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QuantLibAddin - initial questions

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Mark Knecht

QuantLibAddin - initial questions

Hello,
First post here. Hopefully I'm in the right place.

To start off, thanks to all those involved in QuantLib and all the
other packages around it. It's appears to be quite impressive. In
terms of full disclosure I'm a retired semiconductor engineer who
manages my own investments only and plays around with technology aimed
at trading. I'm not related to any financial organizations of any
type.

OK, so at this point I've built QuantLib on my Gentoo machine and
have used it a bit within R-Studio via RQuantLib. It works well for
the little bit I've played with it so far. (A beginner's attempt at
pricing weekly options.) As I've worked in Excel in the past I am now
attempting to get QuantLibAddin working in Excel. The environment is:

1) A Win 7 64-bit Professional VM running under Virtualbox on the same
Gentoo Linux machine

2) Excel 2007 running in that VM

FIRST QUESTION: Is there anything about the above combination that
would cause a problem for QuantLibAddin?

OK, so I have almost no experience with Excel AddIns so I hope I'm
not doing something stupid here. I've installed
QuantLibXL-bin-1.2.0.exe on the system and in Excel I've added

C:\Program Files (x86)\QuantLibXL-1.2.0\xll\QuantLibXL-vc90-mt-s-1_2_0.xll

as an AddIn. I also added the path to it the Trust Center.

At this point I do not see an AddIn tab at the top of Excel but if
I try to add a function to a random cell in Excel I do see and can add
a QuantLib function so the library seems to be there.

SECOND QUESTION: In the simplest of example files
(BlackConstantVol.xls) there is a cell that shows 'obj_0000#0001'. If
I hit Calculate Now this cell updates (0002, 0003, etc) Can I assume
that the installation is basically working?

LAST QUESTION: If I attempt the same test with YieldCurveBootstrapping
I see yellow cells everywhere. As this is in the Stand Alone Samples
directory and talked about as a test file on the web site I want to
make sure I'm at least set up to make it run if it should.

Thanks,
Mark

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Mark Knecht

Re: QuantLibAddin - initial questions

On Sun, Nov 10, 2013 at 11:52 AM, Mark Knecht <[hidden email]> wrote:
<SNIP>
>
> FIRST QUESTION: Is there anything about the above combination that
> would cause a problem for QuantLibAddin?
>

Answering self - the installation works. I've recreated a couple of
small spreadsheet sections and in general things work
<SNIP>
>
> SECOND QUESTION: In the simplest of example files
> (BlackConstantVol.xls) there is a cell that shows 'obj_0000#0001'. If
> I hit Calculate Now this cell updates (0002, 0003, etc) Can I assume
> that the installation is basically working?
>

Answering self - This is just the way QuantLib works but so far I
haven't found newbie documentation explaining these objects yet.

> LAST QUESTION: If I attempt the same test with YieldCurveBootstrapping
> I see yellow cells everywhere. As this is in the Stand Alone Samples
> directory and talked about as a test file on the web site I want to
> make sure I'm at least set up to make it run if it should.

This part I don't understand unless the example file just isn't up to
date or something.

Cheers,
Mark

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Eric Ehlers-2

Re: QuantLibAddin - initial questions

In reply to this post by Mark Knecht

Hi Mark,

Sorry for the long delay in responding. Is late better than never?

> FIRST QUESTION: Is there anything about the above combination that
> would cause a problem for QuantLibAddin?

I think it should be OK.

> OK, so I have almost no experience with Excel AddIns so I hope I'm
> not doing something stupid here. I've installed
> QuantLibXL-bin-1.2.0.exe on the system and in Excel I've added
>
> C:\Program Files
> (x86)\QuantLibXL-1.2.0\xll\QuantLibXL-vc90-mt-s-1_2_0.xll
>
> as an AddIn. I also added the path to it the Trust Center.
>
> At this point I do not see an AddIn tab at the top of Excel but if
> I try to add a function to a random cell in Excel I do see and can add
> a QuantLib function so the library seems to be there.

This is what you would expect. The XLL implements worksheet functions,
but does not create any menu items. You do get a QuantLibXL menu when
you install the VBA Framework
(http://quantlib.org/quantlibxl/framework.html).

