quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Monte Carlo

[Andrea <mar...@go...>]

On 20/09/10 10:36, ANIMESH SAXENA wrote:
> Hi,
>    I had been work on a monte carlo design (with Stochastic Volatility -
> Heston Model). My basic idea was to allow almost any exotic structure to
> be priced (well 90% of them) using stochastic volatility coz
> GeneralizedBlackScholes process is not practically useful. I designed
> this from a trader / quants perspective. The design is very poor - I Admit!
> 
> I have tried to generalize the heston process, and using what I call
> hooks (different exotic payoffs) the process will price them. The
> process generates the paths, (cholesky decomposition used to generate
> correlated random numbers). Halton sequence used for fast convergence.
> The hook just uses the process to get the paths generated and updates
> the payoff. So any new exotic structure added will just need a new hook. 
> As of now I have skipped the discounting portion, and is purely used by
> me for personal trading. I do the discounting manually using HJM later.

Interesting. I think I need to dive deeper into your code.

> 
> I would like some suggestions from anyone who wants to take try this.
> Maybe with lots of changes to design this methodology can be put into
> QuantLib. This will help in solving the tight coupling of engines and
> process issue.

I did try to solve a similar problem.
Decoupling engine and products and I contributed the folder "mcbasket" under ql\experimental.
I have to admit that it only works for a GeneralizedBlackScholes but it is super easy
to add new payoffs.
Basically what you call Hook, there is called PathMultiAssetOption (this deals with the dates) and
PathPayoff (the actual payoff formula).

> 
> Link is a google doc to attached code (zip file). It's in Mac (XCode)
> gui, but well can be compiled on any platform easily. (No dependencies
> on Boost etc)
> 
> Thanks for your time,

Same here

Andrea

Re: [Quantlib-dev] [Quantlib-users] std::power fails ..

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

Hi Deepak,

Quoting Deepak <dee...@3i...>:

> Hi all,
>
> I'm computing zero rates for a benchmark in QuantLib, but yesterday I
> encountered an error, I did debug the library and found std::power
> (-124.75591365063, 0.04928131417), returns #NUM

You may already know how to get additional error info in the case of #NUM.

In any case I have updated the FAQ with an explanation for this:

http://quantlib.org/quantlibxl/faq.html#faq_item_hashnum

Regards,
Eric

Re: [Quantlib-dev] Code to expose default probability functionality in QuantLibXL

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

Hi Don,

Quoting Don Stewart <Don...@fs...>:

> Hi there,
> Using the tutorial
> http://quantlib.org/quantlibaddin/extend_tutorial.html and some trial
> and error I've been able to expose QuantLib's default probability
> functionality to QuantLibXL. The attached zip file contains the source
> code changes made to QuantLibAddin-1.0.0b3 (which as far as I'm aware is
> the latest published version of QuantLibAddin).
>
> I've compiled this code using Microsoft Visual C++ 2008 to both Debug
> (runtime static) and Release (runtime static) .xll files. I've used
> these in Excel 2003 to back out probability of default from CDS spreads
> which validate against data I have from JP Morgan and against a separate
> model built in Matlab by a colleague.
>
> I'd like to publish this code to the QuantLib source code base and would
> appreciate it if someone could enlighten me how to do this.

I took a stab at applying this patch to the trunk but it turns out  
that someone else has already implemented a change which partially  
overlaps yours.  Sincere apologies for not responding to your message  
sooner as this would have saved some duplication of effort.

I hate to ask but would you mind recreating your patch against the  
trunk?  I would apply it as soon as possible.

> I'd also appreciate any comments on whether my code exposes this
> functionality in an optimal manner. For instance, is it necessary to
> manually add source code to
> QuantLibAddin\qlo\enumerations\constructors\enumeratedpairs.xpp or
> manually create
> QuantLibAddin\qlo\enumerations\factories\defaulttermstructuresfactory.hp
> p rather than auto generate them via python from qlgensrc project.

At a very first glance it all looks good to me.  The existing code in  
the directories you mention above is handwritten so you're OK to  
follow that.

Regards,
Eric

Re: [Quantlib-dev] [Quantlib-users] Hull-White and CIR path generation

[Simon I. <Sim...@fs...>]

Hi All,

I'm doing some work on path generation (Monte-Carlo) for the CIR
process.

