Re: [Quantlib-dev] A few questions...

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

Hello,

On Fri, Jul 6, 2018 at 12:12 PM Eric Ehlers <eri...@re...> wrote:

> 2. I don't know, hopefully somebody else could chime in on this point.
>

(The above was about rounding in indexes)
No support at this time.  Is this actually enforced while forecasting
coupon fixings? It looks like rounding would cause legs at par to be off
par...



> 3. You can export to Excel two different addin functions which call the
> same underlying QuantLib function.  So, for example, you could export
> both qlAonia() and qlAudOcr().
>

We can also add the more useful names to the library and deprecate the old
ones.  May you open an issue at https://github.com/lballabio/QuantLib/issues so
I can keep track of it? (Or open a pull request if you do it yourself.)
Thanks!

Luigi




> On 2018-07-05 18:52, dr....@gm... wrote:
> >
> > 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…
> >      1. 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?
> >      2. 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...>
> >
> >
> >
>
>
>
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