Posted by
Bernd Johannes Wuebben-2 on
Jan 27, 2002; 4:45pm
URL: http://quantlib.414.s1.nabble.com/RE-it-s-been-a-while-tp1852.html
Hi Nando,
Thanks for your mail and good to hear from you again. Since we
talked last on the phone over a year ago I have been following qunatlib
development with great interest but loosely as I remain unfortunately
rather busy. As for the single factor interest model that you are
advertising, that's great! However, and this is just my opinion but I
certain it will shared by other market practitioners who have left
academia, option pricing and term structure models are great stuff
especially for people who are still in academia, however, from a
practical point of view, good, bond math, swap pricing, spline and swap
curve building capabilities, asset swap and ZVOL spreads calculators
etc. etc are so much more important. Once these things are properly
implemented with all the immeasurable head-aches that come from the
plentitude of market conventions and making sure they tie out with
established models in the market place (and be it just Bloomberg for the
bond math) playing and implementing term-structure model and building
reasonably good interest rate option pricers will almost seem like a
walk in the park. What I am trying to say here is, let's get the basics
right first, then go from there ... ;-)
Writing _good_ Excel add-ins is a bit of an art and to some
extend a matter of trial and error as the Excel interface is horribly
documented and has bugs. Luckily no-one needs to suffer the endless
head-aches that come with figuring out how to build excel interfaces
anymore as all your prayers have come true with:
http://www.ifrance.com/xlw/ I have been using that interface for various personal projects
and am quite satisfied with it. Check it out. I think there are still
some very minor bugs in the version you can download, but you will
easily find and fix them once you start working with it. Lastly, if you
feel more adventurous, check consider building a COM server object
(requiring Excel 2002) which allows you to beautifully pump data into
Excel which is particularly important for real time stuff, something
that is virtually impossible with a classical C++ add-in framework.
Keep up the good work!
Apropos, Dirk, did you work under Scott Pinkus in International
Markets at GS in Toronto in 1997?
Best,
Bernd Wuebben
> -----Original Message-----
> From: Ferdinando Ametrano [mailto:
[hidden email]]
> Sent: Saturday, January 26, 2002 6:28 AM
> To:
[hidden email]
> Subject: it's been a while
>
>
> Hi Bernd
>
> how are you?
> It's been a while since our last email.
> Hope all is well with you.
>
> I was wondering how do you feel about the QuantLib development. We're
> approaching 0.3.0 that will feature single factor interest
> rate models.
>
> In the following weeks I should start working on Excel
> add-in, even if I
> have no previous experience about it.
> I've considered working on SWIG to provide automated code
> generation for
> the Excel addin, but my limited C skills will prevent me from
> doing so,
> especially because I've been told SWIG API are very fluid at
> this time. I
> remember you once wrote about a similar goal and I'm
> wondering if you have
> suggestion or (even better) are willing to cooperate.
>
> ciao -- Nando
>