Questions tagged [quantlib]
Quantlib is an open-source C++ library for quantitative finance.
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30 views
QuantLib - Synthetic deposit/FRA rates in yield curve
In my flat forwards dollar curve implemented in QuantLib I would like to add the following instrument:
Today is 12/28/2018
Pillar quote is 1% p.a. (ACT/360)
Pillar start is 1/30/2019 (specific ...
1
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0answers
51 views
How to price equity options using a Black76 implied volatility surface?
I would like to calculate the fair value of american and european options on various equities and indices using QuantLib C++. Since I do have discrete dividends available for most underlyings, I use <...
3
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1answer
64 views
QuantLib: BondFunctions.zSpread does not match clean price “exactly”
I am using QuantLib to compute prices of fixed rate bonds in different scenarios. In the first step I would like to replicate the current market price by adjusting the yield curve with the zspread. ...
0
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1answer
43 views
TermStructure/Evaluation Dates in Quantlib
i'm puzzled by the way Quantlib handles the evaluation date in the yield term structure classes. I have the following code as example:
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-1
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1answer
132 views
How to use QuantLib in C# easily?
I am not good at environment setting. Sometimes I use QuantLib in Python. Now I am wondering if there is a instruction on how to use QuantLib in C#. I looked at the QuantLib web page, but there is not ...
0
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1answer
114 views
Structured Payoff Scripting in QuantLib
I'm trying to price a snowball payoff in quantlib and would like to create a payoff like:
$$Coupon = PreviousCoupon + FloorPayoff$$
Would the payoff class be able to reference the previous coupon? ...
0
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1answer
44 views
how to change the value set by the addFixing method in QuantLib
Suppose we have had constructed an index for forecasting future interests of a floating bond, and as suggested by the official document, I used addFixing method to set a past fixing for the current ...
0
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1answer
79 views
Swing option pricing in QuantLib-Python
Is it possible to use the QuantLib python wrapper to price swing options? I've seen the QuantLib Github repository contains a C++ implementation, swingoption.cpp, but have found no reference to swing ...
0
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0answers
138 views
Calculate tenor wise DV01 of a Swap in Quantlib Python, i.e. Key-rate Duration
Is there a way I can get DV01 breakup of a Swap across different tenors of the deal in Quantlib-Python. The question asked here, follows the basic method of re-valuing the swap by shifting the curve ...
3
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1answer
172 views
Quantlib derivative valuation from zero curve
I have newly started with Quantlib-Python for valuing derivatives. In all the examples stated in this bolg or in other places, market quote is inserted and bootstrapping is done via individual rate ...
3
votes
1answer
118 views
QuantLib in Python : Execution time with OISRateHelper compared to Swap/Deposit RateHelper
I have been working on valuation of interest rate swaps using dual curve bootstrapping. And for this I use OISRateHelper to create a discount term structure using OIS rates. The entire code below :
<...
0
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0answers
58 views
G++ calibration and simulation
I am trying to calibrate and run a monte carlo simulation using the Gaussian 2 Factor in Quantlib Python. However, I am getting the error message as follows:
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5
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1answer
139 views
OpenGamma's Strata - Computational Overhead
I've been looking at the open-source library Strata (maintained by OpenGamma), which is written in Java.
Now, upon inspection of the FX Forward Pricer and Payment Pricer I noticed two things:
All ...
0
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0answers
156 views
Quantlib Python: Issue withg Heston MC Paths generation
I am trying to price a corridor Variance Swap with Heston.
I am generating paths with the following code, however I get weird results of the MC simulation.
Any idea why ?
...
0
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0answers
56 views
Quantlib : How to get fixed leg NPV?
for my project using Quantlib 1.13 C++, I have to create a swap by creating each leg separately. So for instance in the case of a Vanilla swap, I have a Leg corresponding to a vector of ...
0
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0answers
32 views
Understanding QuantLib qlYieldTSForwardRate
I'm trying to understand the QuantLibXL function qlYieldTSForwardRate() but the QuantLib manual is not of much help so I'm hoping to find answers here.
I think I ...
0
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0answers
28 views
How can I use advance(startDate,…) or another RQuantLib function to invert yearFraction(startDate, endDate, …)?
