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

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4answers
3k views

QuantLib in industry

How much is QuantLib used in industry and how much street cred does it have?
12
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1answer
2k views

Is QuantLib more trouble than it's worth?

I'm just starting to work with QuantLib and wonder if I'm going down a very wrong path. I'm working on a site that presents the visitor with a table of streamed real-time options data, including ...
8
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1answer
569 views

QuantLib and exact numerical simulation

I've just downloaded quantlib and started playing around with it, and it looks like it's designed primarily to use Euler discretizations for everything -- so far as I can tell, there's not even a ...
8
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1answer
2k views

How to calculate the local volatility surface using QuantLib?

I'd like to calculate the local volatility surface for a series of option strikes, similar to the surface described in this paper: http://www.ederman.com/new/docs/gs-local_volatility_surface.pdf ...
7
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4answers
740 views

Why does it take so many lines of code to price even the simplest of options with QuantLib

I have been looking at QuantLib I am trying to figure out why I need to write so much boilerplate code even when pricing the "simplest" of European Options using the analytical Black-Scholes formula (...
7
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2answers
3k views

using quantlib function in my c++ program

I want to include the QuantLib function for option greeks calculations in my own C++ code. My question is: can I just include those functions? I don't want to use the rest of their stuff. I obviously ...
6
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4answers
187 views

How do you check your option calculations?

I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial... I'm not really sure how to check my calculations. I tried using QuantLib to ...
6
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1answer
431 views

Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function

Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings ...
6
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1answer
202 views

Pricing a bond with variable strike collar with QuantLibXL

I am trying to price a floating rate bond with a capped and floored interest rate. The strikes of the caps and floors vary, but are known in advance. I am trying to do this with QuantLibXL, but I am ...
5
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4answers
159 views

How to select the initial guess for implied volatility?

When we calculate the implied volatility, we would need to give the solver a range to start with. For example, QuantLib uses [0,4.0] for the range, which is another way of saying try all possible ...
5
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3answers
2k views

VaR implementation using quantlib?

I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations. Despite several searches, I have not as yet come across a quantlib VaR ...
5
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1answer
812 views

QuantLib: Black / BSM processes and pricing via volatility surface. Different results?

I start this question with a couple of C++ functions that will be useful to show some results. So start your Visual Studio C++ Express or Ceemple or whatever you want and copy & paste this: ...
4
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2answers
2k views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
4
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1answer
831 views

How to price a bond at specified dates in QuantLib

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...
4
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1answer
2k views

What is the best solution to use QuantLib within Excel?

Excel is likely the most widespread instrument across all not-only-quants desks; in addition, we have to keep in mind that Bloomberg and Reuters allow to easily import real time data in Excel, and ...
4
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1answer
91 views

BlackProcess' constructor $x_{0}$ argument in QuantLib

I am currently using BlackProcess to price options and I have a doubt related to the $x_{0}$ argument of the constructor: I've figured out it should be the forward ...
3
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1answer
2k views

Pricing a FixedRateBond in Quantlib: yield vs TermStructure

I am trying to price a simple U.S. treasury in QuantLib, using two methods. The first method calls FixedRatebond.dirtyPrice(...), passing in a YTM and other parameters. The second method involves ...
3
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1answer
986 views

How to sum interest rate curves in QuantLib

C++ code taken from Bonds.cpp and slightly amended: ...
3
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1answer
486 views

Pricing Fixed-To-Floater bond in QuantLib

Wandering through QuantLib's Financial instruments documentation, I noticed no class for fixed-to-floater bonds exist. Then I was wondering what a suitable way to price such an instrument would be ...
3
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1answer
1k views

Quantlib in JavaScript? [closed]

Is there such a thing? Or is there a project around that aims to realize Quantlib in JS? I'm a JS coder and I'd like to get involved if so. Maybe it seems futile or insane today, but who can doubt ...
3
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1answer
118 views

QuantLib C++: Monte Carlo Engine with SequenceStatistics

I'm trying to implement a Monte Carlo PricingEngine that stores multidimensional statistics. I have done the following: Defined a Monte Carlo Trait that among other things stores as the ...
3
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1answer
608 views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
3
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1answer
112 views

QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?

I would like to use the following model in QuantLib: $\frac{dF(t,T)}{F(t,T)} = \sigma_se^{-\beta(T-t)}dW_{t}^{1} + \sigma_L\left(1-e^{-\beta(T-t)}\right)dW_{t}^{2}$ This is a reformulation of the ...
3
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1answer
511 views

Interpreting QuantLlib implied volatility numbers

I am using QuantLib to calculate implied volatilities. I am trying to understand the calculated figures (especially, when compared to historical volatility). The calculated implied volatility numbers ...
3
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1answer
128 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. I face this error which frankly I don't understand; I looked at the code of bool IMM::isIMMdate in imm.cpp and ...
3
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1answer
61 views

Why risk-free interest is needed for Margrabe's Formula?

