Posted by
Vu Huynh on
Mar 15, 2002; 11:18am
URL: http://quantlib.414.s1.nabble.com/quantlib-Excel-tp1909p1914.html
Hello Nando,
Please you give me developer access to CVS. My CVS account is vmhuynh .
I have a suggestion: we can make let say FinMath class with static pricing
method.
FinMath can be easily wrapped in XLW and can be used by Option Pricing
Engine too.
Rough sketch:
public class FinMath
{
public static double blackscholes_option_price(double S, double X,
double sigma, double time, double r) {...}
public static double binomial_option_price(double S, double X, double
sigma, double time, double r, int steps) {...}
....
}
public class BSOptionPricingEngine
{
...
public double value() {
double S = getUnderlyingPrice(), X=getStrike(), ...
return FinMath.blackscholes_option_price( S, X, ...);
}
...
}
porting to Excel C-API:
...
LPXLOPER EXCEL_EXPORT xl_blackscholes_option_price(XlfOper xlS, ....)
{
EXCEL_BEGIN;
// Converts xlS to a double.
double S=xlS.AsDouble(); .....
...
double ret = FinMath.blackscholes_option_prices(S, ....);
// Returns the result as a XlfOper.
return XlfOper(ret);
EXCEL_END;
}
...
I haven't got new QuantLib CVS yet, but I guess that your Functions class
has to proceduralize the object-oriented OptionPricingEngine.
Ciao,
Vu~
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