Additional result as an array

[Lapin]

Hi,

Here is what I am trying to do:
I have a PDE engine that I am happy with but I would like to see the delta on the full grid (to see the behavior at the barrier).
As of today the additionalResults_ should be a single value due to the boost::any type.
Is there any otherway to see my result instead of developping a pecial function for this special model?

Cheers

[Luigi Ballabio]

On Oct 21, 2009, at 6:31 PM, Yomi wrote:
> Here is what I am trying to do:
> I have a PDE engine that I am happy with but I would like to see the  
> delta
> on the full grid (to see the behavior at the barrier).
> As of today the additionalResults_ should be a single value due to the
> boost::any type.

As far as I know, boost::any can contain any type including arrays. Am  
I wrong?

Luigi


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[Dimathematician]

Luigi Ballabio schrieb:

> On Oct 21, 2009, at 6:31 PM, Yomi wrote:
>  
>> Here is what I am trying to do:
>> I have a PDE engine that I am happy with but I would like to see the  
>> delta
>> on the full grid (to see the behavior at the barrier).
>> As of today the additionalResults_ should be a single value due to the
>> boost::any type.
>>    
>
> As far as I know, boost::any can contain any type including arrays. Am  
> I wrong?
>
> Luigi
>
>
> ------------------------------------------------------------------------------
> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
> is the only developer event you need to attend this year. Jumpstart your
> developing skills, take BlackBerry mobile applications to market and stay
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>
>  

Yes it can include arrays, or any-thing


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[Lapin]

I doubled check and indeed it can contain arrays.
But if you use the qlInstrumentResults function, you get the following error message:

qlInstrumentResults - boost::bad_any_cast: failed conversion using boost::any_cast

I don't know if I do something wrong but I would like to dump my greeks in excel when needed and it was sounding the natural way.

Tx

Dimathematician wrote

Luigi Ballabio schrieb:
> On Oct 21, 2009, at 6:31 PM, Yomi wrote:
>  
>> Here is what I am trying to do:
>> I have a PDE engine that I am happy with but I would like to see the  
>> delta
>> on the full grid (to see the behavior at the barrier).
>> As of today the additionalResults_ should be a single value due to the
>> boost::any type.
>>    
>
> As far as I know, boost::any can contain any type including arrays. Am  
> I wrong?
>
> Luigi
>
>
> ------------------------------------------------------------------------------
> Come build with us! The BlackBerry(R) Developer Conference in SF, CA
> is the only developer event you need to attend this year. Jumpstart your
> developing skills, take BlackBerry mobile applications to market and stay
> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
> http://p.sf.net/sfu/devconference
> _______________________________________________
> QuantLib-users mailing list
> [e-mail]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>  
Yes it can include arrays, or any-thing


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[Luigi Ballabio]

On Thu, 2009-10-22 at 00:00 -0700, Yomi wrote:
> I doubled check and indeed it can contain arrays.
> But if you use the qlInstrumentResults function, you get the following error
> message:
>
> qlInstrumentResults - boost::bad_any_cast: failed conversion using
> boost::any_cast

Oh, you meant in Excel.  Yes, that's limited to doubles (no templates
there.)  You'll need to generalize the function somehow.  At a pinch,
you can probably create another one that performs the correct cast.
Nando? Eric?

Luigi


--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file



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[Bogdan Popa]

Hi,

I think I have an answer to your problem. I needed to extract an array from the InstrumentResults, and not only a double, this functionnality wasn't implemented in the QuantLibXLStatic project of 0.9.9. So what I did was to create another function, qlInstrumentResults2, by adding the following code in the file instruments.xml of the project qlgensrc (the QLXLStatic function generator) :

    <Member name='qlInstrumentResults2' type='QuantLib::Instrument'>
      <description>Returns the required result (if available) for the given Instrument object.</description>
      <libraryFunction>result<QuantLib::Real></libraryFunction>
      <SupportedPlatforms>
       
        <SupportedPlatform name='Excel'/>
       
      </SupportedPlatforms>
      <ParameterList>
        <Parameters>
          <Parameter name='ResultType' exampleValue='vega'>
            <type>string</type>
            <tensorRank>scalar</tensorRank>
            <description>result type (e.g. 'vega').</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>


After you generate the project, a new function should normally appear in QuantLibXLStatic/instruments.cpp . The only thing you need to do next is to replace :

std::vector<double> returnValue = ObjectIdLibObjPtr->result< QuantLib::Real>(ResultType);

with

std::vector<double> returnValue = ObjectIdLibObjPtr->result<std::vector<QuantLib::Real>>(
                ResultType);

This will ensure the proper cast of an array.

Hope this helps,

Bogdan

www.riskedge.fr

Yomi wrote

Hi,

Here is what I am trying to do:
I have a PDE engine that I am happy with but I would like to see the delta on the full grid (to see the behavior at the barrier).
As of today the additionalResults_ should be a single value due to the boost::any type.
Is there any otherway to see my result instead of developping a pecial function for this special model?

Cheers