Overview
QuantLibXL supports a feature called Coercion in which the arguments to a function may be automatically converted from one datatype to another. For example, wherever a QuantLibXL function expects a quote, any of the following may be supplied:
- The ID of a quote object that was previously constructed with a call to qlSimpleQuote().
- The ID of a quote handle object that was previously constructed with a call to qlHandleQuote().
- A number, which the coercion feature will use to automatically create a temporary quote object on the fly.
Supported Coercions
The table below summarizes the automatic coercions supported by QuantLibXL:
Value Required | Supported Inputs |
Quote |
- ID of a Quote object as returned by qlSimpleQuote()
- ID of a Quote handle object as returned by qlHandleQuote()
- number representing quote value
- this logic is applied to the following Quote classes: FuturesConvAdjustmentQuote, Quote, SimpleQuote
|
Date |
- An integer representing the offset in days since 1 January 1970. This is the format passed by Excel.
- A period, to be used as the offset from the current evaluation date. For example, where a function expects a date, and the current evaluation date is 6 July 2005, and the user supplies the string "2Y", then the function receives the date value 6 July 2007.
- An IMM code such as Z7, which maps to Wed, 20-Dec-2017, i.e. to the corresponding IMM date in the forward decade starting from the current evaluation date.
|
TermStructure |
- ID of a TermStructure object as returned by a function such as qlPiecewiseYieldCurve ()
- ID of a TermStructure handle object as returned by qlRelinkableHandleYieldTermStructure()
- this logic is applied to the following TermStructure classes: SwaptionVolatilityCube, SwaptionVolatilityDiscrete, SwaptionVolatilityMatrix, SwaptionVolatilityStructure, SwaptionVolCube1, TermStructure, YieldTermStructure
|
Lists
Functions which expect a list of values accept input in either of the following two forms:
- A reference to an Excel range of values
- A string comprising a semicolon-delimited list of values