I've written some code for generating random numbers for the Gamma
distribution, the Chi-squared distribution and the Non-Central
Chi-Squared distribution but I need to wrap these up into a path
generator for CIR which can then be used for Monte-Carlo pricing.

I can see some examples of random-sequence generators within the
MonteCarlo framework.
But I don't want to use the InverseCumulativeRsg as inverting the CIR
distribution is really slow compared to sampling from the Non-Central
Chi-Squared.

So, I'm assuming that (to use the Monte Carlo framework) I need to
create 
1) A CIR sequence generator.
2) A RNG traits template class which enables the CIR sequence generator
class. 

Is this correct? Or is there something that I've missed?

Thanks,

Simon



-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: 13 October 2010 15:34
To: Kamtsa Dragoslav
Cc: qua...@li...
Subject: Re: [Quantlib-users] Hull-White and CIR path generation

On Sat, 2010-10-02 at 12:49 +1000, Kamtsa Dragoslav wrote:
> I want to use the Hull White 1F and the CIR 1F implementations to
> generate explicit short rate/intensity paths. Could someone please
> point me to the relevant example or unit test to get me started,
> especially for the latter?

I'm afraid we're short on examples, but you might want to look in
<ql/processes>, especially hullwhiteprocess.hpp.  I don't remember
exactly what paths are generated if you plug the processes there in a
PathGenerator (short-rate, I guess, but I'm not certain) but at least it
might give you an idea on how to implement a CIR process (which, I'm
afraid, we don't have at this time.)

Luigi


-- 

When all else fails, pour a pint of Guinness in the gas tank, 
advance the spark 20 degrees, cry "God Save the Queen!", and pull 
the starter knob. 
-- MG "Series MGA" Workshop Manual 



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Re: [Quantlib-dev] Need yield to maturity

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

On Fri, 2010-10-15 at 00:06 -0700, johnacandy wrote:
> Hi i need a yield to maturity level example for bonds . Id appreciate it if
> anyone could help me out..

There's an example of yield calculation (among other things) in
<Examples/Bonds/Bonds.cpp>.

Luigi


-- 

There are two ways of constructing a software design. One way is to 
make it so simple that there are obviously no deficiencies. And the 
other way is to make it so complicated that there are no obvious 
deficiencies. 
-- C. A. R. Hoare 

Re: [Quantlib-dev] std::power fails ..

[Deepak <dee...@3i...>]

Hi Luigi,

Sorry, it's our custom code in QuantLib for bootstrapstrategy ....

Thanks & Regards, 
 
Deepak Sharma 
 
 

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Friday, October 15, 2010 1:15 PM
To: dee...@3i...
Cc: qua...@li...; qua...@li...
Subject: Re: [Quantlib-dev] std::power fails ..

On Fri, 2010-10-15 at 10:30 +0530, Deepak wrote:
> I'm computing zero rates for a benchmark in QuantLib, but yesterday I
> encountered an error, I did debug the library and found std::power
> (-124.75591365063, 0.04928131417), returns #NUM ( Not a valid number),
> verified in 'Excel' and 'Calc', which leads to failure of further
> calculation, the arguments in std::power(,) are formula based, it's
> runtime value,

Where is the call to std::pow? (file, line...)

Luigi


-- 

If I do not want others to quote me, I do not speak. 
-- Phil Wayne 







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Re: [Quantlib-dev] std::power fails ..

[Andreas S. <an...@sp...>]

Hi,

Es schrieb Deepak

> I'm computing zero rates for a benchmark in QuantLib, but yesterday I
> encountered an error, I did debug the library and found std::power
> (-124.75591365063, 0.04928131417), returns #NUM ( Not a valid number)

First off, you probably mean "std::pow", right?

Have a look at http://www.cplusplus.com/reference/clibrary/cmath/pow/

There it says: "If base is negative and exponent is not an integral value,
or if base is zero and exponent is negative, a domain error occurs...

> I want to know, how to handle this kind of errors, it doesn't throw any
> exceptions.

...setting the global variable errno to the value EDOM."

Rgds,

Andreas

Re: [Quantlib-dev] std::power fails ..