> SECOND QUESTION: In the simplest of example files
> (BlackConstantVol.xls) there is a cell that shows 'obj_0000#0001'. If
> I hit Calculate Now this cell updates (0002, 0003, etc) Can I assume
> that the installation is basically working?

Yes that looks OK.

> LAST QUESTION: If I attempt the same test with YieldCurveBootstrapping
> I see yellow cells everywhere. As this is in the Stand Alone Samples
> directory and talked about as a test file on the web site I want to
> make sure I'm at least set up to make it run if it should.

I am not sure what you mean when you say that you see yellow cells
everywhere. I just tested that workbook and it seems to me to be
functioning OK, I get the yield curve constructed in cell
=Bootstrapping!F8.

Regards,
Eric
--
===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

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Mark Knecht

Re: QuantLibAddin - initial questions

On Mon, Dec 9, 2013 at 3:00 AM, Eric Ehlers <[hidden email]> wrote:
> Hi Mark,
>
> Sorry for the long delay in responding. Is late better than never?
>

Absolutely! I appreciate the answers whenever they come.

<SNIP>

>
>> LAST QUESTION: If I attempt the same test with YieldCurveBootstrapping
>> I see yellow cells everywhere. As this is in the Stand Alone Samples
>> directory and talked about as a test file on the web site I want to
>> make sure I'm at least set up to make it run if it should.
>
> I am not sure what you mean when you say that you see yellow cells
> everywhere. I just tested that workbook and it seems to me to be
> functioning OK, I get the yield curve constructed in cell
> =Bootstrapping!F8.
>

Yes, a while into the process I recreated some of the examples from
scratch and convinced myself the installation is indeed running
correctly as best I can tell. I've got a simple example open now that
has cell B3 populated with

=qlBlackConstantVol(,B1,"target",B2)

where B1 = today() and B2=20%. If I hit Calculate Now the cell seems
to update. However as a complete newbie to the addin I'm not the least
bit clear what the result means. What I see is

obj_00000#0003

I need to get some understand where this object is kept, what's in it,
what other functions are able to access it. Clearly other cells like

=qlTermStructureReferenceDate(B3)

read it and do reasonable things, but again, as a newbie it's really
unclear what that object in B3 is or how I study how this fits
together. I feel like I'm not yet finding some piece of basic
documentation that covers the overall structure of these tools. (I'm
not a strong programmer so I've not tried to read any code. Maybe
that's where I need to go?)

Anyway, there is no problem here other than my learning curve!

Thanks,
Mark

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Eric Ehlers-2

Re: QuantLibAddin - initial questions

>>> LAST QUESTION: If I attempt the same test with
>>> YieldCurveBootstrapping
>>> I see yellow cells everywhere. As this is in the Stand Alone Samples
>>> directory and talked about as a test file on the web site I want to
>>> make sure I'm at least set up to make it run if it should.
>>
>> I am not sure what you mean when you say that you see yellow cells
>> everywhere. I just tested that workbook and it seems to me to be
>> functioning OK, I get the yield curve constructed in cell
>> =Bootstrapping!F8.
>>
>
> Yes, a while into the process I recreated some of the examples from
> scratch and convinced myself the installation is indeed running
> correctly as best I can tell. I've got a simple example open now that
> has cell B3 populated with
>
> =qlBlackConstantVol(,B1,"target",B2)
>
> where B1 = today() and B2=20%. If I hit Calculate Now the cell seems
> to update. However as a complete newbie to the addin I'm not the least
> bit clear what the result means. What I see is
>
> obj_00000#0003
>
> I need to get some understand where this object is kept, what's in it,
> what other functions are able to access it. Clearly other cells like
>
> =qlTermStructureReferenceDate(B3)
>
> read it and do reasonable things, but again, as a newbie it's really
> unclear what that object in B3 is or how I study how this fits
> together. I feel like I'm not yet finding some piece of basic
> documentation that covers the overall structure of these tools. (I'm
> not a strong programmer so I've not tried to read any code. Maybe
> that's where I need to go?)

