ExCouponPeriod not available in QuantLibXL function qFixedRateBond
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ExCouponPeriod not available in QuantLibXL function qFixedRateBond
 
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Hi,
I asked this a couple of weeks ago. I need to price bonds that have 7D ex-interest and are quoted in Yield. I see that qlFixedRateBondHelper does take ExCouponPeriod. However I need to use this for the yield to price functions. I see that FixedRateBond has included exCouponPeriod (Sep 9, 2015 @igitur igitur Add bond test for South African R2048 which requires Schedule from cu.) FixedRateBond bond(settlementDays, 100.0, Schedule(startDate, maturityDate, tenor, NullCalendar(), Unadjusted, Unadjusted, DateGeneration::Forward, true, firstCouponDate), std::vector<Rate>(1, coupon), dc, Unadjusted, 100.0, issueDate, calendar, exCouponPeriod, calendar However this is not in the QuantLibXL version. Is this something that missed V1.7.0? If so when would the next release likely to happen. I have to push on with a project and right now I can't get QuantLib to price the bonds correctly? Ben Watson, CEO Define Analytics Tel: +61 410 474 984 ------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi, Any new parameters have to be explicitly added to the QuantLibXL interfaces as well. I was looking into it, but hit a bit of a wall on the CPI bonds, basically because the number of parameters became too many. If you're interested only in the FixedRateBonds, I could add them, but you'll probably have to compile QuantLibXL if you want to take advantage of them before the new release. That said, QuantLibXL's maintainer (Eric Ehlers) has made some structural changes to how QuantLibXL works and I haven't got up to speed with them. Francois Botha On 22 February 2016 at 14:24, Ben Watson <[hidden email]> wrote: Hi, ------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Eric, Can I log PRs against the old QuantlibXL repo or should I target the new one based on reposit? I see the new one repo has only vc9 files in, so it's first going to be some work adding the newer solution files. If I can, I'd prefer to log a PR against the old repo and hopefully than can be ported to the new one. Is that possible? thanks Francois Botha On 22 February 2016 at 16:23, Francois Botha <[hidden email]> wrote:
------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: ExCouponPeriod not available in QuantLibXL function qFixedRateBond
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Hey Francois / All,
I am on the road this week, I see a backlog of QuantLibXL questions and I will catch up on all of them this weekend. Regards, Eric -- BlackBerry® from Mobistar --- From: Francois Botha <[hidden email]>
Date: Thu, 25 Feb 2016 11:24:40 +0200 To: Eric Ehlers<[hidden email]> Cc: QuantLib users<[hidden email]> Subject: Re: [Quantlib-users] ExCouponPeriod not available in QuantLibXL
function qFixedRateBond Eric, Can I log PRs against the old QuantlibXL repo or should I target the new one based on reposit? I see the new one repo has only vc9 files in, so it's first going to be some work adding the newer solution files. If I can, I'd prefer to log a PR against the old repo and hopefully than can be ported to the new one. Is that possible? thanks Francois Botha On 22 February 2016 at 16:23, Francois Botha <[hidden email]> wrote:
------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: ExCouponPeriod not available in QuantLibXL function qFixedRateBond
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In reply to this post by igitur
Hi Francois,
You can log PRs against my quantlib-old repo. If we don't port them to the new build in time for the next release then we will package the old build. Kind Regards, Eric On Thu, 25 Feb 2016 11:24:40 +0200 Francois Botha <[hidden email]> wrote: > Eric, > > Can I log PRs against the old QuantlibXL repo or should I target the > new one based on reposit? I see the new one repo has only vc9 files > in, so it's first going to be some work adding the newer solution > files. If I can, I'd prefer to log a PR against the old repo and > hopefully than can be ported to the new one. Is that possible? > > thanks > > Francois Botha > > On 22 February 2016 at 16:23, Francois Botha <[hidden email]> wrote: > > > Hi, > > > > Any new parameters have to be explicitly added to the QuantLibXL > > interfaces as well. I was looking into it, but hit a bit of a wall > > on the CPI bonds, basically because the number of parameters became > > too many. > > > > If you're interested only in the FixedRateBonds, I could add them, > > but you'll probably have to compile QuantLibXL if you want to take > > advantage of them before the new release. > > > > That said, QuantLibXL's maintainer (Eric Ehlers) has made some > > structural changes to how QuantLibXL works and I haven't got up to > > speed with them. > > > > > > Francois Botha > > > > On 22 February 2016 at 14:24, Ben Watson > > <[hidden email]> wrote: > > > >> Hi, > >> > >> I asked this a couple of weeks ago. I need to price bonds that > >> have 7D ex-interest and are quoted in Yield. I see that > >> qlFixedRateBondHelper does take ExCouponPeriod. However I need to > >> use this for the yield to price functions. > >> > >> I see that FixedRateBond has included exCouponPeriod (Sep 9, 2015 > >> @igitur igitur Add bond test for South African R2048 which > >> requires Schedule from cu.) > >> > >> FixedRateBond bond(settlementDays, 100.0, > >> Schedule(startDate, maturityDate, tenor, > >> NullCalendar(), Unadjusted, > >> Unadjusted, DateGeneration::Forward, true, > >> firstCouponDate), > >> std::vector<Rate>(1, coupon), > >> dc, Unadjusted, 100.0, > >> issueDate, calendar, exCouponPeriod, > >> calendar > >> > >> However this is not in the QuantLibXL version. Is this something > >> that missed > >> V1.7.0? If so when would the next release likely to happen. I have > >> to push on with a project and right now I can't get QuantLib to > >> price the bonds correctly? > >> > >> > >> > >> Ben Watson, CEO > >> Define Analytics > >> Tel: +61 410 474 984 > >> > >> > >> > >> ------------------------------------------------------------------------------ > >> Site24x7 APM Insight: Get Deep Visibility into Application > >> Performance APM + Mobile APM + RUM: Monitor 3 App instances at > >> just $35/Month Monitor end-to-end web transactions and take > >> corrective actions now Troubleshoot faster and improve end-user > >> experience. Signup Now! > >> http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 > >> _______________________________________________ QuantLib-users > >> mailing list [hidden email] > >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > >> > > > > ------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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