Re: [Quantlib-dev] QuantLib Excel project

[Eric E. <eri...@re...>]

Hi Ben,

It would be a question of exporting the required functionality from 
QuantLib to QuantLibXL as documented here:

https://www.quantlib.org/quantlibaddin/extend_tutorial.html

Regards,
Eric

On 27/06/2019 09:12, ben...@ma... wrote:
> 
> 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
>>
>