All Questions
9 questions
0
votes
0
answers
44
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Quantlib Heston MC Discrepancy between methods
I am a newbie at Quantlib (not finance) and am trying to price with the Heston model. I have implemented two different ways to verify the correctness of the Heston path generation to use in a custom ...
- 233
2
votes
1
answer
375
views
QuantLib Python: How to print each caplet/floorlet value, intrinsic value and time value at each fixing date?
I have the following code to price a floor (can also be used for cap), and have been computing the payoff myself, but I think QL can already do this. Since the cashflows I print out aren't correct as ...
2
votes
1
answer
385
views
How do you handle non integer time intervals in Quantlib for options pricing (ie intraday pricing)
I'm using QuantLib (python version) for options pricing, and am trying to figure out how to handle non integer dates. If you try and price an option at 9:30 AM and at 4 PM, you should get different ...
- 123
2
votes
1
answer
1k
views
QuantLib Inaccurate - American Put Option with Discrete Dividends
I'm trying to use the QuantLib library to price American options that pay discrete dividends.
The call options are priced with good accuracy (generally <0.1% error), however the same inputs for a ...
- 21
0
votes
1
answer
2k
views
CDS Option pricing in quantlib python
I am newbie in Python and I am trying to price a CDS Option in quantlib Python. I have the below code:
...
user47760
4
votes
1
answer
2k
views
QuantLib Python: caplet/swaption pricing under dual curve
Is there a way to price caplets/swaptions in QuantLib python (v 1.6.2) under dual curve i.e. pass projection curve for forwards and discounting curve for discounting the cash flows?
Goutham has an ...
- 702
3
votes
1
answer
887
views
Quantlib - model changes in option value on day of expiry
I'm trying to model option value changes during the progression of the last trading day before expiry. All option pricing Quantlib examples that I've seen work with day-level granularity. I'm ...
- 133
2
votes
1
answer
979
views
How to price touch options using quantlib?
I am new to quantlib and I want use it to to price a touch option (single/double).
I searched on google for example code but I could not find anything. Hence, I am ...
- 123
0
votes
1
answer
247
views
Binary Option valuation problem in R using RQuantLib; also result validation aspect
When I am trying to value Binary Option using RQuantLib I am not getting all the greeks for exctype "american" wheras "european" exctype is fine. What is the problem here ?
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- 335