Re: Implement Bermudan swaption in QuantLibXL

Posted by Hyung-Seok Hahm on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p304.html

Hi Eric,

Works like a charm. ;-) I'll probably need to overcome a couple of more things to get Bermudan swaptions working in QuantLibXL, but this is a breakthrough. 

Appreciate your help!!

- Hyung

On Thu, Jul 26, 2012 at 9:17 PM, Eric Ehlers <[hidden email]> wrote:

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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