FW: Code to expose default probability functionality in QuantLibXL. F.A.O. Eric Ehlers
Locked
FW: Code to expose default probability functionality in QuantLibXL. F.A.O. Eric Ehlers
 
|
Hi Eric,
Good to meet you today at the QuantLib Forum. Here is the email we discussed. Regards Don Stewart [hidden email] -----Original Message----- From: Don Stewart Sent: 08 June 2010 15:21 To: [hidden email] Subject: Code to expose default probability functionality in QuantLibXL Hi there, Using the tutorial http://quantlib.org/quantlibaddin/extend_tutorial.html and some trial and error I've been able to expose QuantLib's default probability functionality to QuantLibXL. The attached zip file contains the source code changes made to QuantLibAddin-1.0.0b3 (which as far as I'm aware is the latest published version of QuantLibAddin). I've compiled this code using Microsoft Visual C++ 2008 to both Debug (runtime static) and Release (runtime static) .xll files. I've used these in Excel 2003 to back out probability of default from CDS spreads which validate against data I have from JP Morgan and against a separate model built in Matlab by a colleague. I'd like to publish this code to the QuantLib source code base and would appreciate it if someone could enlighten me how to do this. I'd also appreciate any comments on whether my code exposes this functionality in an optimal manner. For instance, is it necessary to manually add source code to QuantLibAddin\qlo\enumerations\constructors\enumeratedpairs.xpp or manually create QuantLibAddin\qlo\enumerations\factories\defaulttermstructuresfactory.hp p rather than auto generate them via python from qlgensrc project. In case anyone wants to compile this code then the installation process is:- Download and install the QuantLib source code stack. The parent directory I used looks like gensrc log4cxx ObjectHandler QuantLib QuantLibAddin QuantLibXL Unzip the attached zip file QuantLibAddinWithDefautlProability.zip to this parent directory. The contents should overwrite some files in the QuantLibAddin sub-directory. Invoke Visual C++ 2008 and open the QuantLibXL\QuantLibXL_full_vc9.sln. Select either Debug (runtime static) or Release (runtime static) solution configuration. Press F7 to build the solution. After successful compilation, the QuantLibXL\xll sub-directory should contain a .xll add in that can be loaded in Excel. Regards Don Stewart [hidden email] This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk ***************************************************************** ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
QuantLibAddinWithDefaultProbability.zip (51K)
Re: FW: Code to expose default probability functionality in QuantLibXL. F.A.O. Eric Ehlers
|
|
| Free forum by Nabble | Edit this page |