QuantlibXL Variance Surface

Posted by Kasakow, Timofej on
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-Variance-Surface-tp7032.html

Hello everybody,

 

I am new to QuantlibXL and honestly have not too much idea about C++ programming. I got an assignment to build an Excel Tool, based on functions in QuantlibXL to create and evaluate a Variance Surface. I succeeded to create an object of a class BlackVarianceSurface, but I don't know, how to move on. I read all of the documentation to QLXL and found no function, which uses such an object for input. I suspect this is because the functionality of QLXL is limited and the functions using this objects are not yet implemented. If I am wrong, could you maybe give me some advice, how to evaluate the BlackVarianceSurface object. If I am right, does that mean, that I need to write a C++ function using functionality of QuantLib and add it to the source of QLXL and build it? I appreciate any help.

 

Thanks in advance

Timofej

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