Quantlib is an open-source C++ library for quantitative finance.
15
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4answers
1k views
8
votes
1answer
829 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 ...
7
votes
1answer
964 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
...
5
votes
1answer
371 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 ...
4
votes
2answers
1k 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 ...
3
votes
3answers
829 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 ...
3
votes
1answer
288 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
votes
0answers
59 views
RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?
Please, consider the following functions from RQuantLib package:
FixedRateBond()
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1
vote
1answer
327 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 ...