No question that the documentation is thin but I hope that it is
possible for a non-programmer to get up to speed on the usage of
QuantLibXL without referring to source code.

> =qlBlackConstantVol(,B1,"target",B2)

Please try replacing that call with

=qlBlackConstantVol("my_vol", B1, "target", B2)

In other words, for the first parameter, in place of a null string, pass
in your own string that you would like to use as the object name. This
might make the behavior clearer to start. Later on you can go back to
using anonymous objects if you prefer.

Some functions that should help you to understand the behavior of
ObjectHandler (upon which QuantLibXL is built):

ohRepositoryObjectCount(), ohRepositoryListObjectIDs(),
ohObjectCallerAddress(), ohRangeRetrieveErro()

Links to some documents that should help you get up to speed:

http://quantlib.org/objecthandler/manual.html
http://quantlib.org/objecthandler/references.html
http://quantlib.org/objecthandler/allfunctions.html
http://quantlib.org/quantlibxl/manual.html
http://quantlib.org/quantlibxl/allfunctions.html
http://quantlib.org/quantlibxl/enums.html

Kind Regards,
Eric
--
===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

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Mark Knecht

Re: QuantLibAddin - initial questions

Hi Eric,
I've gone round and round about how to respond but at a minimum I
want to say thanks for your last response.

I've written 3 complete long responses and in the end have deleted
then all. I think the problem is one where someone like me - just a
basic retail trader - is trying to learn how to use this tool in a
forum filled with Quant professionals who designed it. I suspect it's
going to be up to me to just work to find the answers I guess. Most
likely a painful set of tasks.

The links below, while useful, aren't the sort of places that teach
how to use any of this stuff as best I can tell. The best reference
I've found so far seems to be to dig through the code in the
quantlib-test-suite program but that's painful & slow. None the less
at least all the parts seem to be there and functioning.

I am now wondering if there are any sort of 'first year' books on
quant finance that specifically use QuantLib and would be appropriate
for someone like me - BSEE, lots of engineering experience, not too
much programming experience. I found Mark Joshi's books on Amazon but
the reviews don't make me confident that they are what I'm looking
for.

Anyway, thanks very much again.

Thanks,
Mark

On Tue, Dec 10, 2013 at 3:04 AM, Eric Ehlers <[hidden email]> wrote:
<SNIP>

> No question that the documentation is thin but I hope that it is possible
> for a non-programmer to get up to speed on the usage of QuantLibXL without
> referring to source code.
>
>> =qlBlackConstantVol(,B1,"target",B2)
>
>
> Please try replacing that call with
>
> =qlBlackConstantVol("my_vol", B1, "target", B2)
>
> In other words, for the first parameter, in place of a null string, pass in
> your own string that you would like to use as the object name. This might
> make the behavior clearer to start. Later on you can go back to using
> anonymous objects if you prefer.
>

OK, that makes a lot of sense. Thanks!

> Some functions that should help you to understand the behavior of
> ObjectHandler (upon which QuantLibXL is built):
>
> ohRepositoryObjectCount(), ohRepositoryListObjectIDs(),
> ohObjectCallerAddress(), ohRangeRetrieveErro()
>
> Links to some documents that should help you get up to speed:
>
> http://quantlib.org/objecthandler/manual.html
> http://quantlib.org/objecthandler/references.html
> http://quantlib.org/objecthandler/allfunctions.html
> http://quantlib.org/quantlibxl/manual.html
> http://quantlib.org/quantlibxl/allfunctions.html
> http://quantlib.org/quantlibxl/enums.html
>

Eric Ehlers-2

Re: QuantLibAddin - initial questions

Hi Mark,

I'm very sorry about this. I guess you're right, I guess the QuantLibXL
documentation isn't really aimed at end users. I guess in most cases
someone with your profile would have a quant dev on site to provide
technical support for this. It should be easier, for many years we have
been talking about writing a QuantLibXL book aimed at end users, but so
far we have not found the time.

