QuantlibXL - qlSchedule Issue
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Hi,
I'm experiencing a behavior of the qlSchedule function I cannot say whether it's a bug or not. The excel formula { =qlScheduleDates(qlSchedule(;today();"7d";"1d";"Italy::Exchange";"Preceding")) } produces the following list of dates:
so there are three Fridays rather than just one. Not sure why this happens: could it be that the qlSchedule function outputs the two extra Fridays to fill the Saturday and the Sunday that a calendar including holidays should dump instead? Regards, -- Simone ------------------------------------------------------------------------------ Cloud Services Checklist: Pricing and Packaging Optimization This white paper is intended to serve as a reference, checklist and point of discussion for anyone considering optimizing the pricing and packaging model of a cloud services business. Read Now! http://www.accelacomm.com/jaw/sfnl/114/51491232/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantlibXL - qlSchedule Issue
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Hi Simone,
from your output, I'd say that the schedule constructor first generates all dates with the given frequency, adjusts them using the Preceding convention (which moves Saturday and Sunday to Friday) but doesn't check for duplicates. You're probably the first to try building a daily schedule, so the problem never surfaced before... I'd say it's a bug. How do you think this should work? Should we just remove the duplicates? Luigi On Tue, Dec 6, 2011 at 4:54 PM, Simone <[hidden email]> wrote: > > Hi, > I'm experiencing a behavior of the qlSchedule function I cannot say whether it's a bug or not. > > The excel formula { =qlScheduleDates(qlSchedule(;today();"7d";"1d";"Italy::Exchange";"Preceding")) } produces the following list of dates: > > tue 06/12/2011 > wed 07/12/2011 > thu 08/12/2011 > fri 09/12/2011 > fri 09/12/2011 > fri 09/12/2011 > mon 12/12/2011 > tue 13/12/2011 > > > so there are three Fridays rather than just one. > > Not sure why this happens: could it be that the qlSchedule function outputs the two extra Fridays to fill the Saturday and the Sunday that a calendar including holidays should dump instead? > > Regards, > > -- > > Simone ------------------------------------------------------------------------------ Cloud Services Checklist: Pricing and Packaging Optimization This white paper is intended to serve as a reference, checklist and point of discussion for anyone considering optimizing the pricing and packaging model of a cloud services business. Read Now! http://www.accelacomm.com/jaw/sfnl/114/51491232/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Luigi,
I understand a daily schedule might seem a quite odd stuff but it's actually the only way I could find to build a qlStatistics object using just one excel cell: since I need to calculate rolling statistics on a one month window subset of time series data, the formula I'm using to do it is something like qlStatistics(qlTimeSeriesValue(qlScheduleDates(qlSchedule())) I think removing duplicates as you suggested would work. Simone 2011/12/9 Luigi Ballabio <[hidden email]> Hi Simone, -- Simone ------------------------------------------------------------------------------ Cloud Computing - Latest Buzzword or a Glimpse of the Future? This paper surveys cloud computing today: What are the benefits? Why are businesses embracing it? What are its payoffs and pitfalls? http://www.accelacomm.com/jaw/sdnl/114/51425149/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantlibXL - qlSchedule Issue
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Ok, it's fixed in the Subversion repository (the 1.2 branch). It will
work correctly in next release. Thanks for the heads-up. Luigi On Wed, Dec 14, 2011 at 12:34 PM, Simone <[hidden email]> wrote: > Hi Luigi, > I understand a daily schedule might seem a quite odd stuff but it's actually > the only way I could find to build a qlStatistics object using just one > excel cell: since I need to calculate rolling statistics on a one month > window subset of time series data, the formula I'm using to do it is > something like qlStatistics(qlTimeSeriesValue(qlScheduleDates(qlSchedule())) > I think removing duplicates as you suggested would work. > > Simone > > > > 2011/12/9 Luigi Ballabio <[hidden email]> >> >> Hi Simone, >> from your output, I'd say that the schedule constructor first >> generates all dates with the given frequency, adjusts them using the >> Preceding convention (which moves Saturday and Sunday to Friday) but >> doesn't check for duplicates. You're probably the first to try >> building a daily schedule, so the problem never surfaced before... >> >> I'd say it's a bug. How do you think this should work? Should we just >> remove the duplicates? >> >> Luigi >> >> >> On Tue, Dec 6, 2011 at 4:54 PM, Simone <[hidden email]> wrote: >> > >> > Hi, >> > I'm experiencing a behavior of the qlSchedule function I cannot say >> > whether it's a bug or not. >> > >> > The excel formula { >> > =qlScheduleDates(qlSchedule(;today();"7d";"1d";"Italy::Exchange";"Preceding")) >> > } produces the following list of dates: >> > >> > tue 06/12/2011 >> > wed 07/12/2011 >> > thu 08/12/2011 >> > fri 09/12/2011 >> > fri 09/12/2011 >> > fri 09/12/2011 >> > mon 12/12/2011 >> > tue 13/12/2011 >> > >> > >> > so there are three Fridays rather than just one. >> > >> > Not sure why this happens: could it be that the qlSchedule function >> > outputs the two extra Fridays to fill the Saturday and the Sunday that a >> > calendar including holidays should dump instead? >> > >> > Regards, >> > >> > -- >> > >> > Simone > > > > > -- > > Simone ------------------------------------------------------------------------------ Keep Your Developer Skills Current with LearnDevNow! The most comprehensive online learning library for Microsoft developers is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3, Metro Style Apps, more. Free future releases when you subscribe now! http://p.sf.net/sfu/learndevnow-d2d _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thank you Luigi
Simone 2012/1/17 Luigi Ballabio <[hidden email]> Ok, it's fixed in the Subversion repository (the 1.2 branch). It will -- Simone ------------------------------------------------------------------------------ Keep Your Developer Skills Current with LearnDevNow! The most comprehensive online learning library for Microsoft developers is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3, Metro Style Apps, more. Free future releases when you subscribe now! http://p.sf.net/sfu/learndevnow-d2d _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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