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

On Fri, 2010-10-15 at 10:30 +0530, Deepak wrote:
> I’m computing zero rates for a benchmark in QuantLib, but yesterday I
> encountered an error, I did debug the library and found std::power
> (-124.75591365063, 0.04928131417), returns #NUM ( Not a valid number),
> verified in ‘Excel’ and ‘Calc’, which leads to failure of further
> calculation, the arguments in std::power(,) are formula based, it’s
> runtime value,

Where is the call to std::pow? (file, line...)

Luigi


-- 

If I do not want others to quote me, I do not speak. 
-- Phil Wayne 

[Quantlib-dev] Need yield to maturity

[johnacandy <hay...@ho...>]

Hi i need a yield to maturity level example for bonds . Id appreciate it if
anyone could help me out..
-- 
View this message in context: http://old.nabble.com/Need-yield-to-maturity-tp29969161p29969161.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Error building quantlib addin

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

Hello,

Quoting manas bhatt <ma...@ho...>:

> Hi,  I followed the instruction at   
> http://quantlib.org/quantlibaddin/build__qlxl.html but it fails to   
> build with the errosr show below.  Apparently void registerBtp() and  
>  void unregisterBtp() are not defined. Can someone please tell me   
> what i am doing wrong.thanksManas

Please do svn update and try again.

Thanks,
Eric

Re: [Quantlib-dev] Ziggurat algorithm for normal deviates

[Kakhkhor A. <kab...@gm...>]

I implemented it from the scratch. No copyright problems, whatsoever.
It follows the recipe from Marsaglia and Tsang's paper, except the
sampling from the tail. My implementation uses the conditional
distribution to sample from the tail of normal density.

Regards,
Kakhkhor Abdijalilov.

[Quantlib-dev] [ quantlib-Patches-2909358 ] Copula random number generators

[SourceForge.net <no...@so...>]

Patches item #2909358, was opened at 2009-12-05 18:18
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2909358&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Copula random number generators

Initial Comment:
These copula random number generators are based on the conditional sampling algorithm.


----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-10-06 15:27

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


----------------------------------------------------------------------

Comment By: Hachemi Benyahia (hachemidxp)
Date: 2010-03-11 13:06

Message:
Hi,

In the case of this implementation I have used three analytic results
presented in Copula Modeling: An introduction to Practitioners (P.K Trivedi
and D.M. Zimmer) page 109.
Unfortunately with this approach it is not possible to tu use the
functions in ql/math/copulas.



----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-09 09:37

Message:
Would it be possible to implement them using the functions in
ql/math/copulas instead of rewriting the formulas?

----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-2998216 ] Asset-or-nothing option

[SourceForge.net <no...@so...>]

Patches item #2998216, was opened at 2010-05-07 17:22
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2998216&group_id=12740

Please note that this message will contain a full copy of the comment thread,
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Asset-or-nothing option

Initial Comment:
Digital asset-or-nothing option with an analytic engine.
see:E.G. Haug p.175

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-10-06 12:30

Message:
Asset-or-nothing options are already available by passing an
AssetOrNothingPayoff to EuropeanOption.

----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-2998186 ] Cash-or-nothing option

[SourceForge.net <no...@so...>]

Patches item #2998186, was opened at 2010-05-07 16:23
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2998186&group_id=12740

Please note that this message will contain a full copy of the comment thread,
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Cash-or-nothing option

Initial Comment:
Digital cash-or-nothing option with an analytic and a integral engine.
see:E.G. Haug p. 174 and 175

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-10-06 12:30

Message:
Cash-or-nothing options are already available by passing a
CashOrNothingPayoff to EuropeanOption.

----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-2998228 ] Gap option

[SourceForge.net <no...@so...>]

Patches item #2998228, was opened at 2010-05-07 17:56
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2998228&group_id=12740

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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Gap option

Initial Comment:
Digital gap option with an analytic engine.
A negative NPV is possible.
see:E.G. Haug p. 174 and 175

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-10-06 12:29

Message:
Gap options are already available by passing a GapPayoff to EuropeanOption.

