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Mar
22
comment How to setup quantlib
Also, the instructions at your link seem outdated. Use the official ones on the QuantLib site instead: quantlib.org/install.shtml
Mar
22
comment How to setup quantlib
The error message is telling you how to fix it: "To disable this warning, use -D_SCL_SECURE_NO_WARNINGS." This should just be a warning, though. Are you sure you're not using some flag that tells the compiler to treat warnings as errors?
Feb
9
awarded  Yearling
Dec
12
answered Finite difference methods
Dec
2
comment How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
It depends. The cleanPrice and dirtyPrice methods discount to the settlement date (which moves with the evaluation date) and thus would return the same figures as when using the implied curve. On the other hand, the NPV method discounts to the reference date of the curve, so the result would be different. But even if it worked, it feels more like an unintended side effect than like something I'd document...
Dec
2
comment Pricing Fixed-To-Floater bond in QuantLib
That would work, too. Or you could just write a function that takes the same arguments and returns a vector of cashflows that can be passed to the existing Bond constructor.
Nov
30
answered How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
Nov
11
comment How to sum interest rate curves in QuantLib
As for the comment: if the spread were time-dependent, the shortcut would no longer apply.
Nov
11
comment How to sum interest rate curves in QuantLib
I think it's a leftover from a previous implementation. The idea was that of a shortcut to gain some performance; a constant spread over zero rates gives an equal constant spread on forwards, so we coded it directly instead of relying on the default implementation (which performed a numerical differentiation). But you're right, it's not used anymore and should disappear.
Nov
9
answered How to sum interest rate curves in QuantLib
Nov
8
comment How to sum interest rate curves in QuantLib
What are the spreads you're using for the second curve? You're passing them to SwapRateHelpers, so you're using them as swap rates; that is, you'll build a curve on which swaps paying those (fixed) rates are priced at par. Is this correct?
Oct
3
answered Pricing Fixed-To-Floater bond in QuantLib
Sep
30
awarded  Supporter
Sep
25
comment Setting up Schedule for an amortizing floater in QuantLib
As for the price, you might want to check the compounding you're using. With the default parameters, a flat 7.40 curve means 7.40 continuously compounded, which doesn't give a 7.40 Libor fixing.
Sep
25
awarded  Commentator
Sep
25
comment Setting up Schedule for an amortizing floater in QuantLib
Yes, the coupon amount is the index value plus the spread in the constructor, but you can't change the latter once the bond is built. My suggestion to add a spread to the forecast curve instead was to avoid instantiating a new bond at each solver step. Also, if you want the spread to affect discounting, you'll be able to use the same quote instance to add the spread to both forecast and discount curve.
Sep
23
answered Setting up Schedule for an amortizing floater in QuantLib
Sep
23
awarded  Editor
Sep
23
revised Setting up Schedule for an amortizing floater in QuantLib
A few lines in the code snipped were not indented and thus rendered as text instead of code.
Sep
20
comment Automatic fixing of missing floating rate in QuantLib's addFixing()
Yes, you can also do that. But you can be more casual about creating IborIndex objects, since all those corresponding to the same index (say, all the Euribor 3M instances) share the fixings. If you add the fixings to one instance, other instances you'll create will see them, too.