Some functions in QuantLibXL
Locked
Some functions in QuantLibXL
 
|
Dear Sir/Madam, I have installed QuantLibXL AddIn on my computer. I
am able to access some functionality of it, but some functions (even in stand alone
examples) are non available (eg. The function “qlExpCorrFlatVolFactory”)
. Do you have any idea what is wrong with my example. Kind
Regards Oleksandr
Khomenko Vorsitzender des Aufsichtsrats: Dr. Nikolaus von Bomhard ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Some functions in QuantLibXL
|
|
Hi Oleksandr,
> I have installed QuantLibXL AddIn on my computer. I am able to access some > functionality of it, but some functions (even in stand alone examples) are > non available Which version? You should be using the binary installation of QuantLibXL version 0.8.0. Here's a basic intro: 1) Start Excel 2) Load the XLL QuantLibXL-0.8.0\xll\QuantLibXL-vc80-mt-s-0_8_0.xll 3) Open QuantLibXL-0.8.0\Workbooks\StandaloneExamples\MarketData.xls 4) Open QuantLibXL-0.8.0\Workbooks\StandaloneExamples\VanillaSwap.xls 5) Hit Ctrl-Alt-F9 to force a full recalculation 6) In book VanillaSwap.xls, sheet Vanilla Swap, cell C27, you should see a PV for the instrument (on my machine today, -2,773.06) Does that work for you? > (eg. The function "qlExpCorrFlatVolFactory") . Do you have > any idea what is wrong with my example. There is no QuantLibXL function by that name. Here is a list of all QuantLibXL functions: http://quantlib.org/quantlibaddin/auto/all_functions.html Regards, Eric ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
Hello,
I would like to know if there is any method to approximate the integral of a function over a semi-infinite interval already present in Quantlib. Cheers Anthony ************************************************************************* This message and any attachments (the "message") are confidential and intended solely for the addressee(s). Any unauthorised use or dissemination is prohibited. E-mails are susceptible to alteration. Neither SOCIETE GENERALE nor any of its subsidiaries or affiliates shall be liable for the message if altered, changed or falsified. ************ Ce message et toutes les pieces jointes (ci-apres le "message") sont confidentiels et etablis a l'intention exclusive de ses destinataires. Toute utilisation ou diffusion non autorisee est interdite. Tout message electronique est susceptible d'alteration. La SOCIETE GENERALE et ses filiales declinent toute responsabilite au titre de ce message s'il a ete altere, deforme ou falsifie. ************************************************************************* ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
On Mon, 2007-10-22 at 10:57 +0100, [hidden email] wrote: > I would like to know if there is any method to approximate the integral of > a function over a semi-infinite interval already present in Quantlib. You might try with a Gaussian quadrature (see into ql/math/integrals) Luigi -- It is always the best policy to tell the truth, unless, of course, you are an exceptionally good liar. -- Jerome K. Jerome ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
In reply to this post by Eric Ehlers-2
Hi Eric,
I've been playing around with QuantLibXL (from SVN) and I noticed that the qlCMSZeroLeg() function seems to have an IsInArrears parameter. >From the QuantLib c++ code, a leg with InArrears and Zero features cannot be currently priced. Is this for future use perhaps? Also, any chance of adding a qlIborZeroLeg() function? Thanks, Toy out... Get free emoticon packs and customisation from Windows Live. Pimp My Live! ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLibXL - qlCMSZeroLeg()
|
|
Hi, I'm
Cristina.
You are
right. Currently QuantLib evalutes only Cms Zero
Leg with no In-Arrears feature and the IsInArrearsPamater in
qlCMSZeroLeg() in QuantLibXL is
useless.
With
regards to your further questions,
we are
planning to introduce an "Ibor Zero Leg" and
to manage the In-Arrears feature
for the zero legs. Obviously we will have to check the correct pricing (convexity problems) with
our models.
Regards,
Cristina
------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
Hi Cristina, Thanks for the quick response. One further question, is the InArrears Capped Ibor leg modelled correctly within QuantLib? Basically I am wondering whether the option calculation (Cap/Floor) takes into consideration that the rate is set InArrears... Actually the same question applies for the CMS rate. Regards, Toy out...
Are you the Quizmaster? Play BrainBattle with a friend now! ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |