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Help on running QuantLibXL

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dragomir nedeltchev

Help on running QuantLibXL

Hi All,

I installed QuantLibXL and activated the addin, as per the instructions on the site. I opened InterestRateDerivatives.xls and pressed Ctrl-Alt-F9. I received #NUM! in the output cell.

The above goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32- and 64-bit version.

What shall I do to run QuantLibXL?

Regards,

Dragomir

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Eric Ehlers-3

Re: Help on running QuantLibXL

On Sun, 5 Apr 2015 06:35:02 +0000 (UTC)
dragomir nedeltchev <[hidden email]> wrote:

> Hi All,
> I installed QuantLibXL and activated the addin, as per the
> instructions on the site. I opened InterestRateDerivatives.xls and
> pressed Ctrl-Alt-F9. I received #NUM! in the output cell. The above
> goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32- and
> 64-bit version. What shall I do to run QuantLibXL? Regards, Dragomir

If you call ohRangeRetrieveError() to get the error message associated
with the #NUM, you get

Missing Euribor6M Actual/360 fixing for April 2nd, 2015

This did not happen when the workbook was first written, the behavior
relating to fixings must have changed somehow. I will try to
investigate.

Regards,
Eric

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Dive into the World of Parallel Programming The Go Parallel Website, sponsored
by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
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Peter Caspers-4

Re: Help on running QuantLibXL

Does it happen when pricing a swap or some similar instrument ? Then
maybe it is just its reference date being a holiday (April 5th, 2015)
? The technical start date would then be next Wednesday with
corresponding fixing date last Thursday. Either the reference date of
the swap should be moved to the next business day or even the global
evaluation date ?
Peter

On 5 April 2015 at 12:56, Eric Ehlers <[hidden email]> wrote:

> On Sun, 5 Apr 2015 06:35:02 +0000 (UTC)
> dragomir nedeltchev <[hidden email]> wrote:
>
>> Hi All,
>> I installed QuantLibXL and activated the addin, as per the
>> instructions on the site. I opened InterestRateDerivatives.xls and
>> pressed Ctrl-Alt-F9. I received #NUM! in the output cell. The above
>> goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32- and
>> 64-bit version. What shall I do to run QuantLibXL? Regards, Dragomir
>
> If you call ohRangeRetrieveError() to get the error message associated
> with the #NUM, you get
>
> Missing Euribor6M Actual/360 fixing for April 2nd, 2015
>
> This did not happen when the workbook was first written, the behavior
> relating to fixings must have changed somehow. I will try to
> investigate.
>
> Regards,
> Eric
>
> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website, sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for all
> things parallel software development, from weekly thought leadership blogs to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Eric Ehlers-3

Re: Help on running QuantLibXL

Yes, that's it. If I do qlSettingsSetEvaluationDate(42101) then the
error goes away. 42101 is 7-Apr-2015.

On Sun, 5 Apr 2015 14:38:24 +0200
Peter Caspers <[hidden email]> wrote:

> Does it happen when pricing a swap or some similar instrument ? Then
> maybe it is just its reference date being a holiday (April 5th, 2015)
> ? The technical start date would then be next Wednesday with
> corresponding fixing date last Thursday. Either the reference date of
> the swap should be moved to the next business day or even the global
> evaluation date ?
> Peter
>
> On 5 April 2015 at 12:56, Eric Ehlers <[hidden email]> wrote:
> > On Sun, 5 Apr 2015 06:35:02 +0000 (UTC)
> > dragomir nedeltchev <[hidden email]> wrote:
> >
> >> Hi All,
> >> I installed QuantLibXL and activated the addin, as per the
> >> instructions on the site. I opened InterestRateDerivatives.xls and
> >> pressed Ctrl-Alt-F9. I received #NUM! in the output cell. The above
> >> goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32-
> >> and 64-bit version. What shall I do to run QuantLibXL? Regards,
> >> Dragomir
> >
> > If you call ohRangeRetrieveError() to get the error message
> > associated with the #NUM, you get
> >
> > Missing Euribor6M Actual/360 fixing for April 2nd, 2015
> >
> > This did not happen when the workbook was first written, the
> > behavior relating to fixings must have changed somehow. I will try
> > to investigate.
> >
> > Regards,
> > Eric
> >
> > ------------------------------------------------------------------------------
> > Dive into the World of Parallel Programming The Go Parallel
> > Website, sponsored by Intel and developed in partnership with
> > Slashdot Media, is your hub for all things parallel software
> > development, from weekly thought leadership blogs to news, videos,
> > case studies, tutorials and more. Take a look and join the
> > conversation now. http://goparallel.sourceforge.net/
> > _______________________________________________ QuantLib-users
> > mailing list [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users

Eric Ehlers-3

Re: Help on running QuantLibXL

In reply to this post by Peter Caspers-4

For the upcoming release of QuantLibXL 1.5, this problem has been
fixed, the workbook InterestRateDerivatives.xlsx has been modified to
use the next working day if the current day is not a business day -
thanks to Paolo Mazzocchi.

On Sun, 5 Apr 2015 14:38:24 +0200
Peter Caspers <[hidden email]> wrote:

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dragomir nedeltchev

Re: Help on running QuantLibXL

Hi All,

That is a good news. I appreciate your dedication to keeping QuantLibXL updated.

Kind regards, Dragomir

On Saturday, April 18, 2015 7:53 PM, Eric Ehlers <[hidden email]> wrote:

On Sun, 5 Apr 2015 14:38:24 +0200
Peter Caspers <[hidden email]> wrote: