Hello,
I have recently built a sheet that uses ql to perform the following actions:
1) Build a fair swap curve and extract certain key rates
2) Build a fair US Treasury curve and extract key rates
3) Take user-defined SABR parameters for certain USD swaption expiries/tenors and build a volatility cube
4) Calculate greeks for certain swaption structures
5) Use qlBucketAnalysis to analyze NPV sensitivities to certain points on the swap curve
The sheet is large (approx. 5 MB), but once the swap and treasury curves are initialized upon startup, curve calculation is very fast. However, qlSwaptionVolCube2 does take some time to calculate, and qlBucketAnalysis takes even more time. Right now, running a full calculation of the workbook (CTRL+ALT+F9), which includes having 10 swaps analyzed by the bucketing function as well as recomputing both curves and calculating the vol cube, takes 58 seconds. I ran a profiling tool on the workbook which told me that over 50% of it is using volatile functions, but I specifically avoided using any functions such as =NOW(), =TODAY(), etc. I am not a programmer, but I thought that all the ql functions would be registered as "non-volatile" to excel upon opening the program. Is this not the case? Also, I am using Excel 2007, and I wanted to know if qlXL is threadsafe (so I can take advantage of 2007's multi-threaded calculation). Any thoughts or feedback would be greatly appreciated. Sorry if any of these questions have already been covered in a previous thread, but I did not see any topics discussing qlXL 0.9.7 calculation within Excel 2007.
Thanks in advance,
Mike
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