Working with QuantLibXL

Posted by Matthias Vierkötter on
URL: http://quantlib.414.s1.nabble.com/Working-with-QuantLibXL-tp16387.html

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

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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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