qlinstrumentResults+Midpoint CDS Engine
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qlinstrumentResults+Midpoint CDS Engine
 
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Hello,
In quantlibXL when using qlInstrumentResults on an instrument created with qlCreditDefaultSwap and pricing engine set with qlMidPointCdsEngine I get an error message (with ohRangeRetrieveError) that "fairspread","fairupfront", etc... are not provided. However qlInstrumentNPV works. Why is this? What are the correct possible additional results?
I pulled the list of available results here: Best, Ali ------------------------------------------------------------------------------ Flow-based real-time traffic analytics software. Cisco certified tool. Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer Customize your own dashboards, set traffic alerts and generate reports. Network behavioral analysis & security monitoring. All-in-one tool. http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Ali,
you need extra functions in the Addin not coded yet. You can look into one of my branches containing some code Peter and I are working on. The metafunctions file contain the functions your missing: https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/gensrc/metadata/functions/credit.xml and add in functions: https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/qlo/credit.hpp https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/qlo/credit.cpp There are other functions but thats for other items: constant maturity cds and an isda standard cds engine. If you copy only the ones you want you dont need to worry about extra types (if I am not missing anything). Best Pepe ----- Original Message ----- From: "Ali Hassani" <[hidden email]> To: "quantlib-users" <[hidden email]> Sent: Thursday, 27 February, 2014 7:16:47 AM Subject: [Quantlib-users] qlinstrumentResults+Midpoint CDS Engine Hello, In quantlibXL when using qlInstrumentResults on an instrument created with qlCreditDefaultSwap and pricing engine set with qlMidPointCdsEngine I get an error message (with ohRangeRetrieveError) that "fairspread","fairupfront", etc... are not provided. However qlInstrumentNPV works. Why is this? What are the correct possible additional results? I pulled the list of available results here: http://quantlib.sourcearchive.com/documentation/1.1-2build1/classQuantLib_1_1CreditDefaultSwap_1_1results.html Best, Ali ------------------------------------------------------------------------------ Flow-based real-time traffic analytics software. Cisco certified tool. Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer Customize your own dashboards, set traffic alerts and generate reports. Network behavioral analysis & security monitoring. All-in-one tool. http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Flow-based real-time traffic analytics software. Cisco certified tool. Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer Customize your own dashboards, set traffic alerts and generate reports. Network behavioral analysis & security monitoring. All-in-one tool. http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlinstrumentResults+Midpoint CDS Engine
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Hi Pepe,
On 2014-02-27 09:09, [hidden email] wrote: > Hi Ali, > you need extra functions in the Addin not coded yet. You can look into > one of my branches containing some code Peter and I are working on. > The metafunctions file contain the functions your missing: > https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/gensrc/metadata/functions/credit.xml > and add in functions: > https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/qlo/credit.hpp > https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/qlo/credit.cpp > There are other functions but thats for other items: constant maturity > cds and an isda standard cds engine. If you copy only the ones you > want you dont need to worry about extra types (if I am not missing > anything). > Best > Pepe If it's OK with you I would be interested in getting this on to my git master when it is done. Kind Regards, Eric -- =================================================== Eric Ehlers nazcatech sprl | Brussels | http://www.nazcatech.be * Distributed computing for pricing analytics * Use Microsoft Excel as a client to the Grid ------------------------------------------------------------------------------ Learn Graph Databases - Download FREE O'Reilly Book "Graph Databases" is the definitive new guide to graph databases and their applications. Written by three acclaimed leaders in the field, this first edition is now available. Download your free book today! http://p.sf.net/sfu/NeoTech _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Eric,
sure, I have taken that functionality into a separate branch because the previous was mixing several unrelated developments. In principle it shouldnt be referring to any of the work in my backyard but tell me if anything comes up please. Since this is my first PR to XL please point me out any silly writting you spot. I have also added a sample worksheet. Since we are at it and for new code to come; what is the procedure if any?; PRs on QLXL to you and Nando and QL to Luigi? In this case it wont be a problem (except because I might have merged from master after you) but what happens if there are dependencies? You take care of it I guess (pls say yes :-) ) And another point; the branch I will PR to you only has VC9 project files updated; which is what I am using these days. The conversion might be done automatically I guess; sorry for the extra work.... Best regards Pepe ----- Original Message ----- > Hi Pepe, > > On 2014-02-27 09:09, [hidden email] wrote: > > Hi Ali, > > you need extra functions in the Addin not coded yet. You can look > > into > > one of my branches containing some code Peter and I are working on. > > The metafunctions file contain the functions your missing: > > https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/gensrc/metadata/functions/credit.xml > > and add in functions: > > https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/qlo/credit.hpp > > https://github.com/japari/quantlib/blob/CMCDS/QuantLibAddin/qlo/credit.cpp > > There are other functions but thats for other items: constant > > maturity > > cds and an isda standard cds engine. If you copy only the ones you > > want you dont need to worry about extra types (if I am not missing > > anything). > > Best > > Pepe > > If it's OK with you I would be interested in getting this on to my > git > master when it is done. > > Kind Regards, > Eric > -- > =================================================== > Eric Ehlers > nazcatech sprl | Brussels | http://www.nazcatech.be > * Distributed computing for pricing analytics > * Use Microsoft Excel as a client to the Grid > > ------------------------------------------------------------------------------ > Learn Graph Databases - Download FREE O'Reilly Book > "Graph Databases" is the definitive new guide to graph databases and > their > applications. Written by three acclaimed leaders in the field, > this first edition is now available. Download your free book today! > http://p.sf.net/sfu/NeoTech > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ Learn Graph Databases - Download FREE O'Reilly Book "Graph Databases" is the definitive new guide to graph databases and their applications. Written by three acclaimed leaders in the field, this first edition is now available. Download your free book today! http://p.sf.net/sfu/NeoTech _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlinstrumentResults+Midpoint CDS Engine
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Hi Jose, yes, send QLXL stuff to Eric and QL stuff to me. Eventually, we're going to converge :) Luigi
On Thu, Apr 17, 2014 at 1:53 PM, <[hidden email]> wrote: Hi Eric, <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Learn Graph Databases - Download FREE O'Reilly Book "Graph Databases" is the definitive new guide to graph databases and their applications. Written by three acclaimed leaders in the field, this first edition is now available. Download your free book today! http://p.sf.net/sfu/NeoTech _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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