Questions tagged [quantlib]
Quantlib is an open-source C++ library for quantitative finance.
293
questions
2
votes
2answers
40 views
Building a percent of floating rate IRS in QuantLib
Just starting to learn Quantlib for Python.
I am trying to figure out how you create an interest rate swap where the floating leg is a percent of the floating index. For example, the floating leg ...
0
votes
0answers
21 views
What is the meaning of these parameters in the Valuation class?
I am studying the valuation engine for a typical IR Swaption named G2SwaptionEngine.
The class reference is available in :
https:...
1
vote
0answers
25 views
Quantlib Yield Curve given spot and forward rate
Is it possible to create a yield curve, given the spot rate and the forward rate?
0
votes
0answers
52 views
Bootstrapping Swap Curve
I am trying to get the zero rates from the swap curve for chilean pesos (vs Camara). I tried this code (from a previuos question similar to mine from other person) and I am very close to get the ...
0
votes
1answer
71 views
Why Yield cannot be calculated for short dated Bonds using Quantlib
I am trying to calculate a yield from a clean price using Quantlib for Bond.
I play a lot with the Quantlib samples (Bonds.java) and succeed but when I change to set today close to maturity, Quantlib ...
0
votes
1answer
108 views
Instrument valuation using Monte Carlo simulation with Quantlib
I am looking for some example to value an American swaption using monte carlo simulation of ...
1
vote
1answer
32 views
Failing to create Quantlib's LM Fixed Volatility Model object
I want to create am LmFixedVolatilityModel object as defined in http://www.jquantlib.com/en/latest/_static/javadocs/0.2.6-SNAPSHOT/jquantlib/index.html?org/...
2
votes
1answer
77 views
Bootstrapping OIS curve
I am trying to get a zero curve from a series of EONIA-based OIS rates with Quantlib. When comparing my output with Bloomberg, I find some differences (see at the end of the question), and and I don't ...
0
votes
1answer
34 views
QuantLib Compounded vs CompoundedThenSimple and Simple vs SimpleThenCompounded
I was experimenting on a FixedRateBond on QuantLib python port and have a question on the use of Compounded vs. CompoundedThenSimple methods of discounting.
I am using the FixedRateBond.dirtyPrice() ...
0
votes
1answer
68 views
Struggling with Modeling Convertible Bond using Python
I am trying to price Convertible bond with the following data:
price = 5.11
coupon = 0.0575
frequency = semi-annual
risk free rate = 0.02347
conversion Ratio = 3.8095
Conversion Price = 26.25
...
0
votes
1answer
50 views
dirtyPrice() and discounting curve on QuantLib
I am pretty new to Quant field and QuantLib and have been having the following problem when trying to model a very simple fixed rate bond using Python.
It looks like the library does not use the ...
0
votes
0answers
38 views
How to Calibrate SABR parameters by fixing Beta(Quantlib XL/Python)
Unable to find a good example for either Quantlib XL/Python where we can calibrate Alpha, Rho and Nu by fixing Beta. Any help would be appreciated
0
votes
3answers
96 views
0
votes
0answers
34 views
Is there an example on how to build ZABR model in Quantlib Python?
I am relatively new to quantlib. I am trying to build a ZABR model in Quantlib Python and was trying to do it on Excel first. Upon some research, found that it is not available on Excel yet.
However, ...
1
vote
1answer
110 views
Is there a ZABR model on Quantlib XL
I am relatively new to QuantlibXL and would like to build a ZABR model in excel. But I cant find much help online. Any help would be appreciated
0
votes
1answer
46 views
Number of days between two dates based on a given a calendar
I wanted to calculate the number of trading days between 2 given days. There is a discussion in https://stackoverflow.com/questions/62292979/using-quantlib-in-python-how-do-i-get-the-number-of-days-...
