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Re: Hazard Rates Interpolator QLXL

Posted by japari on Aug 19, 2015; 10:54am
URL: http://quantlib.414.s1.nabble.com/Hazard-Rates-Interpolator-QLXL-tp16657p16817.html

OK, thanks for the pointers. I will work on it.
Best
Pepe


----- Original Message -----

> Hi All,
>
> I just had a very cursory look at things.  In the enumerations the
> identifier BackwardFlat appears twice:
>
> http://quantlib.org/quantlibaddin/enums.html
>
> In those contexts the strings are case insensitive, and are
> documented.
>
> It appears that in the case of credit the string "BACKWARDFLAT" is
> hard
> coded into the source code:
>
> https://github.com/eehlers/quantlib/blob/master/QuantLibAddin/qlo/credit.cpp
>
> So in that case it would not work like the other enumerations.
>
> Off the top of my head I am pretty sure that it would be possible to
> use the enumerations for credit.  The mechanism is pretty flexible
> and
> we used it for example to map strings to C++ template classes.
>
> Kind Regards,
> Eric
>
> On Wed, 19 Aug 2015 10:10:22 +0200
> Peter Caspers <[hidden email]> wrote:
>
> > yes, that's where I used to look them up :-) I guess it would pay
> > out
> > for many users to have them documented properly. At best they would
> > be
> > available in the wizard's help message in their exact form. It's a
> > pity to have all this great functionality, but no transparency on
> > how
> > to access it, at least for black box users. Which reminds me of my
> > Numerix / Excel days with quite similar problems ... :-/
> >
> >
> > On 19 August 2015 at 09:54,  <[hidden email]> wrote:
> > > Actually I did not answer your question. Theres a list...in the
> > > factories source code... :-) But this would be a list per class
> > > template and sometimes (like in this case) there are several
> > > template parameters so it wouldnt be as simple as an index. In
> > > this
> > > case you dont want an interpolator object but a term structure
> > > that
> > > is indexed by an interpolation type and a few other types (1 in
> > > this case, the HazardRate/Probability/...)
> > >
> > > Best
> > > Pepe
> > >
> > > ----- Original Message -----
> > >> Pepe, I seem to remember that those string tags in QLXL are case
> > >> insensitive in general (stop me if I am talking nonsense), so
> > >> maybe
> > >> this should apply to the credit part as well ? Also, is there a
> > >> complete list of allowed tags (except in the enumerated
> > >> something
> > >> files themselves ?) - I guess it would be nice to have them
> > >> available in one place in some public doc ?
> > >> Peter
> > >>
> > >> On 18 August 2015 at 21:57,  <[hidden email]> wrote:
> > >> > Au passage; there are a few worksheets in
> > >> >
> > >> > QuantLibXL/StandaloneExamples/Credit
> > >> > QuantLibXL/StandaloneExamples/CreditPortfolioRisk
> > >> >
> > >> > that show how to call the credit functionality.
> > >> >
> > >> > Best
> > >> > Pepe
> > >> >
> > >> >
> > >> > ----- Original Message -----
> > >> >>
> > >> >>
> > >> >>
> > >> >> Hello, sorry for a late reply,
> > >> >>
> > >> >>
> > >> >> indeed with upper case works perfect :) Thanks a lot!
> > >> >>
> > >> >>
> > >> >> Kind regards,
> > >> >> Lyuba
> > >> >>
> > >> >>
> > >> >> 2015-06-23 10:28 GMT+02:00 < [hidden email] > :
> > >> >>
> > >> >>
> > >> >> Hello, sorry I did not see this one before.
> > >> >>
> > >> >> Yes, it expects a text string for selecting the constructor.
> > >> >> Can
> > >> >> you
> > >> >> check the case please?, it has to be upper case.
> > >> >> "BACKWARDFLAT"
> > >> >> If that gives trouble, can you send a simple wsheet so I can
> > >> >> debug it
> > >> >> pls?
> > >> >> Best
> > >> >> pp
> > >> >>
> > >> >>
> > >> >>
> > >> >>
> > >> >> ----- Original Message -----
> > >> >> >
> > >> >> >
> > >> >> >
> > >> >> > Hi everyone
> > >> >> >
> > >> >> >
> > >> >> > i had a question regarding interpolator for hazard rates
> > >> >> > bootstrapping in qlxl. I use qlPiecewiseHazardRateCurve
> > >> >> > function and
> > >> >> > tried to pass interpolator as string ("BackwardFlat") as
> > >> >> > well
> > >> >> > as id
> > >> >> > of interpolator object created using qlInterpolation
> > >> >> > function.
> > >> >> > In
> > >> >> > both cases I get a failure message "Unrecognized
> > >> >> > interpolator". In
> > >> >> > which format should I pass the interpolation method?
> > >> >> >
> > >> >> >
> > >> >> > Many thanks
> > >> >> > Lyuba
> > >> >> > ------------------------------------------------------------------------------
> > >> >> >
> > >> >> > _______________________________________________
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> > >> >> > [hidden email]
> > >> >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> > >> >> >
> > >> >>
> > >> >>
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> > >> >
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