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How to use qlVasicek and qlHullWhite in quantlibxl?

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jojogh

How to use qlVasicek and qlHullWhite in quantlibxl?

Hi Dear All,

Any one can help me guide me how to use qlVasicek and qlHulWhite in QuantLibxl, are they referred by other objects? Need help.

regards

Alex Zhang

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cheng li

答复: How to use qlVasicek and qlHullWhite in quantlibxl?

Hi Yuanhao,

As far as I know, the pricing engine, e.g. TreeCallableFixedRateBondEngine, TreeVanillaSwapEngine and so on who are using short rate models, have not been exported to qlXL yet. You need to do it yourself to export them. It need some work to do.

I have done some work to export them before. As I am not satisfied with my solution I have not push it to QuantLib master branch. If you need the sample, I am happy to show you some.

Regards,

Cheng

发件人: Yuanhao Zhang [mailto:[hidden email]]
发送时间: 2014年7月1日 21:46
收件人: QuantLib QuantLib
主题: [Quantlib-users] How to use qlVasicek and qlHullWhite in quantlibxl?

Hi Dear All,

Any one can help me guide me how to use qlVasicek and qlHulWhite in QuantLibxl, are they referred by other objects? Need help.

regards

Alex Zhang

jojogh

Re: 答复: How to use qlVasicek and qlHullWhite in quantlibxl?

Oh, that is great! Cheng Li you are rock. I have great interest in trying your solutions.

regards

Alex

2014-07-01 23:47 GMT+08:00 cheng.li <[hidden email]>:

Hi Yuanhao,

As far as I know, the pricing engine, e.g. TreeCallableFixedRateBondEngine, TreeVanillaSwapEngine and so on who are using short rate models, have not been exported to qlXL yet. You need to do it yourself to export them. It need some work to do.

I have done some work to export them before. As I am not satisfied with my solution I have not push it to QuantLib master branch. If you need the sample, I am happy to show you some.

Regards,

Cheng

发件人: Yuanhao Zhang [mailto:[hidden email]]
发送时间: 2014年7月1日 21:46
收件人: QuantLib QuantLib
主题: [Quantlib-users] How to use qlVasicek and qlHullWhite in quantlibxl?

Hi Dear All,
Any one can help me guide me how to use qlVasicek and qlHulWhite in QuantLibxl, are they referred by other objects? Need help.

regards

Alex Zhang