0
votes
1answer
57 views
Is there any way to avoid using Handle
I was trying to replicate one example from
http://www.bnikolic.co.uk/blog/ql-fx-option-simple.html
In QuantLib general practice is to use Handle to manage change in ...
1
vote
1answer
62 views
Forward Swap Rate calculation using Quantlib
Here, we have an example for the calculation of Forward Swap Rate - How to compute forward swap rates?
Below is my Forward Swap -
...
0
votes
1answer
70 views
How to implement the Gaussian one factor model for Short rate
I am struggling to understand how I should use the Gaussian one factor model for short rate for valuation of a Swaption. Below is my ...
1
vote
0answers
44 views
Unable to find QuantLib-Python bindings for Synthetic CDO
I am trying to price a Synthetic CDO using QuantLib Python. Unfortunately, I am unable to find any suitable CDO pricing engine ported into Python. They do exists but in C++ as per my preliminary ...
2
votes
1answer
205 views
SABR Model Pricing Engine in Python QuantLib
I am looking for a SABR model pricing engine in Python QuantLib setting. I do know that it exists in C++ version, but not sure if available in Python. Any suggestion/feedback with respect to Python ...
0
votes
2answers
63 views
Issue in Pricing Binary Options using Heaviside Function and QuantLib Python
I am trying to price binary option using MC Simulation and Python QuantLib Library. The price of the option matches with the Analytical Engine. However, I am not sure how to incorporate the Heaviside ...
0
votes
1answer
38 views
Issue in Pricing Barrier Options using MCBarrierEngine in QuantLib Python
Extremely sorry for bugging the community again, but I am struggling with finding proper documentation of QuantLib Python. I am trying to price Barrier Option using MC Simulation. Here is the code:
<...
1
vote
2answers
70 views
Unable to find Price of Asian Option using Explicit Finite Difference Method by implementing QuantLib in Python
I am trying to find price of Continuous Geometric Average Asian Option using Finite Difference methodology in QuantLib Python. I am unable to do so. However, I am able to find price of the same option ...
0
votes
1answer
55 views
Running Quantlib with Visual Studio Code in Mac
I wanted to run Quantlib with Visual Studio Code in Mac. I have successfully installed ...
1
vote
1answer
127 views
QuantLib Swaption Vol Cube
I am currently trying to price swaptions under QuantLib/Python using a volatility cube using ql.SwaptoinVolCube2. From the documentation:
...
0
votes
1answer
63 views
Calculating the Option price using Quantlib
I can calculate the fair price of a European Option using Quantlib as below -
...
0
votes
0answers
81 views
Option implied data from CME
I am trying to extract the risk free rate and volatility from the traded American options with expiry Nov-2020 from CME. https://www.cmegroup.com/trading/metals/...
0
votes
0answers
39 views
Pricing options with Bermudian style
I need to price an Arithmetic asian option with Bermudian style exercise option where, exercise can happen at either of 2 fixed dates.
However for each possible ...
1
vote
1answer
66 views
Questions on the Day count issue in Bond pricing
I failed to understand how does QuantLib manage the day-count issue when determining the actual Coupon payment. Below is my Fixed Rate Bond -
...
0
votes
1answer
52 views
How to price an Annuity
When we price a fixed rate bond using Quantlib, we generally take below approach -
...
0
votes
1answer
49 views
Bond portfolio valuation in Quantlib python
I have a table of bonds which I imported into python using pandas.
Is there a way I can simultaneously price all of them in python using the Quantlib library. I know how to price one bond but not in a ...
0
votes
1answer
124 views
Quantlib: How do I price a ZC bond using the Hull White model?
I am trying to use QuantLib to model short rate and looks like QL has some material here
http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html
I have been able to simulate ...
0
votes
1answer
62 views
Option price quantlib
I am lookin at https://github.com/lballabio/QuantLib/blob/master/Examples/EquityOption/EquityOption.cpp . I want plot a graph of the option price for different underlying prices. Other than changing ...
