Re: Working with QuantLibXL

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Working-with-QuantLibXL-tp16387p16388.html

Writing a calibration function in C++ and exporting it to Excel is probably easier to do. If you wanted to do something more flexible, you'd export the separate pieces instead (CalibratedModel etc) so that you can set up the calibration from Excel in different ways.

Luigi

On Fri, Mar 20, 2015 at 10:57 AM, Matthias Vierkötter <[hidden email]> wrote:

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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