[Quantlib-dev] Exposure Issues

[Rahul G. <rah...@mo...>]

My aim has been to expose the Heston process, model, and analytic engine to
QuantLibXL.

For the process/model, I simply followed the guide, and it worked fine. 
However for the analytic engine, the approach I took was to inherit from the
pricingengine class.  I did this as follows:

analytichestonengine.hpp:

namespace QuantLibAddin {

	//class AnalyticHestonEngine : public
ObjectHandler::LibraryObject<QuantLib::PricingEngine> {
	class AnalyticHestonEngine : public QuantLibAddin::PricingEngine {
		public:
			AnalyticHestonEngine(
						const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
						const boost::shared_ptr<QuantLib::HestonModel> &model,
						double integrationOrder, bool permanent);
	};


}

analytichestonengine.cpp:

namespace QuantLibAddin {

	AnalyticHestonEngine::AnalyticHestonEngine(
			const boost::shared_ptr<ObjectHandler::ValueObject> &properties,
			const boost::shared_ptr<QuantLib::HestonModel> &model,
			double integrationOrder, bool permanent)
			: QuantLibAddin::PricingEngine(properties, permanent) {
				libraryObject_ = boost::shared_ptr<QuantLib::PricingEngine>(
									new QuantLib::AnalyticHestonEngine(model, (int)integrationOrder));
	}


}

Unfortunately, whilst this works fine, I appear to have broken the core
functionality.

When I try to instantiate a qlPricingEngine("AE",B30), i.e. a
GeneralizedBlackScholesEngine, I get #NUM, and the following error from
ohRetrieveError():

qlPricingEngine - Error retrieving Enumeration from Registry - the type
'class boost::shared_ptr<class QuantLib::PricingEngine> (__cdecl*)(class
boosts::shared_ptr<class QuantLib::GeneralizedBlackScholesProcess> const &)'
is not available!

I would really appreciate any input, as i'm kinda stuck.

Thanks!

-- 
View this message in context: http://www.nabble.com/Exposure-Issues-tp18941365p18941365.html
Sent from the quantlib-dev mailing list archive at Nabble.com.