C#.net quantLib Excel

[Mattia Maetini]

Hi everybody,

this is my first post in this group.

 

I’m Italian student and I’m develop my thesis using C#.net about Web Service for evaluation of rate interest derivates.

 

I have download QuantLib and QuantLibSwig and I can you it in my project in C#.net; so now I can use windows form for have an user-friendly interaction with my program.

 

I have understood to use the native structure of QuantLib (in C++) with C#.net, so now I can use Date and Schedule for example.

 

Now I need to evaluate the forward Euribor 3 month and Euribor 6 month use the yield curve: I have see that in the plug-in for Excel there is the Piecewise Yield Curve that do that, and I have see the code in C++ for evaluate this curve with the EONIA swap too.

 

Can anyone help me to do this in C#.net?

 

Thanks,

Regards,

Mattia

 

PS: there is an object in QuantLib that include the EONIA swap instrument?

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[Luigi Ballabio]

On Mon, 2009-06-29 at 15:38 +0200, Mattia Maetini wrote:
> I need to evaluate the forward Euribor 3 month and Euribor 6 month use
> the yield curve: I have see that in the plug-in for Excel there is the
> Piecewise Yield Curve that do that, and I have see the code in C++ for
> evaluate this curve with the EONIA swap too.

> Can anyone help me to do this in C#.net?

Once you have a yield curve, you'll have to do something like

YieldTermStructure yield_curve = new PiecewiseYieldCurve(...);

YieldTermStructureHandle h = new YieldTermStructureHandle(yield_curve);

Euribor euribor3m = new Euribor(3, TimeUnit.Months, h);

Date fixingDate = ...;

double r = euribor3m.fixing(fixingDate);


Luigi


--

It is better to know some of the questions than all of the answers.
-- James Thurber



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