I am using RQuantLib. I would like to convert back and forth (accurately) between a future date and a year fraction from a reference date. But I have been unable to convert reliably between the output ...
1
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2answers
111 views
How to change the YieldTermStructureHandle's referenceDate in QuantLib
Suppose we have already known the dates and rates of a spot rate curve, and I passed the data to the ZeroCurve class to construct a discount curve for bond pricing. What I wanna find is how to change ...
2
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2answers
254 views
QuantLib-Python: How to set fixed reference dates when bootstrapping the term structure?
I am borrowing from an example in the "Quantlib Python Cookbook" section 7, to ask my question. To make the point as clear as possible I simplify the code a bit. The aim is to strip the EONIA curve ...
1
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1answer
95 views
Using DayCounter ActualActual.ISMA in QuantLib
Suppose we have a semiannual coupon bond. The calculation date is 5/8 2017. The ex-coupon date is 4/20 2017 and next coupon date is 10/20 2017.
...
1
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1answer
112 views
QuantLib-Python: What is “index = Euribor1Y(term_structure)” doing?
I am currently reading thorugh the QuantLib-Python cookbook to learn about this nice pice of software. On page 141 I encountered a block of code that made me wonder what it is exactly doing.
The code ...
2
votes
1answer
88 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 ...
1
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1answer
276 views
Pricing fixed coupon bond with ytm in QuantLib python
I'm new to QuantLib and I'm confused about ZeroCurve in YieldTermStructureHandle
The start date is Oct 20, 2001. Assuming the ...
0
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0answers
157 views
Heston Wrapper for QuantLib
As a follow up to my question here, I have written a (hopefully) easy to use Python 3 Wrapper around the excellent QuantLib library. My wrapper abstracts away all the QuantLib machinery under the hood ...
2
votes
1answer
97 views
QuantLib-Python: Splitting the NPV of an option into intrinsic & time
I am right now working throught the "cookbook" of Goutham Balaraman & Luigi Ballabio. By the way a very nice introduction into QuantLib-Python and a good starting point :-)
In section four there ...
1
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1answer
302 views
QuantLib-Python: Getting a list of all holidays between D1 & D2 with function “holidayList”
I figured out that the C++ version of QuantLib offers a function called holidayList in the calendar class.
...
0
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0answers
66 views
Different scaling conventions for greeks
I have been following this tutorial (http://gouthamanbalaraman.com/blog/value-options-commodity-futures-black-formula-quantlib-python.html). It says in the conclusion and I quote:It is worth pointing ...
2
votes
1answer
128 views
Why we should specify the evaluation date when using Quantlib yield curve? And why updating the evaluation Date is time consuming
I was runing some tests using the yield curve structure in quantlib mainly: PiecewiseYieldCurve
It seems that I have to fix the evaluation date using such a line :
Settings::instance().evaluationDate(...
2
votes
1answer
69 views
QuantLib: How to change polynomial order in MCAmericanBasketEngine?
My goal is to price American basket put options using the Least squares Monte Carlo, or Longstaff-Schwartz algorithm.
I currently have the one-dimensional case working with the Python file below (I ...
-1
votes
1answer
93 views
Quantlib interpolation question
I am trying to use QuantLib to create some curves, but I am finding this error I do not really know how to get around. Say for simplicity this is the example:
...
1
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0answers
54 views
How to debug Example_1 of the Open Risk Engine (ORE) library?
Following the manual, I have built an Open Risk Engine library and I would like to learn the library by modifying examples that come together with the library.
Question: How to run, for instance, <...
0
votes
0answers
234 views
Issue with DV01 for Vanilla IRS
I am trying to calculate DV01 of an Interest Rate Swap using methodology given in Use QuantLib Python to calculate Swap DV01 but getting some strange results.
Issue 1: DV01 coming out using ...
1
vote
1answer
161 views
Fixing Rate in Quantlib
While pricing Interest Rate Swap, I am providing Fixing rate for historical date using "addFixing(date, value)" function. But when I am trying to change value it is not happening and picking up old ...
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0answers
93 views
QuantLib in Python, are there any existing methods to handle the options delta on expiration day?
Tried [ql.Settings.instance().includeReferenceDateEvents = True] and it works for the calculation of NPV using intrinsic value of the option.
