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Quantlib fully annotated source documentation

As a frequent user of Quantlib, I found that I needed to read more than the official reference documentation provided on the official website. So I decided to tweak the doxygen config to produce a fully annotated source documentation of quantlib including collaboration diagrams, call/caller diagrams and a working search box: https://rkapl123.github.io/QLAnnotatedSource

ORE and OreControl

I’m using the Opensource Risk Engine (ORE, based on Quantlib), my intention is to provide Tools for easier interaction with/integration of the Opensource Risk Engine. Following goals are envisaged:

This will be / is available here: OreControl

Following Article summarizes the Enhancement of ORE with new instruments.

Also, a fully annotated source documentation of ORE’s three libraries is available here: https://rkapl123.github.io/OREAnnotatedSource

Tips for building ORE

First, it is important to retrieve the QuantLib compatible with the chosen ORE version (e.g. 1.8.10), the safest way is usually NOT to pull the current master but rather to switch to the corresponding tag in the branch/tag switch (e.g. v.1.8.10.0), then download the zip with the <> code download button, next go to the QuantLib version that this ORE Version was built with on the external submodule link (e.g. QuantLib @ c235cda) and download the zip with the <> code download button there as well. The last step is to integrate the downloaded QuantLib source into the ORE source tree (QuantLib folder).

If you rather like to check out directly from the source, then following git commands should be sufficient:

git clone https://github.com/opensourcerisk/engine.git oredir
cd oredir
git checkout tags/v1.8.10.0 (or any other tag)
git submodule init
git submodule update
cd QuantLib
git checkout c235cdabbb34beaae601700092b9abfefdd7fc6a (commit number of the associated/patched Quantlib version)

The commit on the last line for the QuantLib submodule could either be communicated along with the release or can always be found on the git code page when having selected the release tag in the branch/tag switch.

Another challenge is to get the correct boost binary for the Visual Studio version (from sourceforge boost-binaries), to find the appropriate toolset version compatible with visual studio a good reference is Microsoft Visual C++ Internal_version_numbering, the runtime library version is in the last column, the toolset version (as needed by the linker looking up the libraries) can be obtained by taking the first three digits of the runtime library version and dropping the decimal point, e.g. ‘143’ for all Visual Studio 2022 versions.

Since boost 1_78, there is a problem with the application binary interface, it’s important to add a target_compile_definition that restricts the used version to 0x0600 after the add_executable of the orea-test-suite in $ORE/OREAnalytics/test/CMakeLists.txt:

add_executable(orea-test-suite ${OREAnalytics-Test_SRC})
target_link_libraries(orea-test-suite ${QL_LIB_NAME})
target_link_libraries(orea-test-suite ${QLE_LIB_NAME})
target_link_libraries(orea-test-suite ${ORED_LIB_NAME})
target_link_libraries(orea-test-suite ${OREA_LIB_NAME})
target_link_libraries(orea-test-suite ${Boost_LIBRARIES} ${RT_LIBRARY})

target_compile_definitions(orea-test-suite PUBLIC BOOST_USE_WINAPI_VERSION=0x0600)

DBAddin

DBAddin is an ExcelDNA-based Add-in, providing two main functionalities and a definition Tool:

Documentation
Slideshow

ScriptAddin

ScriptAddin is a simple ExcelDNA-based Add-in for handling scripts (R, Python, Perl, whatever you configure) from Excel, storing input objects (scalars/vectors/matrices) and retrieving result objects (scalars/vectors/matrices) as text files (currently restricted to tab separated). Graphics are retrieved from produced png files into Excel to be displayed as diagrams.
This is an extension and replacement for the now obsolete RAddin.
Documentation

ExchangeSetOOF

ExchangeSetOOF provides programmatic setting of automatic replies (out of office) in an exchange environment, based on calendar appointments having an “away” status.

ExchangeSetOOF logs in to the currently logged in users account (using EWS AutoDiscover with users account Email-address using System.DirectoryServices.AccountManagement) and searches the appointments between today and the next business day (based on configured holidays) for appointments being set “away”.

If any such appointment is found, ExchangeSetOOF replaces the template’s date placeholder with the respective end date and (if wanted) also start date. The languages used for the replacement of the date placeholders are configurable (hardcoded are German and English). The automatic reply (out of office) is being scheduled to start from the Start Date of the OOF appointment and end on the End Date of the OOF appointment.

Documentation and download

DatePicker

After struggling to find a replacement for the MSCOMCT2 based Date picker, I finally decided to wrap the .NET MonthCalendar into a nice and small Add-In that offers this functionality to VBA: Repository
It can also be used directly from the Ribbon to insert date values into cells.

CmdLogAddin

ExcelDNA-based Add-in that allows you to parse Excel’s Cmd-line and start any Macro that is contained either inside the started Workbook, a start-up loaded Add-in or outside.

Additionally, a logging possibility is provided by retrieving a logger object in VBA (set log = CreateObject(“LogAddin.Logger”)) and using this to provide logging messages using 5 levels:

Documentation and download

Scouts administration helper

As a member of a local scouting group and being responsible for the member registration/administration, I’ve created a few tools to produce invoice- and other mailings to the members as well as registering/updating member information from our WordPress Form based pages. This however only works in conjunction with the registration tool iGrins from the Scouts of Lower Austria: https://www.noe-pfadfinder.at/igrins

If you still think this is useful, read the documentation.

Some History

After more than 30 years, I decided to revitalize some of my first projects to contribute to the IT-Nostalgia. The story and its results can be found here, in History.

Useful Tips/Tools from other people

Following are links to pages with useful information or tools I’ve found during my endeavors:

Creating Excel Add-Ins with Excel-DNA

For creating Excel Add-ins/Solutions, this is a tool/library you simply can’t bypass: http://excel-dna.net/ It’s very easy to start for all that have some experience in VBA-Programming and - for an open source library - it has a lot of documentation.

Parsing Excel Data in Perl with Data-XLSX-Parser

A really nice, fast and memory efficient parser for new-format Excel (xlsx) files by Daisuke Murase (original author)/Masatoshi Kawazoe (active maintainer, CPAN-Module).

Log-viewing with LogJoint

After quite a lot of searching, I finally found a very helpful log viewer that displays multiple logs (also rotated historic logs) side-by-side with a nice overview by thread, filtering and lots of other features: LogJoint. Can be used for all kinds of logs, if your type is not built in, then simply roll your own format using regular expressions.

SQL Server XML Queries

With examples from the ORE DB project: SQLServerXML

SQL Server yield to maturity

A yield to maturity function for annual bullet bonds with act/act pricing convention: SQLServerYTM

Other Excel and VB/VBscript based Utilities

like a VBA user defined function for getting non-intersecting range in Excel, a VB script to get the title of the current desktop wallpaper in Windows 10, retrieving Face-IDs for Office Versions >= 2010 and executing VB.NET dynamically: Utilities