Adding new functions to blackcalculator

[Anthony S]

Hi Michael.

Did this bit of code ever get added to the trunk? If not, I'd certainly like to see it - I'm trying to imply an inflation index from inflation-linked gilts in QLXL, and the starting point would be a discount curve from normal gilts. And I'm new too :)

Anthony

Michael Waßmann wrote

Hi there,

I am using Quantlib for a bit, and I started to develop some enhancements
to the library.

As I am new to Quantlib development, I am not sure about the right
procedure to supply source code to QuantLib. How and with whom can/should
I discuss my solution? Is there anybody who can help me?

These are my topics:
1)
I developed a minor enhancement to QL, allowing to use
ZeroBonds in class "FittedBondDiscountCurve", furthermore I
added the complete "FittedBondDiscountCurve" functionality to
QuantlibAddin / XL, to be able to calculate the curve
fitting in XL.
I would like to provide these enhancement to the project or
someone who will review these changes to ensure that they
are conform to the coding styles from Quantlib.
Can you please let me know how to continue or whom to contact?

2)
Currently I am working on simultaneously fitting credit
spread curves based on coporate bonds with different ratings
as input.
In other words: I am simultaneously  fitting multiple sets of
bonds (Fixedratebonds and Zerobonds) for different ratings.
For each set of bonds I am calculating the spread on top of
a basis curve (e.g. Swapcurve) which will be simultaneously
fitted with a simplified Nelson-Siegel method. The fit is
done with constraints, so that the resulting curves have the expected
behaviour.
This functionality is completely available in XL (and QuantLibAddin) as well.
Might this be of interest for the QL-project? Please let me
know.

Kind regards

Michael






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[Luigi Ballabio]

Michael,
        I'm sorry, did I ever answer to this?

Luigi


On Tue, 2011-07-19 at 14:18 -0700, Anthony S wrote:

> Hi Michael.
>
> Did this bit of code ever get added to the trunk? If not, I'd certainly like
> to see it - I'm trying to imply an inflation index from inflation-linked
> gilts in QLXL, and the starting point would be a discount curve from normal
> gilts. And I'm new too :)
>
> Anthony
>
>
> Michael Waßmann wrote:
> >
> > Hi there,
> >
> > I am using Quantlib for a bit, and I started to develop some enhancements
> > to the library.
> >
> > As I am new to Quantlib development, I am not sure about the right
> > procedure to supply source code to QuantLib. How and with whom can/should
> > I discuss my solution? Is there anybody who can help me?
> >
> > These are my topics:
> > 1)
> > I developed a minor enhancement to QL, allowing to use
> > ZeroBonds in class "FittedBondDiscountCurve", furthermore I
> > added the complete "FittedBondDiscountCurve" functionality to
> > QuantlibAddin / XL, to be able to calculate the curve
> > fitting in XL.
> > I would like to provide these enhancement to the project or
> > someone who will review these changes to ensure that they
> > are conform to the coding styles from Quantlib.
> > Can you please let me know how to continue or whom to contact?
> >
> > 2)
> > Currently I am working on simultaneously fitting credit
> > spread curves based on coporate bonds with different ratings
> > as input.
> > In other words: I am simultaneously  fitting multiple sets of
> > bonds (Fixedratebonds and Zerobonds) for different ratings.
> > For each set of bonds I am calculating the spread on top of
> > a basis curve (e.g. Swapcurve) which will be simultaneously
> > fitted with a simplified Nelson-Siegel method. The fit is
> > done with constraints, so that the resulting curves have the expected
> > behaviour.
> > This functionality is completely available in XL (and QuantLibAddin) as
> > well.
> > Might this be of interest for the QL-project? Please let me
> > know.
> >
> > Kind regards
> >
> > Michael
> >
> >
> >
> >
> >
> >
> > ------------------------------------------------------------------------------
> > ThinkGeek and WIRED's GeekDad team up for the Ultimate
> > GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the
> > lucky parental unit.  See the prize list and enter to win:
> > http://p.sf.net/sfu/thinkgeek-promo
> > _______________________________________________
> > QuantLib-dev mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
> >
>

--

The shortest way to do many things is to do only one thing at once.
-- Samuel Smiles



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