QuantLibAddlin question

[Nathan Abbott]

Hi,

I've installed QuantLibXL and loaded the addins (both the QuantlibAddIn 0.9.0 and the VBA framework for QuantlibXL). I've looked at the standalone example files and those work fine. I'm now at a stage where I'd like to start looking at/working with the other example files. I'm trying for e.g. to use the file "CapFloor.xls" in the Workbooks\InterestRateDerivatives directory. I'm trying to figure out where I need to enter data to get that sheet to work (cause some of the objects are being created since I get object ID's); and especially how to get the volatility from the "EUR6MCapletVol" volatility term structure and how/where that TS is created.

Thanks

-------------------------------------------------------------------------
This SF.net email is sponsored by the 2008 JavaOne(SM) Conference
Don't miss this year's exciting event. There's still time to save $100.
Use priority code J8TL2D2.
http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Ferdinando M. Ametrano-3]

Hi Nathan

> I'd like to
> start looking at/working with the other example files. I'm trying for e.g.
> to use the file "CapFloor.xls" in the Workbooks\InterestRateDerivatives
> directory. I'm trying to figure out where I need to enter data to get that
> sheet to work (cause some of the objects are being created since I get
> object ID's); and especially how to get the volatility from the
> "EUR6MCapletVol" volatility term structure and how/where that TS is created.

the Framework usage it's not documented yet as it has been changing a
lot. It will be properly documented for QLXL 1.0
In the meantime try to use the QLXL menu and do the action in proper
order: bootstrap the yield curve, then the caplet/swaption vols, etc.

I know it's not the best possible help...

ciao -- Nando

-------------------------------------------------------------------------
This SF.net email is sponsored by the 2008 JavaOne(SM) Conference
Don't miss this year's exciting event. There's still time to save $100.
Use priority code J8TL2D2.
http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Nathan Abbott]

Hi Nando,

 

Great, got that working now. Thank you. Do you have a short explanation of what the volatility term structure functions/classes do (i.e. like the optionletvolatilitystructure and optionletstripper) in QL/QLXL and how one uses them?

 

Thank you

 

On Tue, Apr 15, 2008 at 11:25 AM, Ferdinando Ametrano <[hidden email]> wrote:

Hi Nathan

> I'd like to
> start looking at/working with the other example files. I'm trying for e.g.
> to use the file "CapFloor.xls" in the Workbooks\InterestRateDerivatives
> directory. I'm trying to figure out where I need to enter data to get that
> sheet to work (cause some of the objects are being created since I get
> object ID's); and especially how to get the volatility from the
> "EUR6MCapletVol" volatility term structure and how/where that TS is created.

the Framework usage it's not documented yet as it has been changing a
lot. It will be properly documented for QLXL 1.0
In the meantime try to use the QLXL menu and do the action in proper
order: bootstrap the yield curve, then the caplet/swaption vols, etc.

I know it's not the best possible help...

ciao -- Nando

-------------------------------------------------------------------------
This SF.net email is sponsored by the 2008 JavaOne(SM) Conference
Don't miss this year's exciting event. There's still time to save $100.
Use priority code J8TL2D2.
http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users