----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-2825951 ] Affine model term structure class

[SourceForge.net <no...@so...>]

Patches item #2825951, was opened at 2009-07-23 14:20
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 15:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-3011676 ] calculate mean/variance using a numerically-stable method

[SourceForge.net <no...@so...>]

Patches item #3011676, was opened at 2010-06-05 00:27
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: Pawel  (pawel3)
Assigned to: Nobody/Anonymous (nobody)
Summary: calculate mean/variance using a numerically-stable method

Initial Comment:
patch to IncrementalStatistics that uses a numerically stable method for calculating mean and variance

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-30 17:43

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


----------------------------------------------------------------------

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[Quantlib-dev] [ quantlib-Patches-3022766 ] BlackDeltaCalculator

[SourceForge.net <no...@so...>]

Patches item #3022766, was opened at 2010-06-29 12:31
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: Dimathematician (dimathematician)
Assigned to: Luigi Ballabio (lballabio)
Summary: BlackDeltaCalculator

Initial Comment:
Added various functions such as the derivatives of all deltas with respect to strike and volatility

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-29 15:52

Message:
Dimitri,
    sorry, but I can't make sense of the diffs.  In a nutshell, the
problem is:
- you previously contributed a version A of the files;
- I added it to the repository after some changes (formatting, replacing
const Real& with Real, etc.) so the file in ql/experimental/fx is now a
version B;
- you added new features to your original version A, obtaining a version
C;
- finally, you posted here the diffs between B and C.  But those are (C-A)
- (B-A), i.e., an intertwining of your additions with the formatting and
parameter changes.

Now, due to the changes between A and B, we have that on the one hand, the
diffs cover almost the entire file; and on the other hand, if I were to
apply them, I would just obtain C, thus losing the changes between A and B
entirely.

The best thing would be for you to take B from the repository, add the new
features to it, and post new clean diffs.

Thanks,
    Luigi

----------------------------------------------------------------------

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Re: [Quantlib-dev] (no subject)

[Simon I. <Sim...@fs...>]

Does anyone know which version of FFT is in QL? Is it the standard
FT(1,1) or another version of the Fourier Transform? 

Alternatively, if someone could direct me to a good explanation of the
FFT algorithm - I can work it out for myself... 

Thanks,
Simon


-----Original Message-----
From: Bojan Nikolic [mailto:bo...@bn...] 
Sent: 30 September 2010 09:59
To: Simon Ibbotson
Cc: qua...@li...
Subject: Re: [Quantlib-dev] (no subject)


Hi Simon,

"Simon Ibbotson" <Sim...@fs...> writes:

> I was hoping to use Fractional Fourier Transform to perform the
integral
> (as in Chourdakis '08).
> Are there any issues with linking QuantLib to FFTW (perhaps through a
> late-time binding to avoid licensing problems)?

Since FFTW is released publicly under the GPL I believe it would indeed
create a licensing problem. With GPL I think it does not matter if is
statically or dynamically linked, it still requires the whole of the
program to be licensed under GPL.

There is a simple FFT implementation in:

 ql/experimental/math/fastfouriertransform.hpp

That should probably be enough to get you going and than if find that
speed is a big issue you can look to a specialised library.

Best,
Bojan

-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql



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Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.0.1 Prerelease Files

[Ferdinando A. <na...@am...>]

On Tue, Oct 5, 2010 at 10:14 PM, Georgy Jikia <geo...@gm...> wrote:
> If version 1.1 is going to be  released in a couple of
> weeks, I'll just wait for it.

yes it is, officially or informally I don't know yet, but you'll get
it in a couple of weeks

ciao -- Nando

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.0.1 Prerelease Files

[Georgy J. <geo...@gm...>]

I've checked again: the problem with earlier release was, that some
broken workbooks were included, if on the installation the framework
had been selected. So they did not work neither with nor without
framework. If version 1.1 is going to be  released in a couple of
weeks, I'll just wait for it.
--
Georgy

