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

learn more… | top users | synonyms

1
vote
1answer
84 views

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. ...
1
vote
1answer
62 views

Quantlib FuturesRateHelper triggers not a valid IMM date error

I'm beginning to use QuantLib with python swig, and trying to build a EUR yield curve, please apologize if this is a dumb question, 1st time user of that library :) I face this error which frankly I ...
3
votes
0answers
46 views

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 ...
3
votes
0answers
186 views

RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
1
vote
0answers
32 views

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. ...
1
vote
0answers
57 views

QuantLib C++: Friendship dilemma between derived class from PiecewiseYieldCurve and Bootstrap class

I derived a class template, OISCurve<Traits,Interpolator,Bootstrap>, from ...
1
vote
0answers
158 views

RCaller & RQuantlib error in java

I am receiving the following error: ...
0
votes
0answers
38 views

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 ...