exposing FDDividendAmericanEngine to QuantLibXL
Posted by aborodya on Feb 03, 2017; 9:52am
URL: http://quantlib.414.s1.nabble.com/exposing-FDDividendAmericanEngine-to-QuantLibXL-tp18055.html
Hi,
I am trying to price instrument of American Dividend Vanilla Option and figured that even though qlDividendVanillaOption is exposed to Excel, FDDividendAmericanEngine is not. After adding
<EnumeratedClass>
<string>FDDA</string>
<value>FDDA_Engine</value>
<libraryClass>QuantLib::FDDividendAmericanEngine</libraryClass>
</EnumeratedClass>
to enumeratedclasses.xml and defining
boost::shared_ptr<QuantLib::PricingEngine> FDDA_Engine(
const boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>& process, const long& timeSteps) {
return boost::shared_ptr<QuantLib::PricingEngine> (
new QuantLib::FDDividendAmericanEngine<>(process, timeSteps, timeSteps-1));
}
in enumeratedclasses.hpp/cpp , recompiling addin and succesfuuly creating an engine in excel I'm still getting "qlInstrumentNPV - wrong engine type" error.
What did I miss - any help would be realty appreciated