Re: Making SpreadCdsHelper available in QuantLibXL
Posted by
japari on
URL: http://quantlib.414.s1.nabble.com/Making-SpreadCdsHelper-available-in-QuantLibXL-tp7131p7136.html
Cheers,
I'lll have a look
Regards
----- "Bhavna Jhunjhunwala" <
[hidden email]> a écrit :
> I also installed quantlibXL 1.0.1 from website but the qlInstrumentNPV still returns 0 NPV for option price in Option.xls file. Any clues what could go wrong?
>
> Thanks,
> Bhavna
>
>
> On Fri, Nov 18, 2011 at 9:18 AM, Bhavna Jhunjhunwala
<[hidden email]> wrote:
>
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
> 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
> >
> >
> >
> >
>
>
>
------------------------------------------------------------------------------
All the data continuously generated in your IT infrastructure
contains a definitive record of customers, application performance,
security threats, fraudulent activity, and more. Splunk takes this
data and makes sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-novd2d_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users