Questions tagged [quantlib]
Quantlib is an open-source C++ library for quantitative finance.
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SOLVED Manually Recomputing Forward Rates from QuantLib Python
I have used QuantLib Python to compute 1-month forward rates from zero rates as at 05 December 2019.
My codes can be found below:
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Running Quantlib with Visual Studio Code in Windows
I am trying to run Quantlib with Visual Studio Code in Windows.
A bit of background, I am able to run Quantlib with Visual Studio 2019; however due to the lack of support in my company, I cannot ...
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49 views
Quantlib: loan cash flow
Situation: I would like to make a small script which prices loans (fe annuities or fixed payment) for the ALM purposes. However, I am stuck in the amount of classes existing in Quantlib and would like ...
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34 views
CDO tranche pricing
I am trying to use the CDO class from Quantlib in C++. Can I see an instance of using this class to price tranche of a CDO. I want to see what the input for default probability term structure and ...
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1answer
74 views
In Python QuantLib how to identify Principal and Interest cashflows?
I am fairly new to QuantLib Python. I have generated the following cashflows from one AmortizingFloatingBond from QuantLib Python. But I am not able to identify which ones are Interest payments and ...
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1answer
81 views
NPV of Interest Rate Swap not coming to be 0 at initiation
I am using the iPython notebook published by Gouthaman Balaraman at [http://gouthamanbalaraman.com/blog/interest-rate-swap-quantlib-python.html][1]
This is to value the Interest Rate Swap. I am ...
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51 views
Using QuantLib for bonds with irregular coupon payments
Could you please help properly use QuantLib python library to estimate different metrics of bond with uncommon coupon payment periods? For example, I have a bond, which pays coupon each 182 day (26 ...
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1answer
51 views
How To Properly use QuantLib to Replicate Excel's MDURATION Function
just wanted to ask how to use Quantlib on replicating Excel's MDURATION.
Given the following parameters, I was able to get a value of 4.478837 via MS Excel's MDURATION Function.
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1answer
148 views
Quantlib Black Model for Commodity Options (Interest Rate Options) is extremely light on gamma and price vs BBG, is model incorrect?
I am using the QuantLib developers example to try and price a TY option. The Delta is pretty close but the price and gamma are way off (almost by a factor of 2).
Am I using the model wrong or is the ...
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60 views
Plotting a CSA curve in QuantLib
IRS under a CSA
Let's consider an example of Interest Rate Swap under a CSA.
To calculate discount factors that can be used to discount cashflows in one currency, $C_{1}$, collateralized in another ...
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23 views
end of month is being applied to the termination date in quantlib schedules
According to the QuantLib-Python Documentation for the Schedule function
endOfMonth : If the start date is at the end of the month, whether other dates are required to be scheduled at the end of the ...
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1answer
86 views
How to compute NPV of Latin American swap CLP-TNA (chilean) using quantlib?
I am trying to value the Latin Americans swaps. But CLP-TNA valuation is far off from the actual valuation. Please suggest, what I am missing in below methodology to compute NPV.
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62 views
How to compute the Brazilian Plain vanilla swap using Quantlib?
How to compute the BRL plain vanilla swap. I have followed the below methodology to calculate the valuation for other indexes but BRL-CDI is far off from actual valuation. Please suggest if anything ...
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2answers
84 views
Problem with bond.bondYield Quantlib
I'm having issues with a simple FixedRateBond bond yield calculation using QuantLib:
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40 views
QuantlibXL - How can I define a volatility surface using moneyness instate of strikes?
I wonder if in the function qlBlackVarianceSurface() I can replace the strikes for moneyness and then price the option using the spot = 100% and the option strike = Original_Strike / Original_Spot.
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47 views
DV01 on IRS giving error in Quantlib for ZAR curve “1st iteration: failed at 14th alive instrument”
I am at my wits end to calcualte the DV01 of a swap but keep getting the error "RuntimeError: 1st iteration: failed at 14th alive instrument, pillar May 28th, 2024, maturity May 28th, 2024, ...
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66 views
Bates Model on Quantlib
I am actively trying to price an option using bates model on Quantlib.However,when I input my volatility I find the same Black Prices with the basic Heston Model.I wanted to know if my code was right.
