Re: [Quantlib-dev] FW: Code to expose default probability functionality in QuantLibXL. F.A.O. Eric Ehlers

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

Hi Don,

Nice meeting you too.  Thanks for re-sending the contribution, I will  
have a look and reply here shortly.

Kind Regards,
Eric

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

> Hi Eric,
> Good to meet you today at the QuantLib Forum.
> Here is the email we discussed.
>
> Regards Don Stewart
> don...@fs...
>
>
> -----Original Message-----
> From: Don Stewart
> Sent: 08 June 2010 15:21
> To: qua...@li...
> Subject: Code to expose default probability functionality in QuantLibXL
>
> 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'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.
>
> In case anyone wants to compile this code then the installation process
> is:- Download and install the QuantLib source code stack. The parent
> directory I used looks like
>   gensrc
>   log4cxx
>   ObjectHandler
>   QuantLib
>   QuantLibAddin
>   QuantLibXL
> Unzip the attached zip file QuantLibAddinWithDefautlProability.zip to
> this parent directory. The contents should overwrite some files in the
> QuantLibAddin sub-directory.
> Invoke Visual C++ 2008 and open the QuantLibXL\QuantLibXL_full_vc9.sln.
> Select either Debug (runtime static) or Release (runtime static)
> solution configuration.
> Press F7 to build the solution.
> After successful compilation, the QuantLibXL\xll sub-directory should
> contain a .xll add in that can be loaded in Excel.
>
>
> Regards Don Stewart
> don...@fs...
>
>
>
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===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
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