Re: [Quantlib-users] QuantlibXL - qlSchedule Issue

[Luigi B. <lui...@gm...>]

Ok, it's fixed in the Subversion repository (the 1.2 branch).  It will
work correctly in next release.

Thanks for the heads-up.

Luigi

On Wed, Dec 14, 2011 at 12:34 PM, Simone <sim...@gm...> wrote:
> 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 <lui...@gm...>
>>
>> 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 <sim...@gm...> 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