Kind Regards,
Eric

On 2013-12-13 20:32, Mark Knecht wrote:

> Hi Eric,
> I've gone round and round about how to respond but at a minimum I
> want to say thanks for your last response.
>
> I've written 3 complete long responses and in the end have deleted
> then all. I think the problem is one where someone like me - just a
> basic retail trader - is trying to learn how to use this tool in a
> forum filled with Quant professionals who designed it. I suspect it's
> going to be up to me to just work to find the answers I guess. Most
> likely a painful set of tasks.
>
> The links below, while useful, aren't the sort of places that teach
> how to use any of this stuff as best I can tell. The best reference
> I've found so far seems to be to dig through the code in the
> quantlib-test-suite program but that's painful & slow. None the less
> at least all the parts seem to be there and functioning.
>
> I am now wondering if there are any sort of 'first year' books on
> quant finance that specifically use QuantLib and would be appropriate
> for someone like me - BSEE, lots of engineering experience, not too
> much programming experience. I found Mark Joshi's books on Amazon but
> the reviews don't make me confident that they are what I'm looking
> for.
>
> Anyway, thanks very much again.
>
> Thanks,
> Mark
>
> On Tue, Dec 10, 2013 at 3:04 AM, Eric Ehlers <[hidden email]>
> wrote:
> <SNIP>
>> No question that the documentation is thin but I hope that it is
>> possible
>> for a non-programmer to get up to speed on the usage of QuantLibXL
>> without
>> referring to source code.
>>
>>> =qlBlackConstantVol(,B1,"target",B2)
>>
>>
>> Please try replacing that call with
>>
>> =qlBlackConstantVol("my_vol", B1, "target", B2)
>>
>> In other words, for the first parameter, in place of a null string,
>> pass in
>> your own string that you would like to use as the object name. This
>> might
>> make the behavior clearer to start. Later on you can go back to using
>> anonymous objects if you prefer.
>>
>
> OK, that makes a lot of sense. Thanks!
>
>> Some functions that should help you to understand the behavior of
>> ObjectHandler (upon which QuantLibXL is built):
>>
>> ohRepositoryObjectCount(), ohRepositoryListObjectIDs(),
>> ohObjectCallerAddress(), ohRangeRetrieveErro()
>>
>> Links to some documents that should help you get up to speed:
>>
>> http://quantlib.org/objecthandler/manual.html
>> http://quantlib.org/objecthandler/references.html
>> http://quantlib.org/objecthandler/allfunctions.html
>> http://quantlib.org/quantlibxl/manual.html
>> http://quantlib.org/quantlibxl/allfunctions.html
>> http://quantlib.org/quantlibxl/enums.html
>>

--
===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

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Mark Knecht

Re: QuantLibAddin - initial questions

Hi Eric,
I'm just a guy at home so no opportunity for an 'on site quant dev'
other than my poor self which is the basis of this thread. ;-) That
said, thanks much for responding to verify that I'm not looking at the
wrong stuff.

I'm not saying I'm willing to do this but I was sort of thinking
about purchasing a "beginner's quant finance book" on Amazon and then
possibly trying to work through examples in the book using QuantLib.
Maybe if I started that, posted questions and eventual solutions here
on the list, then if could find a place to put that stuff on line so
that others might benefit?

I don't have a book in mind other than maybe one of the one's about
questions people get in quant interviews. Something like:

http://www.amazon.com/Practical-Guide-Quantitative-Finance-Interviews/dp/1438236662

Chapter 6 looks like what I'd like to accomplish and the books not
expensive. I'm sure there's some online places that have the same sort
of stuff but I haven't looked in much depth yet. Just an ider.

If anyone wants to make a more appropriate suggestion then that's
much appreciated but I won't personally go for anything that's too
much of a text book. I'll leave that to the pros. :-)

Cheers,
Mark

On Tue, Dec 17, 2013 at 9:43 AM, Eric Ehlers <[hidden email]> wrote:

