562 reputation
112
bio website
location
age
visits member for 1 year, 10 months
seen Aug 20 at 7:20

Aug
1
asked QuantLib: Black / BSM processes and pricing via volatility surface. Different results?
Apr
3
asked Weighted average implied optionlet/swaptions volatility
Feb
26
asked What's the link between EURIBOR3M futures volatility and rates volatility?
Feb
24
asked Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?
Jan
12
asked Expected payoff and weighted average price
Nov
29
asked How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
Nov
8
asked How to sum interest rate curves in QuantLib
Oct
23
asked Fixed Income free research available online
Oct
18
asked From $AR(p)$ to SDE
Oct
3
asked Pricing Fixed-To-Floater bond in QuantLib
Sep
21
asked Implied term structure from risky discount curve: does it make sense?
Sep
19
answered Automatic fixing of missing floating rate in QuantLib's addFixing()
Sep
19
asked Automatic fixing of missing floating rate in QuantLib's addFixing()
Sep
18
asked Definition of “tenor” argument in QuantLib's Schedule class object
Sep
5
asked How to price a bond at specified dates in QuantLib
Aug
30
asked QuantLib error with qlPiecewiseYieldCurveData() on qlPiecewiseYieldCurve() with ZeroYield and ForwardRate
Aug
28
asked What is the best solution to use QuantLib within Excel?
Aug
23
asked Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Aug
13
asked Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output
Aug
2
asked Time-varying correlation via state-space representation and Kalman filter