Re: QuantlibXL - qlSchedule Issue
Posted by
Simone-39 on
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-qlSchedule-Issue-tp8620p8622.html
Hi Luigi,
I understand a daily schedule might seem a quite odd stuff but it's actually the only way I could find to build a qlStatistics object using just one excel cell: since I need to calculate rolling statistics on a one month window subset of time series data, the formula I'm using to do it is something like
qlStatistics(qlTimeSeriesValue(qlScheduleDates(qlSchedule()))
I think removing duplicates as you suggested would work.
Simone
2011/12/9 Luigi Ballabio
<[hidden email]>
Hi Simone,
from your output, I'd say that the schedule constructor first
generates all dates with the given frequency, adjusts them using the
Preceding convention (which moves Saturday and Sunday to Friday) but
doesn't check for duplicates. You're probably the first to try
building a daily schedule, so the problem never surfaced before...
I'd say it's a bug. How do you think this should work? Should we just
remove the duplicates?
Luigi
On Tue, Dec 6, 2011 at 4:54 PM, Simone <
[hidden email]> wrote:
>
> Hi,
> I'm experiencing a behavior of the qlSchedule function I cannot say whether it's a bug or not.
>
> The excel formula { =qlScheduleDates(qlSchedule(;today();"7d";"1d";"Italy::Exchange";"Preceding")) } produces the following list of dates:
>
> tue 06/12/2011
> wed 07/12/2011
> thu 08/12/2011
> fri 09/12/2011
> fri 09/12/2011
> fri 09/12/2011
> mon 12/12/2011
> tue 13/12/2011
>
>
> so there are three Fridays rather than just one.
>
> Not sure why this happens: could it be that the qlSchedule function outputs the two extra Fridays to fill the Saturday and the Sunday that a calendar including holidays should dump instead?
>
> Regards,
>
> --
>
> Simone
--
Simone
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