> Hi Mark,
>
> I'm very sorry about this. I guess you're right, I guess the QuantLibXL
> documentation isn't really aimed at end users. I guess in most cases
> someone with your profile would have a quant dev on site to provide
> technical support for this. It should be easier, for many years we have
> been talking about writing a QuantLibXL book aimed at end users, but so far
> we have not found the time.
>
> Kind Regards,
> Eric
>
>
> On 2013-12-13 20:32, Mark Knecht wrote:
>>
>> Hi Eric,
>> I've gone round and round about how to respond but at a minimum I
>> want to say thanks for your last response.
>>
>> I've written 3 complete long responses and in the end have deleted
>> then all. I think the problem is one where someone like me - just a
>> basic retail trader - is trying to learn how to use this tool in a
>> forum filled with Quant professionals who designed it. I suspect it's
>> going to be up to me to just work to find the answers I guess. Most
>> likely a painful set of tasks.
>>
>> The links below, while useful, aren't the sort of places that teach
>> how to use any of this stuff as best I can tell. The best reference
>> I've found so far seems to be to dig through the code in the
>> quantlib-test-suite program but that's painful & slow. None the less
>> at least all the parts seem to be there and functioning.
>>
>> I am now wondering if there are any sort of 'first year' books on
>> quant finance that specifically use QuantLib and would be appropriate
>> for someone like me - BSEE, lots of engineering experience, not too
>> much programming experience. I found Mark Joshi's books on Amazon but
>> the reviews don't make me confident that they are what I'm looking
>> for.
>>
>> Anyway, thanks very much again.
>>
>> Thanks,
>> Mark
>>
>> On Tue, Dec 10, 2013 at 3:04 AM, Eric Ehlers <[hidden email]>
>> wrote:
>> <SNIP>
>>>
>>> No question that the documentation is thin but I hope that it is possible
>>> for a non-programmer to get up to speed on the usage of QuantLibXL
>>> without
>>> referring to source code.
>>>
>>>> =qlBlackConstantVol(,B1,"target",B2)
>>>
>>>
>>>
>>> Please try replacing that call with
>>>
>>> =qlBlackConstantVol("my_vol", B1, "target", B2)
>>>
>>> In other words, for the first parameter, in place of a null string, pass
>>> in
>>> your own string that you would like to use as the object name. This
>>> might
>>> make the behavior clearer to start. Later on you can go back to using
>>> anonymous objects if you prefer.
>>>
>>
>> OK, that makes a lot of sense. Thanks!
>>
>>> Some functions that should help you to understand the behavior of
>>> ObjectHandler (upon which QuantLibXL is built):
>>>
>>> ohRepositoryObjectCount(), ohRepositoryListObjectIDs(),
>>> ohObjectCallerAddress(), ohRangeRetrieveErro()
>>>
>>> Links to some documents that should help you get up to speed:
>>>
>>> http://quantlib.org/objecthandler/manual.html
>>> http://quantlib.org/objecthandler/references.html
>>> http://quantlib.org/objecthandler/allfunctions.html
>>> http://quantlib.org/quantlibxl/manual.html
>>> http://quantlib.org/quantlibxl/allfunctions.html
>>> http://quantlib.org/quantlibxl/enums.html
>>>
>
> --
> ===================================================
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> * Distributed computing for pricing analytics
> * Use Microsoft Excel as a client to the Grid

Nicholas Manganaro

Re: QuantLibAddin - initial questions

Mark,
I am in somewhat the same situation as you are, as I am not being a
programmer.
I have found that if you have installed the QuantLibXL addin, that you can
dig into the .. \QuantLibXL\Workbooks\ folder and find some worked examples
to see how some of the things referred to in the documentation are used.
Mastery is not immediate, believe me, but it becomes possible to hack
through some things that might be useful.
Hope this helps you.
-Nick

-----Original Message-----
From: Mark Knecht [mailto:[hidden email]]
Sent: Tuesday, December 17, 2013 2:15 PM
To: [hidden email]
Cc: [hidden email]
Subject: Re: [Quantlib-users] QuantLibAddin - initial questions

Hi Eric,
I'm just a guy at home so no opportunity for an 'on site quant dev'
other than my poor self which is the basis of this thread. ;-) That said,
thanks much for responding to verify that I'm not looking at the wrong
stuff.

I'm not saying I'm willing to do this but I was sort of thinking about
purchasing a "beginner's quant finance book" on Amazon and then possibly
trying to work through examples in the book using QuantLib.
Maybe if I started that, posted questions and eventual solutions here on the
list, then if could find a place to put that stuff on line so that others
might benefit?

