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Working with QuantLibXL

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Matthias Vierkötter

Working with QuantLibXL

Are there no ideas? As far as I understand it – many functions and classes of the C++ library are not available in the Excel Addin. So it would be better to implement the calibration of the Hull White model directly in C++ (for example see http://letianwang.net/Codes/HW_Calibration.htm). Is that right?

Many thanks!

[Quantlib-users] Working with QuantLibXL

From: Matthias Vierkötter <mvierkoetter@go...> - 2015-03-17 11:07:09

Attachments: Message as HTML

Dear all,

I am new to QuantLib and I am working with the Excel Addin, so sorry for my

basic questions. At the moment I am trying to calibrate the Hull White

model, but I don't understand how to use the Hull-White function in the

excel add-in. I can obviously create the object, but I don't see any

functions that take a Hull White Object ID as an input or a function which

calibrates the model parameters.

Therefore, I am wondering which part of the QuantLib libary is available in

the Excel Addin. For example, I don't find the CalibratedModel class and

the functions contained therein (see

http://implementingquantlib.blogspot.de/2013_08_01_archive.html) or

something similar.

Hope someone can help...

Kind Regards,

Matthias

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Luigi Ballabio

Re: Working with QuantLibXL

Writing a calibration function in C++ and exporting it to Excel is probably easier to do. If you wanted to do something more flexible, you'd export the separate pieces instead (CalibratedModel etc) so that you can set up the calibration from Excel in different ways.

Luigi

On Fri, Mar 20, 2015 at 10:57 AM, Matthias Vierkötter <[hidden email]> wrote:

Are there no ideas? As far as I understand it – many functions and classes of the C++ library are not available in the Excel Addin. So it would be better to implement the calibration of the Hull White model directly in C++ (for example see http://letianwang.net/Codes/HW_Calibration.htm). Is that right?

Many thanks!

[Quantlib-users] Working with QuantLibXL
From: Matthias Vierkötter <mvierkoetter@go...> - 2015-03-17 11:07:09
Attachments: Message as HTML

Dear all,

I am new to QuantLib and I am working with the Excel Addin, so sorry for my
basic questions. At the moment I am trying to calibrate the Hull White
model, but I don't understand how to use the Hull-White function in the
excel add-in. I can obviously create the object, but I don't see any
functions that take a Hull White Object ID as an input or a function which
calibrates the model parameters.

Therefore, I am wondering which part of the QuantLib libary is available in
the Excel Addin. For example, I don't find the CalibratedModel class and
the functions contained therein (see
http://implementingquantlib.blogspot.de/2013_08_01_archive.html) or
something similar.

Hope someone can help...

Kind Regards,

Matthias

------------------------------------------------------------------------------
Dive into the World of Parallel Programming The Go Parallel Website, sponsored
by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

<https://leanpub.com/implementingquantlib/>

<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

Matthias Vierkötter

Re: Working with QuantLibXL

Dear Luigi,

thank for your response! In other words, if I understand you correctly, it is not possible to use all the functionality of the C++ library in the Addin by default, but it is possible to export all functions or classes to excel. Am I right?

Do you know if there is a documentation or something similar where it is explained how to export a C++ function to excel?

Regards,

Matthias

Von: Luigi Ballabio [mailto:[hidden email]]
Gesendet: Freitag, 20. März 2015 11:11
An: Matthias Vierkötter
Cc: QuantLib users
Betreff: Re: [Quantlib-users] Working with QuantLibXL

Luigi

On Fri, Mar 20, 2015 at 10:57 AM, Matthias Vierkötter <[hidden email]> wrote:

Many thanks!

[Quantlib-users] Working with QuantLibXL

From: Matthias Vierkötter <[hidden email]> - 2015-03-17 11:07:09

Attachments: Message as HTML

Dear all,

I am new to QuantLib and I am working with the Excel Addin, so sorry for my

basic questions. At the moment I am trying to calibrate the Hull White

model, but I don't understand how to use the Hull-White function in the

excel add-in. I can obviously create the object, but I don't see any

functions that take a Hull White Object ID as an input or a function which

calibrates the model parameters.

Therefore, I am wondering which part of the QuantLib libary is available in

the Excel Addin. For example, I don't find the CalibratedModel class and

the functions contained therein (see

http://implementingquantlib.blogspot.de/2013_08_01_archive.html) or

something similar.

Hope someone can help...

Kind Regards,

Matthias

<https://leanpub.com/implementingquantlib/>

<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

Peter Caspers-4

Re: Working with QuantLibXL

Hi Matthias,

here is some material

http://quantlib.org/quantlibaddin/tutorials.html

Otherwise you can look for some class or function that is already
exposed and similar to your use case and mimic what it's done for it.

viel Glück
Peter

On 21 March 2015 at 11:31, Matthias Vierkötter
<[hidden email]> wrote:

> Dear Luigi,
>
>
>
> thank for your response! In other words, if I understand you correctly, it
> is not possible to use all the functionality of the C++ library in the Addin
> by default, but it is possible to export all functions or classes to excel.
> Am I right?
>
>
>
> Do you know if there is a documentation or something similar where it is
> explained how to export a C++ function to excel?
>
>
>
> Regards,
>
>
>
> Matthias
>
>
>
> Von: Luigi Ballabio [mailto:[hidden email]]
> Gesendet: Freitag, 20. März 2015 11:11
> An: Matthias Vierkötter
> Cc: QuantLib users
> Betreff: Re: [Quantlib-users] Working with QuantLibXL
>
>
>
> Writing a calibration function in C++ and exporting it to Excel is probably
> easier to do. If you wanted to do something more flexible, you'd export the
> separate pieces instead (CalibratedModel etc) so that you can set up the
> calibration from Excel in different ways.
>
>
>
> Luigi
>
>
>
> On Fri, Mar 20, 2015 at 10:57 AM, Matthias Vierkötter
> <[hidden email]> wrote:
>
> Are there no ideas? As far as I understand it – many functions and classes
> of the C++ library are not available in the Excel Addin. So it would be
> better to implement the calibration of the Hull White model directly in C++
> (for example see http://letianwang.net/Codes/HW_Calibration.htm). Is that
> right?
>
>
>
> Many thanks!
>
>
>
> [Quantlib-users] Working with QuantLibXL
>
> From: Matthias Vierkötter <mvierkoetter@go...> - 2015-03-17 11:07:09
>
> Attachments: Message as HTML
>
>
>
> Dear all,
>
>
>
> I am new to QuantLib and I am working with the Excel Addin, so sorry for my
>
> basic questions. At the moment I am trying to calibrate the Hull White
>
> model, but I don't understand how to use the Hull-White function in the
>
> excel add-in. I can obviously create the object, but I don't see any
>
> functions that take a Hull White Object ID as an input or a function which
>
> calibrates the model parameters.
>
>
>
> Therefore, I am wondering which part of the QuantLib libary is available in
>
> the Excel Addin. For example, I don't find the CalibratedModel class and
>
> the functions contained therein (see
>
> http://implementingquantlib.blogspot.de/2013_08_01_archive.html) or
>
> something similar.
>
>
>
> Hope someone can help...
>
>
>
> Kind Regards,
>
>
>
> Matthias
>
>
> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
>
>
> --
>
> <https://leanpub.com/implementingquantlib/>
>
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>
>
> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>