1
vote
1answer
76 views
Quantlib: How do I price a bond after having built a term structure
I below are my codes using QuantLib to build a term structure
What I would like to do is use that to price any hypothetical bond lets say
startdate : 8 Feb 2016
end date : 8 Feb 2021
coupons : 10% ...
2
votes
1answer
188 views
Pricing Variance Swap [closed]
I want to calculate the NPV of a Variance Swap wherein the cash flow happens every months based on the standard Variance formula of the close prices of S&P500 ...
0
votes
1answer
57 views
Is there a way to create a custom calendar using a holiday and weekend list in quantlib [duplicate]
We have a data set up that provides us a list of holidays and weekends which is different from the country or currency calendars.Is there any method exposed in Quantlib calendars which expects a list ...
1
vote
1answer
48 views
QuantLib in Python - RuntimeError: could not bootstrap optionlet:
I receiving the following error when I try to compute a cap price. However, I'm not sure how to solve this error.
" error: nu (-1.00062) must be >= -1.0 expiry: June 4th, 2020
annuity: 0....
5
votes
1answer
176 views
Bootstrap with QuantLib: Fair Swap or zero NPV
In all brevity
What is the termination condition used in QuantLib's curve bootstrapping?
Can I modify this setup to my needs, e.g. can I tune this to a higher accuracy?
Background
When bootstrapping ...
0
votes
0answers
32 views
How to implement CallableFloatingRateBond in QuantLib?
Is there anybody has any idea (or any C++ code) to implement the pricer for the CallableFloatingRateBond in QuantLib. I want to discount and forecast the cash flows on the tree using the Hull White ...
1
vote
1answer
115 views
FX Forward rate agreement valuation in quantlib
I am trying to value an FRA in quantlib Python using the below code:
...
0
votes
1answer
60 views
How to make futuresHelpers in Quantlib work with monday settlement day not IMM?
My EuroDollar futures have monday of third week expiration and settlement date from CME exchange how ever Python Quantlib doesn't seem to like it. Anyway I can get away with IMM check?
futures = { ql....
0
votes
1answer
103 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:
...
0
votes
1answer
27 views
How to calculate basis swap fair spread Using Quantlib 'floatfloatswap'?
I am trying to calculate a single currency basis swap by using the Quantlib floatfloatswap function.
Please advice if I am doing wrongly.
...
0
votes
1answer
48 views
Swap date doesn't match
I use quantlib to bootstrap yield curve from deposit rate, future price and swap rate. But after I get curve, the date in curve.nodes() doesn't match the date of swap.
Here is the code:
...
0
votes
1answer
119 views
float float swap in quantlib
I'm using quantlib to calculate a fair spread of Libor/OIS swap. I have read the reference of ql.Swap and ql.FloatFloatSwap. But the document is too vague. I totally can't understand what parameters ...
0
votes
1answer
56 views
How to handle ON, TN, and S/N in quantlib
I'm wondering how to precisely handle the quote convention of ON, TN, and S/N of FX quote. How to handle these convention in quantlib.
Here is my code, is that correct?
...
3
votes
1answer
91 views
Quantlib-Python: Can anyone help me understand how enableExtrapolation works?
I found 'enableExtrapolation' in many curve-building examples but can only guess. Can anyone help me to understand it? It will be perfect if there are examples to show how it works. Thank you very ...
0
votes
1answer
72 views
Quantlib : How to resolve ' more than one instrument with pillar' in valuing swaps?
I had valued interest rate swaps of most of the currencies keeping my valuation date as 13th Sep 2019. But I faced a problem of 'RuntimeError: 2nd leg: more than one instrument with pillar December ...
0
votes
0answers
53 views
How to find Flow of Funds and Money Trail in Python for Finance
I'm trying to find Flow of Funds and Money Trail using python
but i'm stuck in middle of it not understanding what to do next
My Main goal is to finding Flow of Funds i.e flow of transaction from ...
