Re: Implement Bermudan swaption in QuantLibXL

Posted by Eric Ehlers-2 on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p303.html

Hi Hyung,

On 2012-07-26 03:07, Hyung-Seok Hahm wrote:

> Eric,
>
> I'm still getting  "error C2664: Can't convert
> QuantLib::CalibrateModel::calibrate : 'const
> QuantLib::OptimizationMethod' to 'QuantLib::OptimizationMethod &'".
>
> It kinda makes sense in that the superType of
> QuantLib::OptimizationMethod is set to underlyingClass in model.xml
> and according to supertypes.xml, 
>
>     <!-- from ObjectHandler::Object to const QuantLib::xx & -->
>     <SuperType name='underlyingClass' nativeType='string'
> conversionSuffix='LibObj' memberAccess='.'/>
>
> underlyingClass is supposed to convert to the type of CONST
> QUANTLIB::XX &. If I'm right, can you suggest any other superType
> that
> converts to QUANTLIB::XX &? 

There isn't one, because the cases where we need a non-const reference
are so rare that we didn't get around to defining the relevant
supertype.

Instead we use supertype underlyingClass, then implement a little
override as I described in my previous message:

> 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'/>

This works already for QuantLib::SequenceStatistics and you could refer
to that example.

I implemented the fix for your code and it seems to work.  Attached are
the files that I changed as explained in my previous message.  To try
this out, please:

- Do a clean install of 1.1 (full build) as explained here:  
http://quantlib.org/quantlibaddin/build_qlxl.html
- Detach the attached file to C:/build_ql_1_1_0/patch.zip and
uncompress it there.
- Build C:/build_ql_1_1_0/QuantLibXL/QuantLibXL_full_vc9.sln

That should do it, any problems please let me know.

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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