qlSwapLegAnalysis on SwapRateHelper2
Posted by
Alexander Zvyagin on
Sep 22, 2016; 9:49am
URL: http://quantlib.414.s1.nabble.com/qlSwapLegAnalysis-on-SwapRateHelper2-tp17744.html
Hello,
in Excel from SwapRateHelper object ID I would like get
QuantLibAddin::Swap object id. How can I achieve that?
Here is the full question.
I have a set of Excel files which builds a yield curve. One of the
(many) instruments used in the curve construction is a swap
(SwapRateHelper), which should be evaluated to PV=0. Unfortunately it
does not, and I need to investigate why. I planned to use
qlSwapLegAnalysis() function as a debugging tool, but it requires as
an argument object of type QuantLibAddin::Swap. The object which I
have access to is SwapRateHelper. There is a method
SwapRateHelper::swap() which returns the object which I need, but I
have no idea how can I get access to it from Excel. Any help is deeply
appreciated.
Thanks a lot in advance!
Alexander
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