Easy, you already have everything but the member itself.
Declare the metacode in gensrc\metadata\functions\credit.xml :
------------------------------------------
<Member name='qlDefaultProbability' type='QuantLib::DefaultProbabilityTermStructure' superType='libraryTermStructure'>
<description>Returns the default probability from the curve reference date to a future date.</description>
<libraryFunction>defaultProbability</libraryFunction>
<SupportedPlatforms>
<SupportedPlatform name='Excel'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='ProbDate' default='QuantLib::Date()'>
<type>QuantLib::Date</type>
<tensorRank>scalar</tensorRank>
<description>future date of the desired probability.</description>
</Parameter>
<Parameter name='Extrapolate' default='true'>
<type>bool</type>
<tensorRank>scalar</tensorRank>
<description>FALSE to disable extrapolation beyond the largest date.</description>
</Parameter>
</Parameters>
</ParameterList>
<ReturnValue>
<type>QuantLib::Real</type>
<tensorRank>scalar</tensorRank>
</ReturnValue>
</Member>
------------------------------------------
-Invoke Python magic.
-Recompile.
You'll need to create the objects (helpers and Default TS curve) the whole chain needs.
Best regards
Pepe
----- "Bhavna Jhunjhunwala" <
[hidden email]> a écrit :
> Hi,
>
> Also, would you know what would I need to do in order to expose the CDS.cpp example to quantlibXL? I was trying to get the survival probability given cds spread, but do not find any function for that in excel.
>
> Thanks,
> Bhavna
>
>
> On Mon, Sep 5, 2011 at 1:13 PM,
<[hidden email]> wrote:
>
Hi,
>
Nando fixed this recently. See rev. 17927
>
>
http://quantlib.svn.sourceforge.net/viewvc/quantlib/trunk/QuantLibXL/qlxl/?view=log
>
>
Best
>
pp
>
>
----- "Bhavna J" <[hidden email]> a écrit :
>
>
> Hi,
>
>
>
> Did you find a workaround for below issue? I am facing same problem
>
> and I
>
> did build quantlibaddin from source code.
>
> I do see the files in the locations as specified here:
>
> http://quantlib.org/quantlibaddin/extend_tutorial.html
>
>
>
> But, still when I use the add-in I do not see the qlSpreadCdsHelper
>
> function
>
> in excel.
>
> I am using QL1.1 and VS2008.
>
>
>
> Any help will be appreciated!!
>
>
>
> Thanks,
>
> Bhavna
>
>
>
>
>
> Donald Stewart-2 wrote:
>
> >
>
> > 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
>
> >
>
> > Regards Don Stewart
>
> > [hidden email]
>
> >
>
> >
>
> >
>
> >
>
> >
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> --
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> View this message in context:
>
> http://old.nabble.com/Making-SpreadCdsHelper-available-in-QuantLibXL-tp28386117p32386085.html
>
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