http://quantlib.414.s1.nabble.com/RE-it-s-been-a-while-tp1852p1855.html
areas they are strong in etc. A friend of mine has an intereview with
info.... Hope you dont mind me asking!
> 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;q238228>
> other resources, anyone?
>
> ciao -- Nando
>
>
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