Questions tagged [quantlib]

Quantlib is an open-source C++ library for quantitative finance.

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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 ...
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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:...
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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?
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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 ...
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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 ...
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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 ...
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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/...
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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 ...
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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() ...
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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 ...
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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 ...
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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
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3answers
96 views

How to convert a Zero curve to a Discount Curve

I have created a Zero-Curve as below - ...
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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, ...
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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
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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-...
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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 ...
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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 - ...
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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 ...
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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 ...
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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 ...
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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 ...
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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: <...
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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 ...
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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 ...
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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: ...
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1answer
63 views

Calculating the Option price using Quantlib

I can calculate the fair price of a European Option using Quantlib as below - ...
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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/...
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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 ...
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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 - ...
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1answer
52 views

How to price an Annuity

When we price a fixed rate bond using Quantlib, we generally take below approach - ...
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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 ...
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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 ...
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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 ...
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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% ...
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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 ...
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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 ...
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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....
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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 ...
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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 ...
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1answer
115 views

FX Forward rate agreement valuation in quantlib

I am trying to value an FRA in quantlib Python using the below code: ...
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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....
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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: ...
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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. ...
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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: ...
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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 ...
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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? ...
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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 ...
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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 ...
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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 ...

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