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by samyonez
March 17th, 2011, 5:32 pm
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 145795

xlwplus

<t>QuoteOriginally posted by: mjyou have to write XML manually to expose the classes. It would be so much easier if a parser wrote the routine for you.this all becomes a lot easier if you give up on c++ and embrace .net.(1) you have all the caching available to you (e.g. every object has a .getHashC...
by samyonez
November 9th, 2010, 12:56 pm
Forum: Programming and Software Forum
Topic: XLW and NUnit
Replies: 5
Views: 25284

XLW and NUnit

thanks for your reply.Yeah, it's reasonably straightforward to build the tests in Excel, but i really wanted to have proper unit tests of my library, with the same interface that excel uses, that i can run from within visual studio & not have to run a bunch of spreadsheets every time.
by samyonez
November 9th, 2010, 12:18 pm
Forum: Programming and Software Forum
Topic: XLW and NUnit
Replies: 5
Views: 25284

XLW and NUnit

<t>I am looking to build unit tests for my excel addin using NUnit.I am using XLW .net for construction of the addin; the functions take c# native types and XLW types such as CellMatrix. I would like to test the functions that are usually used in Excel via NUnit. This necessitates building an dll th...
by samyonez
April 14th, 2010, 2:02 pm
Forum: Programming and Software Forum
Topic: Is it me or if Office 2007 just sh*t
Replies: 18
Views: 31808

Is it me or if Office 2007 just sh*t

my pet peeve... excel charts are no longer in a vector graphics format, so you can't print them to pdf & then include in latex docs. writing presentations & papers just isn't fun anymore. :-(
by samyonez
December 7th, 2009, 9:47 am
Forum: Technical Forum
Topic: local vega
Replies: 5
Views: 32833

local vega

fine, in a fixed LV model. But then in practice option prices realise differently to the dynamics implied from local vol, i.e. the local vol surface changes. how is the best hedge for this determined? is the static replication in any sense vega hedged? it is not obvious.
by samyonez
December 6th, 2009, 7:28 pm
Forum: Technical Forum
Topic: local vega
Replies: 5
Views: 32833

local vega

<t>is anyone aware of research / results on calculating the sensitivity of exotic option prices under, say, a local volatility model, to perturbations volatility surface? i am thinking about the "best" (most accurate? mosty efficient?) way to apportion the vega of, say, a barrier option, into strike...
by samyonez
November 6th, 2009, 8:29 am
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 145795

xlwplus

<t>To my mind, the ability to call functions from excel and the ability to retain and query stateful objects are two separate pieces of functionality, and should be dealt with in separate libs. xlw does the first job only and does it well. We might want to write xlls which have only static functions...
by samyonez
July 29th, 2009, 9:47 pm
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 145795

xlwplus

<t>QuoteOriginally posted by: AlexesDadDon't do that. It won't work.i'll take that as a challenge...following mj's sage advice the below seems to work fine though: running the "test" function in VBA prints "3", and nothing falls over. The difficult bits with all this stuff are (1) remembering to dec...
by samyonez
July 29th, 2009, 6:07 am
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 145795

xlwplus

<t>Another xlw question. Can I have a function that takes a long as argument? It seems that only short is allowed for integer types, as the interface generator doesn't deal correclty with longs. This is restrictive because if you wish to pass the AddressOf a function (e.g. a payoff coded in VBA into...
by samyonez
July 29th, 2009, 5:58 am
Forum: Programming and Software Forum
Topic: C++ creating a dll for excel VBA : yet again
Replies: 27
Views: 46095

C++ creating a dll for excel VBA : yet again

<t>QuoteOriginally posted by: AlexesDadQuoteOriginally posted by: BourbaI see with xlw is when I will use functions with a more complicated output : I need VBA to distribute the output between different sheets.Is there a way to call xlw created function in VBA ?I think VBA is your best bet in that c...
by samyonez
July 14th, 2009, 11:37 am
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 145795

xlwplus

<t>i have a slight niggle with xlw and the method of commenting functions for the interface generator, in that it is difficult to use compatibly with doxygen. AFAIK doxygen is the de facto standard for generating documentation from C++ source comments, so it would be nice to use the two together com...
by samyonez
July 13th, 2009, 3:34 pm
Forum: Student Forum
Topic: equity vs fx option price quotes
Replies: 1
Views: 36721

equity vs fx option price quotes

<t>it's actually more complicated because even if people could agree on the forwards, the implied volatility isn't yet decided as it also depends on how dividends are modelled. the forward curve tells you the expectation of a dividend, but not the whole distribution, and if dividends are proportiona...
by samyonez
July 10th, 2009, 2:30 pm
Forum: Book And Research Paper Forum
Topic: Whaley, On the valuation of compound options
Replies: 0
Views: 37010

Whaley, On the valuation of compound options

Does anyone know of this paper? I don't have access to it at the link, but it contains a result referenced in this paper of Buraschi and Dumas relating American options to a portfolio of Europeans and compound options. Does anyone have available an exposition of this result?
by samyonez
June 26th, 2009, 9:20 am
Forum: Technical Forum
Topic: standard problem with dupire
Replies: 5
Views: 38672

standard problem with dupire

<t>the original dupire lv formula is in terms of the derivatives of call prices, dCdT, dCdK and d2CdK2, that is, the infinitessimal calendare spread, call spread and butterfly spread. Positivity of these is a necessary and sufficient condition for preclusion of arbitrage in the vanilla surface (see ...
by samyonez
June 22nd, 2009, 2:24 pm
Forum: Programming and Software Forum
Topic: this pointer in C++
Replies: 11
Views: 39105

this pointer in C++

<t>CommodityQuant; my func2() didn't return a ref to local (stack) variable, it returns a ref to a heap variable, on whose address you will need to call delete if you are to avoid mem leaks. Your func2() alreadys contains a mem leak though; your static variable will be assigned (actually initialised...
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