On Fri, Oct 1, 2010 at 12:20 AM, Ferdinando Ametrano <na...@am...> wrote:
> On Thu, Sep 30, 2010 at 10:39 PM, Georgy Jikia <geo...@gm...> wrote:
>> As far as I remember some Quantlib functionality (e.g. LMM?) was only
>> available in Excel through QuantLibXL Framework.
>
> not really: the QuantLib analytics available in Excel do not need the framework.
> The framework is an Excel-based application using those analytics, so
> it's more powerful than the analytics alone, but it's very fragile,
> complex and undocumented
>
>> So I think those of
>> Quantlib users, who prefer to use an Excel interface, would be
>> definitely interested to be able to use the Framework also with a
>> version 1.01.
>
> what's good about open-source it's that you can do it by yourself:
> check out the 1.0 branch and the framework it's there...
> or just wait a couple of weeks and use it in 1.1
>
> ciao -- Nando
>

[Quantlib-dev] Running tests under Linux

[Grześ A. <gan...@gm...>]

Hi,

Another silly question: what is the easiest way to run unit tests
under Linux? I tried to find an IDE that would give me a nice
graphical interface for that, but I failed so far. So now I am
thinking that it might be easiest to just run them from command line,
but I am not competent to even do that :)

Cheers,
Grzegorz

Re: [Quantlib-dev] Compilation and disk space

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

On Tue, 2010-09-28 at 17:52 +0100, Grześ Andruszkiewicz wrote:
> How much disk space do I need to compile QuantLib (under Linux)? I had
> more than 2GB, but it just failed with because I ran out of space... I
> just ran make on command line.

On my Ubuntu box, the QuantLib directory after compilation is about
380MB.  However, one the one hand I ran configure with --disable-static,
that probably reduced the space by half; and on the other hand, I
specified CXXFLAGS='-O2' which prevented the usual default "-g -O2".
The -g flag causes the compiler to store debug information and is
probably causing the bloat.

Luigi



-- 

Harrison's Postulate: 
For every action, there is an equal and opposite criticism. 

[Quantlib-dev] Need some tips in order to price a Brazilian floating rate swap leg

[Piter D. <pit...@pi...>]

Guys,

 

Here in Brazil we have something called "CDI cash flow" that is basically a
floating rate cash flow with daily resets (CDI is an overnight rate) with no
homogenous payment (could periodically, at maturity, tailor made, etc.)
where we could apply either "% CDI" to the 1 day forward rates or
multiplicative spread.

 

It is something like:

.         Given a CDI Annual Bus/252 rate, a S Annual Bus/252 spread and P a
% of CDI

.         Calculate TDI = (1+CDI)^(1/252)-1

.         Calculate s = (1+S)^(1/252)-1

.         Calculate f = (1+TDI*P)*(1+s)

 

So, "f" is an one day rate. In order to forecast the cash flow we multiply
all implied "f" from a floating curve and to the same for the historical
(all 1 day reset rates). This is the general formula, but usually S = 0 if P
<> 100%.

 

I would like to know:

Is QuantLib gearing able to behave the same way as "P" above?

Does QuantLib support multiplicative spread (like S, above) or just additive
spread? I could not find a multiplicative spread inspecting some files.

 

Thanks a lot,

 

PS. 1: You can find mode details (if interested) at
http://www.debentures.com.br/downloads/textostecnicos/orient_calculo.doc,
pages 4 to 6. Google is able to do a pretty good job translating it.

PS. 2: I already checked that QuantLib YieldTermStructure is able to
generate one day forward rates with same conventions and interpolation we
use here in Brazil. This is already much better than a lot of foreign
systems that I already worked with.

 

_______________________

Piter Dias

 <mailto:pit...@pi...> pit...@pi...

 

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.0.1 Prerelease Files

[Ferdinando A. <na...@am...>]

On Thu, Sep 30, 2010 at 10:39 PM, Georgy Jikia <geo...@gm...> wrote:
> As far as I remember some Quantlib functionality (e.g. LMM?) was only
> available in Excel through QuantLibXL Framework.

not really: the QuantLib analytics available in Excel do not need the framework.
The framework is an Excel-based application using those analytics, so
it's more powerful than the analytics alone, but it's very fragile,
complex and undocumented

> So I think those of
> Quantlib users, who prefer to use an Excel interface, would be
> definitely interested to be able to use the Framework also with a
> version 1.01.

what's good about open-source it's that you can do it by yourself:
check out the 1.0 branch and the framework it's there...
or just wait a couple of weeks and use it in 1.1

ciao -- Nando