Re: [Quantlib-dev] QuantLib Excel project

[<ben...@ma...>]

Hi Eric, 

Not sure what is needed - below is a list of inflation related function that I believe exists in Quantlib. What would be needed to get them into QuantlibXL?

InflationIndex
	ZeroInflationIndex, YoYInflationIndex
InflationTermStructure
	ZeroInflationTermStructure,
	YoYInflationTermStructure,
	InterpolatedZeroInflationCurve,
	InterpolatedYoYInflationCurve,
	PiecewiseZeroInflationCurve (ZeroInflationSwapHelper),
	PiecewiseYoYInflationCurve (YoYInflationSwapHelper)
Inflation volatility surfaces
	CPIVolatilityTermStructure,
	YoYOptionletVolatilityTermStructure (check experimental for more!)
Instruments
	ZeroCouponInflationSwap
	YoYInflationSwap
	CPICapFloor
	YoYInflationCapFloor
Pricing Engines
	YoYInflationCapFloorEngine (Bachelier, Black, Unit-Displaced Black)
	CPICapFloorEngine (expr: intrep. of the CPICapFloorTermPriceSurface)
 


Warm Regards
Ben Watson, CEO
Maroon Analytics Australia
Tel: +61 410 474 984
www.maroonanalytics.com
your edge on complexity

-----Original Message-----
From: Eric Ehlers [mailto:eri...@re...] 
Sent: Thursday, 27 June 2019 4:54 PM
To: ben...@ma...
Cc: 'ALIX LASSAUZET' <al...@la...>; qua...@li...
Subject: Re: [Quantlib-dev] QuantLib Excel project

Hi Ben,

I'm not planning any enhancements to QuantLibXL, but if someone wants to contribute them I will include them in the release.

Regards,
Eric

On 27/06/2019 04:16, ben...@ma... wrote:
> Hi Eric and Alix,
> 
> I was looking at the public quantlibxl  - there appears no support for 
> Inflation curves and swaps. Is this something that is not expected to 
> be included in future releases?
> 
> Warm Regards
> 
> *Ben Watson, *CEO
> 
> *Maroon Analytics Australia*
> 
> Tel: +61 410 474 984
> 
> www.maroonanalytics.com <http://www.maroonanalytics.com/>
> 
> /your edge on complexity/
> 
> *From:*ALIX LASSAUZET [mailto:al...@la...]
> *Sent:* Thursday, 6 June 2019 10:29 PM
> *To:* Eric Ehlers <eri...@re...>
> *Cc:* qua...@li...
> *Subject:* Re: [Quantlib-dev] QuantLib Excel project
> 
> Hi Eric,
> 
> Thanks again for your help. I managed to generate the 64 bit version 
> of the addin. It took approximately ~2/3 hours. But I still don't know 
> why and how it worked.
> 
> Looking at the differences between your repo and my local files, I can 
> only notice that a new XML tag has been added in 
> QuantLibXLStatic_vc12.vcxproj following the selection of "Machine X64" 
> in the field named "Target Machine" (Properties > Linker > Advanced  > 
> "Target Machine"). I am not sure this is the right reason ; for me it 
> shoud be the default value when compiling in x64 mode - to be confirmed.
> 
> I will share my investigations if I find out something interesting.
> 
> Thanks,
> 
> Alix
> 
> Le mer. 5 juin 2019 à 12:42, Eric Ehlers <eri...@re... 
> <mailto:eri...@re...>> a écrit :
> 
>     Hi Alix,
> 
>      > Indeed, when I tried to compile the addin in « release (static
>      > runtime) » mode + « x64 », the very last stage of the compilation
>      > routine (the compilation of QuantLibObjects project in fact)
>     never stops
>      > and seems to generate a temporary xll file with an anormal size
>     (~2MB vs
>      > 23MB in 32 bit). I even let it run overnight, but it did not
>     reach the
>      > end...
>      >
>      > FYI, I am working with Win 10 (64 bit), VS express 2013, Python
>     3.7.3
>      > (32 bit), Excel for Office365 64 bit. I am using the solution «
>      > QuantLibXL_full_vc12.sln ». I also tried to compile the project
>     using
>      > VS2019 but I am facing other issues (VS compatibility I think).
>     Have you
>      > ever faced this kind of issues ?
> 
>     Please see the thread below (near the end):
> 
>     https://sourceforge.net/p/quantlib/mailman/message/35898723/
> 
>     Regards,
>     Eric
>