Re: [Quantlib-dev] Code to expose default probability functionality in QuantLibXL

[Eric E. <eri...@na...>]

Hi Don,

Quoting Don Stewart <Don...@fs...>:

> Hi there,
> Using the tutorial
> http://quantlib.org/quantlibaddin/extend_tutorial.html and some trial
> and error I've been able to expose QuantLib's default probability
> functionality to QuantLibXL. The attached zip file contains the source
> code changes made to QuantLibAddin-1.0.0b3 (which as far as I'm aware is
> the latest published version of QuantLibAddin).
>
> I've compiled this code using Microsoft Visual C++ 2008 to both Debug
> (runtime static) and Release (runtime static) .xll files. I've used
> these in Excel 2003 to back out probability of default from CDS spreads
> which validate against data I have from JP Morgan and against a separate
> model built in Matlab by a colleague.
>
> I'd like to publish this code to the QuantLib source code base and would
> appreciate it if someone could enlighten me how to do this.

I took a stab at applying this patch to the trunk but it turns out  
that someone else has already implemented a change which partially  
overlaps yours.  Sincere apologies for not responding to your message  
sooner as this would have saved some duplication of effort.

I hate to ask but would you mind recreating your patch against the  
trunk?  I would apply it as soon as possible.

> I'd also appreciate any comments on whether my code exposes this
> functionality in an optimal manner. For instance, is it necessary to
> manually add source code to
> QuantLibAddin\qlo\enumerations\constructors\enumeratedpairs.xpp or
> manually create
> QuantLibAddin\qlo\enumerations\factories\defaulttermstructuresfactory.hp
> p rather than auto generate them via python from qlgensrc project.

At a very first glance it all looks good to me.  The existing code in  
the directories you mention above is handwritten so you're OK to  
follow that.

Regards,
Eric