Dear Luigi,
thank for your response! In other words, if I understand you correctly, it is not possible to use all the functionality of the C++ library in the Addin by default, but it is possible to export all functions or classes to excel. Am I right?
Do you know if there is a documentation or something similar where it is explained how to export a C++ function to excel?
Regards,
Matthias
Von: Luigi Ballabio [mailto:[hidden email]]
Gesendet: Freitag, 20. März 2015 11:11
An: Matthias Vierkötter
Cc: QuantLib users
Betreff: Re: [Quantlib-users] Working with QuantLibXL
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 <[hidden email]> - 2015-03-17 11:07:09
Attachments: Message as HTML
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
------------------------------------------------------------------------------
Dive into the World of Parallel Programming The Go Parallel Website, sponsored
by Intel and developed in partnership with Slashdot Media, is your hub for all
things parallel software development, from weekly thought leadership blogs to
news, videos, case studies, tutorials and more. Take a look and join the
conversation now. http://goparallel.sourceforge.net/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
--
| Free forum by Nabble | Edit this page |