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44 views
Pricing a amortizing callable danish mortgage bond using quantlib
I am trying to price a callable fixed rate amortizing danish mortgage bond. since QuantLib only has CallableFixedRateBond i have created a dervived class called <...
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1answer
100 views
USD Swap curve prices do not line up with inputs
As mentioned in the title, i'm having trouble with pricing USD swaps in quantlib.
I wanted to take some inputs (Prices of swaps in the market) and be able to construct a yield term structure that ...
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2answers
83 views
Python QuantLib FuturesRateHelper issue
I'm trying to do bootstrapping using some future rates however encountered some errors below. A reproducible case is as follows:
this is constructing a future rate helper with 'IRM1 Comdty' from ...
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1answer
64 views
Calculate DV01 for a vanilla swal for MXN index using quantlib
I am trying to calculate dv01 for a vanilla swap using quantlib. Its a MXN TIIE Swaps for built an index like
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1answer
41 views
Sorting SimpleCashFlows in QuantLib
I would like to sort SimpleCashFlow(s) according to date. I am having trouble incorporing the the less than function < in std::sort
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1answer
68 views
Calculate Fixed Rate on Vanilla Swap in Quantlib
I am trying to calculate dv01 on the vanilla swap using quantlib but not able to understand how to calculate the fixed_rate. In all the examples it's a hardcoded value which is not right. Any ...
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1answer
86 views
Canada House Trust Floater pricing
I am using python quantlib, according to one of the Quantlib sample code to evaluate the CHT (Canada Housing Trust) Floaters, and the index I am using is CDOR, and somehow the price I got is always ...
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74 views
QuantLib-Python Libor Market Model
It appears that QuantLib-Python does not include Libor Market Model, although the C++ version has it.
(https://rkapl123.github.io/QLAnnotatedSource/d5/d8d/class_quant_lib_1_1_market_model.html)
Is ...
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52 views
QuantLib Python currency conversion
A simple code below to do currency conversion copied from QuantLib-Python Documentation. This is failing in the EUR to GBP conversion (in the last line of code). Thank you for looking into this.
The ...
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56 views
Black Standard Deviation in QuantLibXL
I was having a doubt about a fucntion in the QuantLib add-on for excel.
What is the formula for the function: qlBlackFormulaImpliedStdDev(...)
I know that there ...
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2answers
129 views
Repricing SOFR Quotes and Non-Zero NPV
I generated/calibrated a SOFR Curve using Quantlib Python and would like to know why when repricing the swaps have non-zero NPVs. Appreciate any assistance. Thank you.
Parameters
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263 views
Replicating Bloomberg Swap Prices with QuantLib
I'm trying to learn more about the QuantLib python package and as an exercise I'm trying to replicate some swaps on Bloomberg. However, when I do so, it seems like my swaps are consistently ...
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0answers
66 views
CDS option pricing in Quantlib Excel (QuantlibXL)
I am trying to price an index CDS option using QuantlibXL. Anyone aware of an existing template sheet or sample formula for creation of CDS and CDS objects? The sample template sheets provided with ...
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82 views
Calibrating Hull-White 2 Factor in Quantlib
I am trying to calibrate Hull White 2 factor model in Quantlib in Python. Since, the Quantlib doesn't have Hull-White 2 Factor, I am using G2(Gaussian 2-Factor Model).
Ideally, the interest rates ...
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0answers
22 views
MC Simulation using G2Process Evolve function
I am trying to simulate the IR for G2 Process using the following code. However, the initial value of the simulation starts with zero. I want to initialize the simulation using a starting value.
Is ...
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108 views
Rebonatos's formula in C++
I'm trying to code in C++ Rebonato's formula for swaption volatilities
$$ v_{\alpha,\beta}^2=\frac{1}{T_\alpha} \sum_{i,j=\alpha+1}^{\beta} \frac{w_i(0)w_j(0)F_i(0)F_j(0)}{S_{\alpha\beta}^2(0)}\rho_{i,...
