Posted by
Ferdinando M. Ametrano-2 on
Jan 27, 2002; 5:25pm
URL: http://quantlib.414.s1.nabble.com/RE-it-s-been-a-while-tp1852p1853.html
Hi Bernd,
thanks for forwarding my message to the quantlib-users list ;-)
>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.
I agree with you. As a matter of fact spline, swap curve building, and swap
pricing are already implemented in QuantLib.
Bond math is not available, mainly because we're still missing a bond class.
The reason is the core of the QuantLib developers are RiskMap employees,
RiskMap has a closed-source implementation of bond based on
QuantLib::CashFlow, nobody else volunteered to implement a Bond class.
As of February fist I will not work for RiskMap anymore, so depending on my
free time I might work on a bond class proposal.
Besides, bond math along with swap, swaption, cap, floor, asset swap were
the core of the work me and Luigi did in Caboto (the investment bank of
IntesaBCI): in a way I know we've been able to do that and I preferred to
work on MonteCarlo and Finite Difference instead, where I had plenty to learn.
This strategy also minimized any possible conflict of interest between the
work we did in Caboto and the work we're doing for QuantLib.
Now I think the time is right to implement this part: because of this I
felt very lucky when Sad Rejeb asked to do its Phd required internship
working on QuantLib, and I suggested him single factor interest rate
models, since bermudan (callable) swap are a key product for all Fixed
Income desk today
> 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)
I've learned how hard this part is during my work in Caboto. Unfortunately
I haven't had a Bloomberg terminal in the last 2 years. My next job should
get me back to a Bloomberg terminal once again
> 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/GREAT suggestion. I've started playing with it and I'm very satisfied.
I've been able to have a proof of concept for QuantLib-Excel in less then 2
hours.
>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.
I was asking around for suggestions and one of the key point was about the
need of having both QuantLib-Excel and QuantLib-COM.
Since COM would require Excel 2002, there might be a need for
QuantLib-Excel. Besides I have in mind some users who would be able to use
QuantLib-Excel but not QuantLib-COM especially if the latter would be
heavily object-oriented
In RiskMap we already use the whole QuantLib-Python as a COM via the
win32all module. My colleagues reached the conclusion that C++ COM should
be the way to go instead.
Unfortunately I have no expertise on COM, so I'm gathering informations and
I hope someone will volunteer (isn't this a job for you Adolfo? ;-)
To summarize what I've found so far on Excel/add-in/COM/C++:
-
http://www.ifrance.com/xlw/- Microsoft Excel 97 Developer's Kit (available online, in MSDEV and as book)
- HOWTO: Build an Add-in (XLL) for Excel Using Visual C++ (Q178474)
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q178474- Comaddin.exe Office 2000 COM Add-In Written in Visual C++ (Q230689)
http://support.microsoft.com/default.aspx?scid=kb;EN-US;q230689- HOWTO: Build an Office 2000 COM Add-In in Visual Basic (Q238228)
http://support.microsoft.com/default.aspx?scid=kb;EN-US;q238228other resources, anyone?
ciao -- Nando