Re: Implement Bermudan swaption in QuantLibXL

Posted by Eric Ehlers-2 on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p301.html

P.S. Also in model.xml you need to change the return type of the
function to void.

On 2012-07-25 12:52, Eric Ehlers wrote:

> 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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