Re: [Quantlib-users] QuantlibXL - qlSchedule Issue

[Simone <sim...@gm...>]

Thank you Luigi

Simone

2012/1/17 Luigi Ballabio <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
>



-- 

Simone