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35 views
QuantLib forward dates not matching
I am getting forward swap rates from spot rates of various different curves (3M USD Libor, 6M GBP Libor, 6M Euribor, Fed Funds, SONIA & EONIA):
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41 views
Calculation Option Greeks per day using Quantlib
I'm trying to calculate option greeks and impVol for a series of European index options (they are in a DataFrame) using QuantLib. Is there a way to get the Greeks and impVol on a daily basis?
Thank ...
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1answer
68 views
Configuring barrier option in Quantlib-Python
Is there a possibility to configure the period the barrier is active, using Quantlib for python? Namely to set up the start and the end dates we compare the spot vs the barrier.
If we look at quantlib-...
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63 views
How to build Basis Swap Instrument for Libor Curve Bootstrapping
I am trying to bootstrap LIBOR curve in QuantLib-Python similar to what Bloomberg does.
I need to create Basis Swap instruments for this but I could not find any helper like basis swap rate helper (...
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1answer
174 views
Quantlib Calendar Advance
Hi I'm trying to advance a business date (28-12-2012) by 1 day and 1 week according to the Japan calendar.
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632 views
Nelson-Siegel-Svensson Yield Curve Estimation From Zero-rates Using QuantLib (Python)
I am using QuantLib in Python to estimate yield curves using the Nelson-Siegel-Svensson (NSS) model with zero-rates as input. Since the NSS model in QuantLib uses the discount function to estimate the ...
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36 views
Import an external term rates structure in QuantLib
I need to create a Monte Carlo simulation for a Hull-White process. I have the term rates structure already given in a csv, and imported it into Python with the name "rates".
However, I have ...
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1answer
47 views
Quantlib error initializing CapFloor C++ Class
I'd like to use QuantLib as a C++ library to price interest rate derivatives, in particular Cap&Floors. To semplify things a little, let's say I have a vector of EURLibor1Y rates for different ...
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1answer
198 views
QuantLib Python: how to calculate duration and convexity for irregular cashflows? Can I use SimpleCashFlow or must I define a custom bond?
I have 2 questions:
If I want to discount a set of irregular cashflows, I can do it using the SimpleCashFlow class, or defining a bond with custom cashflows (thank you to Ballabio and David Duarte for ...
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1answer
73 views
QuantLib Python: why is the NPV different? NPV(0.1,[0,110]) should be 100, not 99.53
I am trying to learn QuantLib for Python. Further to my previous question on the syntax for CashFlows.npv(), now that I understand how the syntax works, I have a question on why the output differs ...
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2answers
180 views
QuantLib Python: how to calculate the npv of irregular cashflows?
I am trying to learn QuantLib for Python but I must say I am banging my head against the documentation (I also bought Ballabio's python cookbook) - maybe it's me, but even finding the most basic ...
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1answer
294 views
Converting pandas datetime to QuantLib dates: why do the inputs need to be converted to int only some times? It seems random
I am trying to use the QuantLib library with Python.
In the example below, I create a pandas dataframe with some dates and some cashflows, convert the dates from pandas' format to QuantLib's, and use ...
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2answers
202 views
Getting quarterly forward rates with QuantLib
I am trying to build a quarterly forward curve with 3 month USD Libor swap rates from 1Y to 50Y as inputs.
From other posts I have looked at, I have managed to come up with this code so far:
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1answer
141 views
QuantLib constructing yield curve error: root not bracketed
much appreciated if anyone can help with the below, basically i'm trying to construct a yield curve using some real market data. I have pasted the python code below. I use a list of swap rates and ...
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92 views
question on QuantLib schedule to get bond coupon payment dates - python
sorry the original question was answered by an expert but somehow I cannot edit the original question and add comments. so posting it again with some follow up questions:
i have a number of bonds that ...
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2answers
455 views
QuantLib python ql.schedule getting end of month dates
i'm trying to get payment schedule of a bond that pays coupon quarterly. value date is 2020-04-01, first coupon date is 2020-06-30, maturity date is 2022-09-30. so I expect to have a list of dates:
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49 views
Why do I get different results from different credit pricing engines in QuantLib
I am trying to use three credit pricing engines: IsdaCdsEngine, MidPointCdsEngine and IntegralCdsEngine but I am getting different NPV results from each of them. The case is like this: When I have as ...
