Quantlib is an open-source C++ library for quantitative finance.

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Compiling QuantLib example

I have followed the guidlines for installing QuantLib for mac from here http://quantlib.org/install/macosx.shtml and also fixed the flags using the commands: export CXXFLAGS = -stdlib=libstdc++ ...
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quantlib python : missing methods?

I'm reading Introduction to Selected Classes of the QuantLib Library I by Dimitri Reiswich and tries to "convert" it to Python. It seems to me that some C++ possibilities aren't available in python. I'...
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How do I specify Thirty360::European day counter in RQuantLib

I am taking liberty to ask the following question in quantLib forum though this question is about RQuantLib I am trying to use RQuantLib to calculate clean price of a fixed coupon bond using a Nelson-...
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RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
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FIX engines comparison

Need help, looking for some comparison between c++ FIX engines, like onixs, antenna and some fpga solutions. If anyone has experienced some of the named engines also would like to hear the ...
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Quantlib binomial tree

I was trying to price options with the extendedBinomialTree class of quantlib. I actually tried at some point to modify this class in order to optimize it. Normally the drift and diffusion of the ...
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RQuantLib FixedRateBondPriceByYield() Non-tradable error

How do I use FixedRateBondPriceByYield() function on maturity date that is earlier than today? I get "non tradable error" when applying on date older than today. <...
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QuantLib C++: Friendship dilemma between derived class from PiecewiseYieldCurve and Bootstrap class

I derived a class template, OISCurve<Traits,Interpolator,Bootstrap>, from ...
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RCaller & RQuantlib error in java

I am receiving the following error: ...
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Quantlib xll - Converting deposit/swap curve to zero curve

I am trying to create a spreadsheet using the Quantlib xll to convert deposit/swap rates to zero rates. I tried to implement such by referencing to the C++ code listed here: How to sum interest rate ...
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QuantLib importing in Python

Since I am working with a thesis, QuantLib is a very new thing for me. I have installed and compiled QuantLib, including the QuantLib-SWIG. Everything was compiled and installed using the guidlines at ...
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Need to know What is not available in RQuantlib

If we explore CRAN RQuantlib package it says The 'RQuantLib' package makes parts of 'QuantLib' accessible from R. When I tried the package I have found vanilla/some exotic options, fixed income ...