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QuantlibXL Variance Surface

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Kasakow, Timofej

QuantlibXL Variance Surface

Hello everybody,

I am new to QuantlibXL and honestly have not too much idea about C++ programming. I got an assignment to build an Excel Tool, based on functions in QuantlibXL to create and evaluate a Variance Surface. I succeeded to create an object of a class BlackVarianceSurface, but I don't know, how to move on. I read all of the documentation to QLXL and found no function, which uses such an object for input. I suspect this is because the functionality of QLXL is limited and the functions using this objects are not yet implemented. If I am wrong, could you maybe give me some advice, how to evaluate the BlackVarianceSurface object. If I am right, does that mean, that I need to write a C++ function using functionality of QuantLib and add it to the source of QLXL and build it? I appreciate any help.

Thanks in advance

Timofej

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Luigi Ballabio

Re: QuantlibXL Variance Surface

On Tue, 2010-01-05 at 13:24 +0100, Kasakow, Timofej wrote:
> I am new to QuantlibXL and honestly have not too much idea about C++
> programming. I got an assignment to build an Excel Tool, based on
> functions in QuantlibXL to create and evaluate a Variance Surface. I
> succeeded to create an object of a class BlackVarianceSurface, but I
> don't know, how to move on. I read all of the documentation to QLXL
> and found no function, which uses such an object for input. I suspect
> this is because the functionality of QLXL is limited and the functions
> using this objects are not yet implemented.

Yes, I think so. You'd have to export the blackVol method of
BlackVarianceSurface to inspect the structure you created.
Maybe some QuantLibXL expert can step in and describe shortly the steps
to export it?

Thanks,
Luigi

--

What is written without effort is, in general, read without pleasure.
-- Samuel Johnson

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Ferdinando M. Ametrano-3

Re: QuantlibXL Variance Surface

In reply to this post by Kasakow, Timofej

On Tue, Jan 5, 2010 at 1:24 PM, Kasakow, Timofej <[hidden email]> wrote:
> I got an assignment to build an Excel Tool, based on functions
> in QuantlibXL to create and evaluate a Variance Surface. I succeeded
> to create an object of a class BlackVarianceSurface, but I don't know, how
> to move on. I read all of the documentation to QLXL and found no function,
> which uses such an object for input. I suspect this is because the
> functionality of QLXL is limited and the functions using this objects are
> not yet implemented.
You're right, that class constructor has been exported to Excel, but not its base class interface. So it's never been used or documented...

I cleaned up some improper QuantLibAddin inheritance for TermStructure derived classes in http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=17027, and then in http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=17028 I exported BlackVolTermStructure interface and added an example workbook.

The example workbook uses BlackConstantVol, but this is not an issue: BlackVarianceSurface is a sister class (they both derive from BlackVolTermStructure) and you have been already able to create a BlackVarianceSurface object

> I am new to QuantlibXL and honestly have not too much idea about C++
> programming. [...] could you maybe give me some advice, how
> to evaluate the BlackVarianceSurface object. If I am right, does that mean,
> that I need to write a C++ function using functionality of QuantLib and add
> it to the source of QLXL and build it? I appreciate any help.

not exactly. Since the class is already exported (using C++ glue code) its interface can be exported just declaring it in an xml file, e.g.:

<Member name='qlBlackVolTermStructureBlackVariance' type='QuantLib::BlackVolTermStructure' superType='libraryClass'>
<description>Returns the black spot variance at a given option date and strike.</description>
<libraryFunction>blackVariance</libraryFunction>
<SupportedPlatforms>
<SupportedPlatform name='Excel'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='OptionDate' exampleValue = '1Y'>
<type>QuantLib::Date</type>
<tensorRank>scalar</tensorRank>
<description>The date at which the variance is evaluated.</description>
</Parameter>
<Parameter name='Strike' exampleValue = '5%'>
<type>QuantLib::Real</type>
<tensorRank>scalar</tensorRank>
<description>The strike at which the variance is evaluated.</description>
</Parameter>
<Parameter name='AllowExtrapolation' const='False' default='false'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>Extrapolation Flag (TRUE allows extrapolation).</description>
</Parameter>
</Parameters>
</ParameterList>
<ReturnValue>
<type>QuantLib::Real</type>
<tensorRank>scalar</tensorRank>
</ReturnValue>
</Member>

ciao -- Nando

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Kasakow, Timofej

Re: QuantlibXL Variance Surface

Hey guys,

thanks a lot for your time.

@nando

>not exactly. Since the class is already exported (using C++ glue code) its interface can be exported just declaring it in >an xml file

Does that mean I will have to build the source using the new interface definitions in the .xml file? I tried to understand the compilation instructions on the QuantLib AddIn homepage, but there is only a note about the possibility of customizing the build with xml metadata by re-running gensrc, but there is nothing about how.

Thanks in advance

Timofej

Von: [hidden email] [[hidden email]] im Auftrag von Ferdinando Ametrano [[hidden email]]
Gesendet: Freitag, 22. Januar 2010 18:20
An: Kasakow, Timofej
Cc: [hidden email]
Betreff: Re: [Quantlib-users] QuantlibXL Variance Surface

ciao -- Nando

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