 100, "lv", "", 100, round, "%1\$.2f %3%")
]


list_deprecated=[
"DEM"=>"EUR"
]

for currency in list_currencies
@eval ($(symbol("$(currency[2])"*"Currency")))()=Currency(($currency)...)
end

What do you think?

[PkgEval] Ito may have a testing issue on Julia 0.4 (2014-08-16)

On Julia 0.4

On 2014-08-15 the testing status was Tests pass.
On 2014-08-16 the testing status changed to Package doesn't load.

Tests pass. means that PackageEvaluator found the tests for your package, executed them, and they all passed.

Package doesn't load. means that PackageEvaluator did not find tests for your package. Additionally, trying to load your package with using failed.

Test log:

>>> 'Pkg.add("Ito")' log
INFO: Installing ArrayViews v0.4.6
INFO: Installing BinDeps v0.3.0
INFO: Installing Calendar v0.4.2
INFO: Installing Distributions v0.5.4
INFO: Installing ICU v0.4.1
INFO: Installing Ito v0.0.2
INFO: Installing PDMats v0.2.3
INFO: Installing SHA v0.0.2
INFO: Installing StatsBase v0.6.3
INFO: Installing URIParser v0.0.2
INFO: Building ICU
=================================[ ERROR: ICU ]=================================

None of the selected providers can install dependency icu.
Use BinDeps.debug(package_name) to see available providers

while loading /home/idunning/pkgtest/.julia/v0.4/ICU/deps/build.jl, in expression starting on line 28

================================================================================

================================[ BUILD ERRORS ]================================

WARNING: ICU had build errors.

 - packages with build errors remain installed in /home/idunning/pkgtest/.julia/v0.4
 - build a package and all its dependencies with `Pkg.build(pkg)`
 - build a single package by running its `deps/build.jl` script

================================================================================
INFO: Package database updated

>>> 'using Ito' log
ERROR: could not open file /home/idunning/pkgtest/.julia/v0.4/ICU/src/../deps/deps.jl
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:54
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:54
 in include at ./boot.jl:245
 in include_from_node1 at ./loading.jl:128
 in reload_path at loading.jl:152
 in _require at loading.jl:67
 in require at loading.jl:51
 in include at ./boot.jl:245
 in include_from_node1 at loading.jl:128
 in process_options at ./client.jl:285
 in _start at ./client.jl:354
 in _start_3B_3500 at /home/idunning/julia04/usr/bin/../lib/julia/sys.so
while loading /home/idunning/pkgtest/.julia/v0.4/ICU/src/ICU.jl, in expression starting on line 54
while loading /home/idunning/pkgtest/.julia/v0.4/Calendar/src/Calendar.jl, in expression starting on line 1
while loading /home/idunning/pkgtest/.julia/v0.4/Ito/src/Ito.jl, in expression starting on line 1
while loading /home/idunning/pkgtest/.julia/v0.4/Ito/testusing.jl, in expression starting on line 1


>>> test log
no tests to run
>>> end of log

aviks / ito.jl Goto Github PK

ito.jl's Introduction

Deprecated

Ito, an open source toolkit for financial computing in Julia

Installation

ito.jl's People

Contributors

Stargazers

Watchers

Forkers

ito.jl's Issues

On Julia 0.3

On Julia 0.3

On Julia 0.4

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