I don't have a book in mind other than maybe one of the one's about
questions people get in quant interviews. Something like:

http://www.amazon.com/Practical-Guide-Quantitative-Finance-Interviews/dp/143
8236662

Chapter 6 looks like what I'd like to accomplish and the books not
expensive. I'm sure there's some online places that have the same sort of
stuff but I haven't looked in much depth yet. Just an ider.

If anyone wants to make a more appropriate suggestion then that's much
appreciated but I won't personally go for anything that's too much of a text
book. I'll leave that to the pros. :-)

Cheers,
Mark

On Tue, Dec 17, 2013 at 9:43 AM, Eric Ehlers <[hidden email]>
wrote:

> Hi Mark,
>
> I'm very sorry about this. I guess you're right, I guess the
> QuantLibXL documentation isn't really aimed at end users. I guess in
> most cases someone with your profile would have a quant dev on site to
> provide technical support for this. It should be easier, for many
> years we have been talking about writing a QuantLibXL book aimed at
> end users, but so far we have not found the time.
>
> Kind Regards,
> Eric
>
>
> On 2013-12-13 20:32, Mark Knecht wrote:
>>
>> Hi Eric,
>> I've gone round and round about how to respond but at a minimum I
>> want to say thanks for your last response.
>>
>> I've written 3 complete long responses and in the end have deleted
>> then all. I think the problem is one where someone like me - just a
>> basic retail trader - is trying to learn how to use this tool in a
>> forum filled with Quant professionals who designed it. I suspect it's
>> going to be up to me to just work to find the answers I guess. Most
>> likely a painful set of tasks.
>>
>> The links below, while useful, aren't the sort of places that
>> teach how to use any of this stuff as best I can tell. The best
>> reference I've found so far seems to be to dig through the code in
>> the quantlib-test-suite program but that's painful & slow. None the
>> less at least all the parts seem to be there and functioning.
>>
>> I am now wondering if there are any sort of 'first year' books on
>> quant finance that specifically use QuantLib and would be appropriate
>> for someone like me - BSEE, lots of engineering experience, not too
>> much programming experience. I found Mark Joshi's books on Amazon but
>> the reviews don't make me confident that they are what I'm looking
>> for.
>>
>> Anyway, thanks very much again.
>>
>> Thanks,
>> Mark
>>
>> On Tue, Dec 10, 2013 at 3:04 AM, Eric Ehlers
>> <[hidden email]>
>> wrote:
>> <SNIP>
>>>
>>> No question that the documentation is thin but I hope that it is
>>> possible for a non-programmer to get up to speed on the usage of
>>> QuantLibXL without referring to source code.
>>>
>>>> =qlBlackConstantVol(,B1,"target",B2)
>>>
>>>
>>>
>>> Please try replacing that call with
>>>
>>> =qlBlackConstantVol("my_vol", B1, "target", B2)
>>>
>>> In other words, for the first parameter, in place of a null string,
>>> pass in your own string that you would like to use as the object
>>> name. This might make the behavior clearer to start. Later on you
>>> can go back to using anonymous objects if you prefer.
>>>
>>
>> OK, that makes a lot of sense. Thanks!
>>
>>> Some functions that should help you to understand the behavior of
>>> ObjectHandler (upon which QuantLibXL is built):
>>>
>>> ohRepositoryObjectCount(), ohRepositoryListObjectIDs(),
>>> ohObjectCallerAddress(), ohRangeRetrieveErro()
>>>
>>> Links to some documents that should help you get up to speed:
>>>
>>> http://quantlib.org/objecthandler/manual.html
>>> http://quantlib.org/objecthandler/references.html
>>> http://quantlib.org/objecthandler/allfunctions.html
>>> http://quantlib.org/quantlibxl/manual.html
>>> http://quantlib.org/quantlibxl/allfunctions.html
>>> http://quantlib.org/quantlibxl/enums.html
>>>
>
> --
> ===================================================
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> * Distributed computing for pricing analytics
> * Use Microsoft Excel as a client to the Grid

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