Posted by
Donald Stewart-2 on
URL: http://quantlib.414.s1.nabble.com/Making-SpreadCdsHelper-available-in-QuantLibXL-tp7131.html
Hi
there,
I'm wanting to use
the QuantLib functions in Excel to bootstrap Survival or Default Probabilities
from market observed CDS spreads.
As best I can tell I
need to call in Excel something like qlSreadCdsHelper() but such
a function doesn't appear to have been migrated through to the
QuantLibXL layer.
I've compiled the
QuantLibXL(0.9.7)/QuantLib(1.0.0) stack under Visual C++ 2008 (Express Edition).
I can see in the QuantLib layer QuantLib::SpreadCdsHelper and related
classes and have seen these used in the QuantLib C++ example CDS.cpp.
I've tried to
migrate QuantLib::SpreadCdsHelper through to the QuantLibAddin layer
following the approached used by DepositRateHelper but I'm getting compilation
errors so am clearly doing something wrong.
Does anybody on the
mailing list have examples/documentation on how to make functionality in the
QuantLib layer available in QuantLibXl ?
I'd much appreciate
some help in resolving this.
Thanks
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