The source code for Margarble's formula in QuantLib is here. The implementation requires a forward price be computed: ...
3
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0answers
55 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 Nelson-...
3
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0answers
200 views

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

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
2
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1answer
581 views

QuantLib error with qlPiecewiseYieldCurveData() on qlPiecewiseYieldCurve() with ZeroYield and ForwardRate

I'm using QuantLibXL to build a discount curve, a zero yield curve and a forward curve of the EURIBOR rate (QuantLibXL is downloadable here). I've built an object of class ...
2
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1answer
79 views

How many ways can QuantLib handle the price of option on its maturity date?

I have been playing with QuantLib for some time. This is a great framework with amazing design and capabilities. However, one thing that I find hard to understand is the way it handles the price of ...
2
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1answer
94 views

CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?

I would like to know what are the issues related to a possible CallableFloatingRateBond class in QuantLib and to have some hints on implementation. My (very ...
2
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1answer
241 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
2
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1answer
829 views

Setting up Schedule for an amortizing floater in QuantLib

I am unsure as to the exact arguments required for the Schedule function for an amortizing floater - my code is listed below. Specifically, my question pertains to whether the schedule should always ...
2
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1answer
199 views

QuantLibXL - Optionlet bootstrapping failure

I am trying to bootstrap the Optionlet volatility surface from a Cap/Floor volatility surface using QuantLibXL. To be specific, the data is from ICAP: ...
2
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1answer
60 views

Debugging Quantlib

I am trying to understand Quantlib's finite-difference pricer using Eclipse with GDB debugger. The code shown below prices an American put option using the Crank-Nicholson finite-difference scheme. ...
2
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1answer
118 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. I'...
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3answers
755 views

How to learn QuantLib-python at first?

In my project, I have to get the delta of up and out call option (with vol surface). I found out that QuantLib might help me on that. Since my main language is python and I don't know well about C++, ...
1
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2answers
107 views

How to build a cross currency swap pricer?

We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a ...
1
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1answer
166 views

How to calculate bond yield in QuantLib - Python

I want to calculate yield of bond having market price and coupons. I try to replicate C++ from (https://mhittesdorf.wordpress.com/2013/03/03/introducing-quantlib-internal-rate-of-return/) in Python ...
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1answer
346 views

How to use quantlib with excel?

I installed an quantlib on my mac, but have no idea, how to start using it with an excel. Please advise hoq to do it. I followed all instructions here: http://quantlib.org/install/macosx.shtml. I ...
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1answer
68 views

AmericanOptionImpliedVolatility strange answers for calls IV's

My data provider includes the greeks. I tried to compute the IV's myself using RQuantLib and see if they match -- for Puts it's generally close, for Calls however certain values are way way off -- any ...
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2answers
285 views

Why QuantLib computes the fixed-leg swap rate by this formula?

I'm trying to understand how QuantLib creates (bootstraps) a yield curve from a vanilla swap at the source level. I have the following test code: ...
1
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1answer
226 views

Best way to do multithread Monte-Carlo in QuantLib

QuantLib has great facilities for Monte-Carlo pricing engines, classes McSimulation and MonteCarloModel do a lot of work. But they do it in a single thread. What is best way to introduce parallel run ...
1
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1answer
560 views

Automatic fixing of missing floating rate in QuantLib's addFixing()

Due to the periodic fixing of floating rate bonds's coupon rates, in order to calculate the bond clean price one must tell the pricing engine to account for previous LIBOR rate fixing. If I am right (...
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1answer
286 views

Definition of “tenor” argument in QuantLib's Schedule class object

In QuantLib an object of class Schedule takes const Period &tenor as argument. I would ...
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1answer
112 views

How to price touch options using quantlib?

I am new to quantlib and I want use it to to price a touch option (single/double). I searched on google for example code but I could not find anything. Hence, I am ...
1
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1answer
93 views

Quantlib FRA with shifted start date

I'm new to quantlib. I am trying to construct a PiecewiseYieldCurve. I been looking at the implementation of FRA. It seems that the start date of the FRA must be an integer number of month from the ...
1
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1answer
226 views

novice question on fixed coupon schedule in QuantLib

For some bonds I work with the last coupon date is not equal to bond's maturity date. E.g. the last coupon date is April 25th, 2020 and maturity date is April 25th, 2021. I looked at Schedule class ...
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1answer
94 views

QuantLib: New Instrument derived from VanillaOption + PricingEngine that must work for both VanillaOption and the derived class

The derived class is a Vanilla Option on a Future and I need to specify the expiry of the underlying future which is in general different (later) than the expiry of the Vanilla Option. I have ...
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0answers
49 views

QuantLib FittedBondDiscountCurve fitResults [Error]

I try to use FittedBondDiscountCurve with NelsonSiegelFitting, but I faced with error when call fitResults() method: ...