[Quantlib-dev] A few questions...

[<dr....@gm...>]

Hi Eric,

 

As a first step I've exposed 7 IR indexes in ql to Excel.

 

Bkbm, Bbsw, CDOR, YenTibor, FedFunds, NzOcr, AudOcr

 

All in one file, following the Libor.hpp file / process (and it works!).

 

 

But in that's generated a few questions on my side.

1.	How do I add a nicer description of the XL function to the index.xml
file, rather than the generic auto generated one? The "construct an object
of class FedFunds", whilst perfectly accurate, could be so much better.
2.	Indexes usually have rounding conventions, does QL include those in
the definition? I don't know how / where to look for the answer to this? 
3.	Names.

a.	Aonia - ohh yuk! No one uses that name, qlAudOcr(), or similar,
would be much more obvious / user friendly. However, I exposed Aonia using
qlAonia(), to keep naming conventions 1:1 between QL and QLXL. But it felt
really bad. Can we (how do we) do things differently?
b.	Tibor - the QL definition is actually for Yen-Tibor (Japanese bank,
domestic rate), not to be confused with EuroYen-Tibor (Japanese bank,
overseas rate). qlTibor() is not really specific enough to be as helpful as
it could be, especially as I don't know how to add a description to the
function to tell the user exactly what it is. 

4.	In the index.xml file in the in the qlSonia() constructor there is
the line 

      <!-- FIXME should we add this?
processorName>IndexProcessor</processorName-->

I have copied this line in my new xml constructors, because I used the
qlSonia() constructor as my template, but I'm sure that's not really the
right thing to do.

 

Kind Regards
Richard

Dr....@Gm... <mailto:Dr....@Gm...>