New answers tagged programming
3
votes
Accepted
QuantLib Python: Calculate ZSpread
You can see the interface of zSpread declared at https://github.com/lballabio/QuantLib-SWIG/blob/v1.33/SWIG/bondfunctions.i#L146.
It takes a shared_ptr to term ...
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-1
votes
QuantLib Python: Calculate ZSpread
The error message suggests that there may be an issue with the number or type of arguments you are passing to the BondFunctions.zSpread function.
The ...
- 172
0
votes
Accepted
Portfolio optimization with Scipy in Python
Strictly speaking, when you borrow (lend) at the riskless rate for the Sharpe-maximized-portfolio you move up (down) the capital market line (CML) as shown below. The return-vol ratio you used above ...
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Why there is a Deviation on my RSI indicator in comparison from one of the other Trading Markets
One technique I've used to narrow down differences in methodology by the various trading platforms is to use IPOs (starting at the IPO date), this way I am guaranteed that there is no historical data ...
- 101
0
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How to calibrate a volatility surface using SSVI with market data?
The issue to my problem was a misalignment between the volatility used in my Black Scholes pricing function and the one used for the ATM IV in the SSVI. My BS vol was a decimal (e.g. 0.1345) whereas ...
3
votes
Accepted
GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
If you intend to find the zero rates or the discount factors of the OIS curve for GBP then I would use the following approach where instead of using ...
- 301
0
votes
Is alpha vantage api for fundamental data reliable?
https://simfin.com has quite robust fundamental data in the same price range as AV. Also bulk download and web API.
- 101
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