[ quantlib-Patches-2873099 ] LMM in QuantLibXL 0.9.7

[Kim Kuen Tang]

Hi all,


Initial Comment:

This patch is created for changing the declaration of the function

void AccountingEngine::multiplePathValues(SequenceStatisticsInc & stats,
Size numberOfPaths);

to

void AccountingEngine::multiplePathValues(
boost::shared_ptr<SequenceStatisticsInc> & stats,
Size numberOfPaths);

This is needed to port this function to QuantLibXL.

----------------------------------------------------------------------


> >Comment By: Luigi Ballabio (lballabio)
>  
Date: 2010-03-17 12:13

Message:
I'd prefer to have a solution on the QuantLib XL side, rather than
modifying the library interface to match it.
What's the problem with the current signature?

I do not quite remember yet, need time to test and figure it out.
If i remember correctly i compiled QuantLib 0.9.7 together with QuantLibXL. After that i ran the excel sheet available in QuantLibXL to test the LMM. The calibration went fine but pricing did not work cause accounting engine expected an argument from type SequenceStatisticsInc. But gensrc stored SequenceStatisticsInc in boost::shared_ptr. That's why the pricing in excel did not work.




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[Eric Ehlers-2]

Hello,

> Hi all,
>
>
> Initial Comment:
>
> This patch is created for changing the declaration of the function
>
> void AccountingEngine::multiplePathValues(SequenceStatisticsInc & stats,
> Size numberOfPaths);
>
> to
>
> void AccountingEngine::multiplePathValues(
> boost::shared_ptr<SequenceStatisticsInc> & stats,
> Size numberOfPaths);
>
> This is needed to port this function to QuantLibXL.
>
> ----------------------------------------------------------------------
>
>
>> >Comment By: Luigi Ballabio (lballabio)
>>
> Date: 2010-03-17 12:13
>
> Message:
> I'd prefer to have a solution on the QuantLib XL side, rather than
> modifying the library interface to match it.
> What's the problem with the current signature?
>
> I do not quite remember yet, need time to test and figure it out.
> If i remember correctly i compiled QuantLib 0.9.7 together with  
> QuantLibXL. After that i ran the excel sheet available in QuantLibXL  
>  to test the LMM. The calibration went fine but pricing did not work  
>  cause accounting engine expected an argument from type  
> SequenceStatisticsInc. But gensrc stored SequenceStatisticsInc in  
> boost::shared_ptr. That's why the pricing in excel did not work.

QuantLibXL can be configured to recognize SequenceStatisticsInc&.  See  
QuantLibAddin\gensrc\metadata\types\supertypes.xml, "underlyingClass".

Regards,
Eric


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[Kim Kuen Tang]

Hi Eric,

this solution is much better than mine. :-)

Cheers,
Kim

Eric Ehlers schrieb:
> Hello,
>
> QuantLibXL can be configured to recognize SequenceStatisticsInc&.  See
> QuantLibAddin\gensrc\metadata\types\supertypes.xml, "underlyingClass".
>
> Regards,
> Eric
>
>


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[Luigi Ballabio]

On Fri, 2010-03-26 at 10:19 +0100, Kim Kuen Tang wrote:
> Hi Eric,
>
> this solution is much better than mine. :-)

Ok, I'm closing the patch then.

Thanks,
        Luigi


--

Within C++, there is a much smaller and cleaner language struggling to
get out.
-- Bjarne Stroustrup



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[Eric Ehlers-2]

Hi Kim,

> Hi Eric,
>
> this solution is much better than mine. :-)

If only I had the time to document it properly, then you would have  
found it yourself :-)

Regards,
Eric


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[Ferdinando M. Ametrano-3]

Eirc

I was not able to uncomment qlAccountingEngineMultiplePathValues in
QuantLibAddin\gensrc\metadata\functions\accountingengines.xml and
compile it.

What am I getting wrong ?

ciao -- Nando

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[Eric Ehlers-2]

Hi Nando,

> I was not able to uncomment qlAccountingEngineMultiplePathValues in
> QuantLibAddin\gensrc\metadata\functions\accountingengines.xml and
> compile it.
>
> What am I getting wrong ?

Nothing, just needed an override to process SequenceStatisticsInc as  
nonconst "&T" instead of "const &T".  It's done now, pls svn update  
and let me know if there's a problem.

Ciao,
Eric


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