R: Problems with Vanilla Swap objects using excel... (please help me!)

by jimmygio :: Rate this Message:

Re: [Quantlib-users] Problems with Vanilla Swap objects using excel... (please help me!)

Thank you very much for your answer...

"I assume you mean that you're using QuantLibXL 0.9.6, the binary installation
(i.e. you did not compile it yourself from source code), pls correct me if I'm
wrong."

Yes, it is, I use the binary installation

"
I attach InterestRateDerivatives.xls, the example workbook from the release,
modified to call those three functions in range
[InterestRateDerivatives.xls]Swaps!$E$25:$E$27.

Here are the steps to test it:
- start Excel
- load C:\Program Files\QuantLibXL-0.9.6\xll\QuantLibXL-vc80-mt-s-0_9_6.xll
- load InterestRateDerivatives.xls
- Hit Ctrl-Alt-F9 to force a full recalculation
- Confirm that the three functions in range Swaps!$E$25:$E$27 return valid
values.

Hope that helps.

Regards,
Eric
"

Unfortunately the problem persists.... I attach a .jpg file to show you what I get after the recalculation.

Is it possible that I get these strange results for some international setting of excel? I really don't know how to face this problem.

Thank you,

Giovanni

Da: Eric Ehlers [mailto:eric.ehlers@...]
Inviato: gio 11/09/2008 17.04
A: jimmygio@...
Cc: quantlib-users@...
Oggetto: Re: [Quantlib-users] Problems with Vanilla Swap objects using excel... (please help me!)

Hello,

On Wed, September 10, 2008 14:38, jimmygio wrote:
>
> Good morning,
> first of all excuse me if I'm not technical in the description of the
> problem, but I'm a "noob" and I can't use C++...
>
> Secondly, I experienced problems with some excel functions (I use
> QuantlibAddin0.9.6 for Excel) related with a Vanilla Swap object.

I assume you mean that you're using QuantLibXL 0.9.6, the binary installation
(i.e. you did not compile it yourself from source code), pls correct me if I'm
wrong.

> In particular, I create the object "Vanillaswap" (I check that it is created
> in the correct way using the functions "qlVanillaSwapFloatingLegAnalysis"
> and "qlVanillaSwapFixedLegAnalysis"), and than I try to use some (VERY
> SIMPLE) functions such as
> "qlVanillaSwapFixedRate"
> "qlVanillaSwapNominal"
> "qlVanillaSwapFairRate"
> etc...
> but they don't give me acceptable results... What I mean is that I get
> always 0, or the largest/smallest number that excel can handle...

I attach InterestRateDerivatives.xls, the example workbook from the release,
modified to call those three functions in range
[InterestRateDerivatives.xls]Swaps!$E$25:$E$27.

Here are the steps to test it:
- start Excel
- load C:\Program Files\QuantLibXL-0.9.6\xll\QuantLibXL-vc80-mt-s-0_9_6.xll
- load InterestRateDerivatives.xls
- Hit Ctrl-Alt-F9 to force a full recalculation
- Confirm that the three functions in range Swaps!$E$25:$E$27 return valid
values.

Hope that helps.

Regards,
Eric

-------------------------
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a client
to the Grid

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