qlECBAddDate()
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Hi,
I'm new to QuantLib, and trying to bootstrap an OIS curve using QuantLibXL, starting from the framework spreadsheet EUR_YCONBootstrapping.xls. I'm first trying to update the historic ECB dates in that sheet, e.g.
=qlECBAddDate(40926) expecting this to return the new date: =qlECBNextDate(40891) qlECBAddDate doesn't seem to affect the set in any way and both return an error for dates after the end of the initialised set (14-dec-2011).
User error, or is it a bug? I'm not set up to be making any code contributions, but if any developer is going into ecb.cpp to investigate, here are the 2012/13 dates from http://www.ecb.int/press/pr/date/2011/html/pr110520.en.html:
, 40926, 40954, 40982, 41010, 41038, 41073, 41101, 41129, 41164, 41192, 41227, 41255 // 2012 , 41290, 41318, 41346, 41374, 41402, 41437, 41465, 41493, 41528, 41556, 41591, 41619 // 2013
Best regards, Mike
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Hi Michael, If you use a version of the add-in since about 11th July then the ECB dates for 2012 and 2013 should be built in. It looks to me like there is a bug in the implementation of the qlECBAddDate Excel function. The fix should be as follows: --- a/QuantLibAddin/gensrc/metadata/functions/date.xml +++ b/QuantLibAddin/gensrc/metadata/functions/date.xml @@ -512,7 +512,7 @@ <Procedure name='qlECBAddDate'> <description>add an ECB date to the list of known ECB dates.</description> - <alias>QuantLib::ECB::nextDate</alias> + <alias>QuantLib::ECB::addDate</alias> <SupportedPlatforms> <!--SupportedPlatform name='Excel' calcInWizard='false'/--> <SupportedPlatform name='Excel'/> -- Bojan Nikolic || http://www.bnikolic.co.uk/ql ------------------------------------------------------------------------------ RSA(R) Conference 2012 Save $700 by Nov 18 Register now http://p.sf.net/sfu/rsa-sfdev2dev1 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Fixed in my patched trunk build available here: http://www.bnikolic.co.uk/soft/QuantLibXL-20111113.xll Best, Bojan -- Bojan Nikolic || http://www.bnikolic.co.uk/ql ------------------------------------------------------------------------------ RSA(R) Conference 2012 Save $700 by Nov 18 Register now http://p.sf.net/sfu/rsa-sfdev2dev1 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by Bojan Nikolic
On Sun, 2011-11-13 at 13:25 +0000, Bojan Nikolic wrote:
> It looks to me like there is a bug in the implementation of the > qlECBAddDate Excel function. You're right. I've applied your fix on the trunk. Thanks, Luigi -- It is better to know some of the questions than all of the answers. -- James Thurber ------------------------------------------------------------------------------ RSA(R) Conference 2012 Save $700 by Nov 18 Register now http://p.sf.net/sfu/rsa-sfdev2dev1 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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