Re: ExCouponPeriod not available in QuantLibXL function qFixedRateBond

Posted by igitur on Feb 22, 2016; 1:30pm
URL: http://quantlib.414.s1.nabble.com/ExCouponPeriod-not-available-in-QuantLibXL-function-qFixedRateBond-tp17312p17313.html

Hi,

Any new parameters have to be explicitly added to the QuantLibXL interfaces as well. I was looking into it, but hit a bit of a wall on the CPI bonds, basically because the number of parameters became too many.

If you're interested only in the FixedRateBonds, I could add them, but you'll probably have to compile QuantLibXL if you want to take advantage of them before the new release.

That said, QuantLibXL's maintainer (Eric Ehlers) has made some structural changes to how QuantLibXL works and I haven't got up to speed with them. 

On 22 February 2016 at 14:24, Ben Watson <[hidden email]> wrote:

Hi,

I asked this a couple of weeks ago. I need to price bonds that have 7D
ex-interest and are quoted in Yield. I see that qlFixedRateBondHelper does
take ExCouponPeriod. However I need to use this for the yield to price
functions.

I see that FixedRateBond has included exCouponPeriod (Sep 9, 2015 @igitur
igitur Add bond test for South African R2048 which requires Schedule from
cu.)

FixedRateBond bond(settlementDays, 100.0,
                       Schedule(startDate, maturityDate, tenor,
                                NullCalendar(), Unadjusted, Unadjusted,
                                DateGeneration::Forward, true,
firstCouponDate),
                       std::vector<Rate>(1, coupon),
                       dc, Unadjusted, 100.0,
                       issueDate, calendar, exCouponPeriod, calendar

However this is not in the QuantLibXL version. Is this something that missed
V1.7.0? If so when would the next release likely to happen. I have to push
on with a project and right now I can't get QuantLib to price the bonds
correctly?



Ben Watson, CEO
Define Analytics
Tel: [phone]


------------------------------------------------------------------------------
Site24x7 APM Insight: Get Deep Visibility into Application Performance
APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month
Monitor end-to-end web transactions and take corrective actions now
Troubleshoot faster and improve end-user experience. Signup Now!
http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Site24x7 APM Insight: Get Deep Visibility into Application Performance
APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month
Monitor end-to-end web transactions and take corrective actions now
Troubleshoot faster and improve end-user experience. Signup Now!
http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users