Hi All,
I am using Quantlibxl to build our own yield curves. Now I am facing one problem. I do succeed in building the curve use qlPiecewiseYieldCurve. Then I want to save that curve to my local driver for future use. I looked into the function categories of Quantlibxl and found that function ohObjectSave may meet my purpose. Unfortunately after I serialized the yield curve to my own folder successfully, I was not able to deserialize that file by ohObjectLoad/ ohObjectLoadString, my sample input is as follows, I am using Quantlibxl 1.1.0 and Office 2010
Serialization: ohObjectSave(“CNY_Treasury_Curve_2008-1-2”, “F:\data\Curve\StandaloneCurves\CNY_Treasury_Curve_2008-1-2.xml”, TRUE)
Deserialization: ohObjectLoadString(“F:\data\Curve\StandaloneCurves\CNY_Treasury_Curve_2008-1-2.xml”, TRUE)
Besides, another question, the outputted .xml file seems no enough information to reconstruct a curve. It only contains the parameters which are used to construct that object, one sample file are as follows: the file contains the object names of the rate helpers without the detail info on the rate helpers.
<?xml version="1.0" encoding="UTF-8" standalone="yes" ?>
<!DOCTYPE boost_serialization>
<boost_serialization signature="serialization::archive" version="8">
<object_list class_id="1" tracking_level="1" version="0" object_id="_0">
<count>1</count>
<item_version>1</item_version>
<item class_id="0" tracking_level="0" version="1">
<px class_id="140" tracking_level="1" version="0" object_id="_1">
<ObjectId>CNY_Treasury_Curve_2008-1-2</ObjectId>
<ClassName>qlPiecewiseYieldCurve</ClassName>
<NDays>0</NDays>
<Calendar>China</Calendar>
<RateHelpers class_id="236" tracking_level="0" version="0">
<count>21</count>
<item_version>0</item_version>
<item>060001.IB_.0251_2006-3-8_2013-2-27_7Y_helper</item>
<item>060003.IB_.028_2006-4-5_2016-3-27_10Y_helper</item>
<item>060019.IB_.0327_2006-11-23_2021-11-15_15Y_helper</item>
<item>0700002.IB_.0468_2007-9-27_2022-9-18_15Y_helper</item>
<item>0700004.IB_.0455_2007-10-12_2022-9-29_15Y_helper</item>
<item>0700006.IB_.0469_2007-11-26_2022-11-19_15Y_helper</item>
<item>0700008.IB_.0441_2007-12-24_2017-12-17_10Y_helper</item>
<item>070014.IB_.039_2007-8-31_2014-8-23_7Y_helper</item>
<item>070017.IB_.04_2007-10-29_2012-10-22_5Y_helper</item>
<item>070018.IB_.0435_2007-12-5_2014-11-26_7Y_helper</item>
<item>070002.IB_.021_2007-3-22_2008-3-15_1Y_helper</item>
<item>070016.IB_.0295_2007-9-20_2008-9-13_1Y_helper</item>
<item>070020.IB_.0366_2007-12-19_2008-12-13_1Y_helper</item>
<item>040003.IB_.0442_2004-4-30_2009-4-20_5Y_helper</item>
<item>9902.IB_.0472_1999-5-19_2009-4-29_10Y_helper</item>
<item>030001.IB_.0266_2003-2-26_2010-2-19_7Y_helper</item>
<item>030007.IB_.0266_2003-9-1_2010-8-20_7Y_helper</item>
<item>060018.IB_.0248_2006-11-3_2011-10-25_5Y_helper</item>
<item>070005.IB_.0318_2007-4-30_2012-4-23_5Y_helper</item>
<item>050005.IB_.0337_2005-6-3_2012-5-25_7Y_helper</item>
<item>020009.IB_.027_2002-7-30_2012-7-19_10Y_helper</item>
</RateHelpers>
<DayCounter>Bond Basis</DayCounter>
<Jumps class_id="237" tracking_level="0" version="0">
<count>0</count>
<item_version>0</item_version>
</Jumps>
<JumpDates>
<count>0</count>
<item_version>0</item_version>
</JumpDates>
<Accuracy>9.9999999999999998e-013</Accuracy>
<TraitsID>ZeroYield</TraitsID>
<InterpolatorID>Linear</InterpolatorID>
<Permanent>0</Permanent>
<UserProperties class_id="238" tracking_level="0" version="0">
<count>0</count>
<item_version>0</item_version>
</UserProperties>
</px>
</item>
</object_list>
</boost_serialization>
Regards,
Cheng
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