Posted by
Paolo Tenconi on
May 25, 2010; 1:33pm
URL: http://quantlib.414.s1.nabble.com/StochasticProcessArray-with-quantlibXL-tp831.html
Dear members,
I'm trying to include in quantlibXL a kind of
StochasticProcessArray (as a first step to price basket options).
My idea is to create a function accepting a vector of references to cells containing each one a GeneralizedBlackScholesProcess and a correlation matrix.
I get the following error in VC++ raised into
source Processes.cpp'QuantLib::StochasticProcessArray::StochasticProcessArray(const std::vector<_Ty> &,const QuantLib::Matrix &)' : cannot convert parameter 1 from 'const std::vector<_Ty>' to 'const std::vector<_Ty> &'
Below is my code.
Could anyone give me an insight to fix the error, or if there is already a way to price basket options in qlXL?
Many thanks for any help!
Paolo
// ======================== processes.xml ================================
<Constructor name='qlStochasticProcessArray'>
<libraryFunction>
StochasticProcessArray</libraryFunction>
<SupportedPlatforms>
<SupportedPlatform name='Excel'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='Processes'>
<superType>underlyingClass</superType>
<type>QuantLib::
GeneralizedBlackScholesProcess</type>
<tensorRank>
vector</tensorRank>
<description>Set of Stochastic Processes</description>
</Parameter>
<Parameter name='CorrelMatrix'>
<type>QuantLib::Matrix</type>
<tensorRank>matrix</tensorRank>
<description>Correlation matrix</description>
</Parameter>
</Parameters>
</ParameterList>
</Constructor>
// ======================== Processes.hpp ================================ class StochasticProcessArray : public ObjectHandler::LibraryObject<QuantLib::StochasticProcessArray> {
public:
StochasticProcessArray(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
const
std::vector<boost::shared_ptr<QuantLib::
GeneralizedBlackScholesProcess> >& processes,
const QuantLib::Matrix& correlation,
bool permanent);
};
// ======================== Processes.cpp ================================
StochasticProcessArray::StochasticProcessArray(
const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
const std::vector<boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> >& processes,
const QuantLib::Matrix& correlation,
bool permanent)
: ObjectHandler::LibraryObject<QuantLib::StochasticProcessArray>(properties, permanent) {
//Error here
libraryObject_ = boost::shared_ptr<QuantLib::StochasticProcessArray> (
new QuantLib::StochasticProcessArray(
processes,
correlation
));
}
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