But Delta is nan for an in-the-money option. I understand ...
1
vote
1answer
159 views
In quantlib (python), is there a way to specify settlementdays for a swapratehelper without having to also give discountCurve?
Using the following Python code I am setting USD LIBOR Swap quotes. I found that by default settlementdays uses whatever is associated with the Index (in C++:
...
1
vote
1answer
104 views
What Quantlib's functions are exported to Python, Excel, etc.?
Is Quantlib's NullCalendar exported to Python? Can't see that there.
Also, in general where can I see Quantlib's functions that are exported to Python, Excel, etc.?
1
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1answer
180 views
Understanding DiscountCurve in quantlib
I want to create a TermStructureHandle handle in python using quantlib. I use the DiscountCurve class and enter the list of dates and discount factors as follows:
<...
1
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1answer
105 views
QuantLib: Unusual point in American option volatility smile
I have a set of American options, for which I got the implied volatility thanks to the package "RQuantLib". I then used splines to interpolate my implied volatility as a function of my strikes. ...
1
vote
1answer
143 views
Quantlib | Issue with extrapolation in BlackVarianceSurface
I have created BlackVarianceSurface and enabled extrapolation but unable to change extrapolation type used. It is giving flat extrapolation. Used setInterpolation to change method type but ...
0
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0answers
97 views
How to calculate bond equivalent Yield of treasury strips using Quantlib?
I'm trying to calculate the bond equivalent yield of a zero coupon treasury strip with a quoted yield of 2.4162%. I've tried the following code and get 2.4424% but Bloomberg is reporting a Treasury ...
1
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0answers
160 views
Calculating price -> yield and yield -> price for fixed rate bonds using QLNet
I'm trying to implement a simple calculation module to calculate fixed rate bond yield given the price (and then price based on yield to verify the calculation). I've looked at a number of examples (...
4
votes
1answer
613 views
Why is there a difference in American option prices when comparing pricing methods (Python)?
I have written a Python script to price American options using Least Squares Monte Carlo and added a QuantLib implementation below (analytical/binomial/finite difference) to compare. The problem is ...
3
votes
1answer
303 views
Using RateHelper (bootstrapping) and Speed up in Quantlib Python
I am wondering whether it is possible somehow to speed up my script using ratehelpers/bootstrapping. I am creating for every days a new ratehelper. Is there a way building up just once the ratehelper ...
2
votes
1answer
247 views
Bootstrapping 3M Curve based on 6M Quotes and Basisswaps 6Mvs3M in Quantlib does not Price to zero
I am trying to understand the rate helper more in detail. In principal I want to build a 3M forward curve based on 6M quotes and 6Mvs3M quotes.
The 6M works and prices to 0. I am not sure whether ...
2
votes
1answer
693 views
Quantlib Day Count between dates
Need some help on following items regarding functions in Qunatlib:
Is there any function available to calculate time between two dates with specific day count convention. For Example, I want to know ...
5
votes
1answer
432 views
Bootstrapping OIS Curve with data from different days data
I have the following problem bootstrapping the JPY OIS Curve. The bootstrapping itself works when havin one set of data, e.g. for the date 2017-02-09. I have all my instruments and as said ...
0
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0answers
229 views
calculating greeks using binomial tree c++ quantlib
I am trying to calculate greeks using binomial tree in quantlib with c++. I had errors that I don't know the origin of the problem.
...
1
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1answer
242 views
Bootstrapping Quantlib RateHelper Python/C++ [closed]
I am pretty new in the Quant areaa and using Quantlib. I found the pretty good introductions concerning bootstrapping in the book QuantLib Python Cookbook by Luigi Ballabio. I wanted to understand the ...
1
vote
1answer
371 views
Monte-Carlo simulation Hull-White process
I have one question about Monte-Carlo simulation Hull-White process, maybe you can give me some advice.
I constructed a Hull-White process using Python and QuantLib.
Now I want to construct a Hull-...
2
votes
1answer
229 views
AUD Forward Rate Agreement and Forward Curve Bootstrapping
The pricing between an Australian Forward-Rate-Agreement is different compared to the US one. The question is whether this is somehow included already in the Quantlib? Also how does it compare to the ...
