Posted by
Eric Ehlers-2 on
URL: http://quantlib.414.s1.nabble.com/Code-to-expose-default-probability-functionality-in-QuantLibXL-tp13343p13344.html
Hi Don,
Quoting Don Stewart <
[hidden email]>:
> Hi there,
> Using the tutorial
>
http://quantlib.org/quantlibaddin/extend_tutorial.html and some trial
> and error I've been able to expose QuantLib's default probability
> functionality to QuantLibXL. The attached zip file contains the source
> code changes made to QuantLibAddin-1.0.0b3 (which as far as I'm aware is
> the latest published version of QuantLibAddin).
>
> I've compiled this code using Microsoft Visual C++ 2008 to both Debug
> (runtime static) and Release (runtime static) .xll files. I've used
> these in Excel 2003 to back out probability of default from CDS spreads
> which validate against data I have from JP Morgan and against a separate
> model built in Matlab by a colleague.
>
> I'd like to publish this code to the QuantLib source code base and would
> appreciate it if someone could enlighten me how to do this.
I took a stab at applying this patch to the trunk but it turns out
that someone else has already implemented a change which partially
overlaps yours. Sincere apologies for not responding to your message
sooner as this would have saved some duplication of effort.
I hate to ask but would you mind recreating your patch against the
trunk? I would apply it as soon as possible.
> I'd also appreciate any comments on whether my code exposes this
> functionality in an optimal manner. For instance, is it necessary to
> manually add source code to
> QuantLibAddin\qlo\enumerations\constructors\enumeratedpairs.xpp or
> manually create
> QuantLibAddin\qlo\enumerations\factories\defaulttermstructuresfactory.hp
> p rather than auto generate them via python from qlgensrc project.
At a very first glance it all looks good to me. The existing code in
the directories you mention above is handwritten so you're OK to
follow that.
Regards,
Eric
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