Re: Making SpreadCdsHelper available in QuantLibXL

Posted by Bhavna J on
URL: http://quantlib.414.s1.nabble.com/Making-SpreadCdsHelper-available-in-QuantLibXL-tp7131p7134.html

Another thing I noticed is that the qlInstrumentNPV returns 0 even for option price using the sample xls in quantlib. So I guess, something got corrupted in the build. Is there a way to debug this? Or will I have to redo everything again?

Thanks,
Bhavna

On Fri, Nov 18, 2011 at 8:37 AM, Bhavna Jhunjhunwala <[hidden email]> wrote:

Here you go...

Thanks,
Bhavna

On Thu, Nov 17, 2011 at 11:50 PM, <[hidden email]> wrote:

Hola!,
I cant see these functions so I assume you have added them to credit.xml Can you send the xml code pls?
qlInstrumentNPV works ok here, but I only have your dates. Can you also send a spreadsheet or the data with
the minimum to test, pls?
Best

----- "Bhavna Jhunjhunwala" <[hidden email]> a écrit :

> Yes, the evaluation date is 12/10/2007 with
> start date: 5/15/2007
> end date: 5/15/2009
> I do get reasonable values in qlCouponLegNPV and qlDefaultLegNPV.
>

> Thanks,
> Bhavna
>
>

> On Thu, Nov 17, 2011 at 3:10 PM, Luigi Ballabio <[hidden email]> wrote:
>

> On Thu, 2011-11-17 at 18:19 +0530, Bhavna Jhunjhunwala wrote:

> > For the CDS mark to market value, can we use the function
> > qlInstrumentNPV? For some reason my function returns a value of 0.
> > Also, the functions qlImpliedHazardRate() and qlCdsFairSpread() return
> > 0 value.
> > Can someone advice in what cases this occurs? I do not see any errors
> > on object creation.
> >
>

An expired instrument? Are you setting the evaluation date correctly?
>
> Luigi
>
>
> --
>
> The shortest way to do many things is to do only one thing at once.
> -- Samuel Smiles
>
>
>

>