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Re: Help on running QuantLibXL

Posted by Eric Ehlers-3 on Apr 18, 2015; 3:40pm
URL: http://quantlib.414.s1.nabble.com/Help-on-running-QuantLibXL-tp16440p16503.html

For the upcoming release of QuantLibXL 1.5, this problem has been
fixed, the workbook InterestRateDerivatives.xlsx has been modified to
use the next working day if the current day is not a business day -
thanks to Paolo Mazzocchi.

On Sun, 5 Apr 2015 14:38:24 +0200
Peter Caspers <[hidden email]> wrote:

> Does it happen when pricing a swap or some similar instrument ? Then
> maybe it is just its reference date being a holiday (April 5th, 2015)
> ? The technical start date would then be next Wednesday with
> corresponding fixing date last Thursday. Either the reference date of
> the swap should be moved to the next business day or even the global
> evaluation date ?
> Peter
>
> On 5 April 2015 at 12:56, Eric Ehlers <[hidden email]> wrote:
> > On Sun, 5 Apr 2015 06:35:02 +0000 (UTC)
> > dragomir nedeltchev <[hidden email]> wrote:
> >
> >> Hi All,
> >> I installed QuantLibXL and activated the addin, as per the
> >> instructions on the site. I opened InterestRateDerivatives.xls and
> >> pressed Ctrl-Alt-F9. I received #NUM! in the output cell. The above
> >> goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32-
> >> and 64-bit version. What shall I do to run QuantLibXL? Regards,
> >> Dragomir
> >
> > If you call ohRangeRetrieveError() to get the error message
> > associated with the #NUM, you get
> >
> >  Missing Euribor6M Actual/360 fixing for April 2nd, 2015
> >
> > This did not happen when the workbook was first written, the
> > behavior relating to fixings must have changed somehow.  I will try
> > to investigate.
> >
> > Regards,
> > Eric
> >
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