Curve Building in QuantlibXL

[Jacopo.Zani]

Hi all,
         I am a new Quantlib user. I have just installeed QuantlibXL into my Microsoft system and it perfectly works......I would like to begin to build an interest rate curve starting from Depo, Swaps and Futures. I cannot see such a  function in QuantlibXL! It seems to me that there are only functions starting from discounts or zero rates curves (but not from the market source data: DEpo, Futures and Swaps). Can  anybody give mee some help?

Furthermore, I tried to debug some Quantlib  function  and I found many difficulties in reading the code for its complexty (smart pointers, handles, templates). Can anyone give me recommandations on documentation and help on code structure?

Thanking you very much.

Regards

Jacopo

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[Xavier.Abulker]

Welcome Jacopo,
I'm not sure the QuantlibXL is the best tool to do that.
if you're not stuck with excel I would recommand to use RQuantlib, that's the best way to start without coding effort.
You can aslo use the example swapvaluation.cpp or look for some simple example codes in the Quantlib user archive.

Xavier

[hidden email]
Sent by: [hidden email]

31/05/2006 17:13

To	"quantlib-users" <[hidden email]>
cc
Subject	[Quantlib-users] Curve Building in QuantlibXL

Hi all,
        I am a new Quantlib user. I have just installeed c into my Microsoft system and it perfectly works......I would like to begin to build an interest rate curve starting from Depo, Swaps and Futures. I cannot see such a  function in QuantlibXL! It seems to me that there are only functions starting from discounts or zero rates curves (but not from the market source data: DEpo, Futures and Swaps). Can  anybody give mee some help?

Furthermore, I tried to debug some Quantlib  function  and I found many difficulties in reading the code for its complexty (smart pointers, handles, templates). Can anyone give me recommandations on documentation and help on code structure?

Thanking you very much.

Regards

Jacopo

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Il presente messaggio di posta elettronica  non  comporta alcun vincolo e non
crea obblighi, salvo che ciò non sia espressamente previsto da un preventivo
accordo scritto. Tale  messaggio e' confidenziale. qualora lo avesse ricevuto
per errore, La  preghiamo di  comunicarne la ricezione inviando una e-mail al
mittente e di distruggerne il contenuto. La informiamo inoltre che l'utilizzo
non autorizzato del messaggio o  dei suoi allegati potrebbe costituire reato.
La ringraziamo per la collaborazione.

This  e-mail  message does not imply  or cause  any obligation,  unless it is
provided  by a previous written  agreement.  This message is confidential: if
you  have  received  it  by mistake, please  advise immediately the sender by
e-mail  and destroy the message and its attachments.  You are hereby notified
that any  unauthorized  use  of the content of this message could  constitute
a criminal offence. Thank you.
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Toute utilisation ou diffusion non autorisee est interdite. 
Tout message electronique est susceptible d'alteration. 
La FIMAT et ses filiales declinent toute responsabilite 
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[eric ehlers]

Hi Jacopo,

On 5/31/06, [hidden email] <[hidden email]> wrote:
>
> Hi all,
>          I am a new Quantlib user. I have just installeed QuantlibXL into my
> Microsoft system and it perfectly works......I would like to begin to build
> an interest rate curve starting from Depo, Swaps and Futures. I cannot see
> such a  function in QuantlibXL! It seems to me that there are only functions
> starting from discounts or zero rates curves (but not from the market source
> data: DEpo, Futures and Swaps). Can  anybody give mee some help?

I assume you're referring to QuantLibXL version 0.3.8.  This project
is superceded by QuantLibAddin 0.3.12
(http://quantlib.org/quantlibaddin), another Excel addin for QuantLib.
 QuantLibAddin allows you to construct a yield curve from deposits,
futures, and swaps - for examples of this please see the workbook
YC_SwapDemo.xls included in the release.

> Furthermore, I tried to debug some Quantlib  function  and I found many
> difficulties in reading the code for its complexty (smart pointers, handles,
> templates). Can anyone give me recommandations on documentation and help on
> code structure?

Here is the reference manual for QuantLib:
http://quantlib.org/reference/index.html

Regards,
Eric