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I recenlty wokred on a similar problem and solved it with the help of Quantlib library. Assuming you are working with EUR and USD: get cross currency (xccy) swap data EUR / USD. You want to know how the xccy is collateralized and if Mark-to-Market resets apply to the USD leg. get interest rates swaps fixed vs ois / 3m / 6m in EUR and USD build USD/...


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For a few standard option types under Black-Scholes you can also cross-check your results using this free option pricing application. It does vanillas, barriers (continuous and discrete monitoring) and Asians (arithmetic, discrete sampling), all with European/Bermudan/American exercise. It has two separate engines, PDE/Finite Differences and Monte Carlo, ...


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Unless all of your yields are par yields (yield of bonds trading at par), you'll get very unreliable results if you fit your curve using yields alone. This is because yields can be distorted by the coupon effect – given two bonds maturing on the same day and assuming the yield curve is upward sloping, a higher coupon bond will always have lower yield. What ...


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Neither the additionalResults nor the result method are exported to Python via SWIG. This is unlikely to change in the future: result is a template method, and it can't be exported to Python as such, whereas additionalResults would require a sensible way to export boost::any to Python and to convert it to a given data type. If you can recompile the QuantLib ...



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