Posted by
Eric Ehlers-2 on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p300.html
Hi Hyung,
Thanks for your understanding :)
Here is the fix:
1) model.xml
For the three parameters OptimizationMethod, EndCriteria, and
Constraint -
Replace this:
<supertype> underlyingClass </supertype>
With this:
<superType>underlyingClass</superType>
And delete this: default='""'
Which should give you:
<Parameter name='OptimizationMethod'>
<type>QuantLib::OptimizationMethod</type>
<superType>underlyingClass</superType>
<tensorRank>scalar</tensorRank>
<description>OptimizationMethod object ID.</description>
</Parameter>
<Parameter name='EndCriteria'>
<type>QuantLib::EndCriteria</type>
<superType>underlyingClass</superType>
<tensorRank>scalar</tensorRank>
<description>EndCriteria object ID.</description>
</Parameter>
<Parameter name='Constraint'>
<type>QuantLib::Constraint</type>
<superType>underlyingClass</superType>
<tensorRank>scalar</tensorRank>
<description>Leave it blank.</description>
</Parameter>
2) QuantLibAddin\gensrc\metadata\rules\excel.xml
In the RuleGroup called referenceConversions, add this line:
<Rule tensorRank='scalar' superType='underlyingClass'
type='QuantLib::OptimizationMethod' codeID='code49'/>
That should do the trick, it compiles for me. Please let me know how
it goes.
Kind Regards,
Eric
===================================================
Eric Ehlers
nazcatech sprl | Brussels |
http://www.nazcatech.be* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid
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