Questions tagged [quantlib]
Quantlib is an open-source C++ library for quantitative finance.
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questions
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QuantLib: ImportError: DLL load failed:
I intalled quantlib using "pip install QuantLib" and now I'm getting the below error. I'm using windows 10 and Spyder IDE. I don't see any dll file called _QuantLib, only _QuantLib.cp37-...
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45 views
QuantLib Bond Yield
I think I have the same question as was asked here but I still haven't been able to resolve my issue:
Excel YIELD function equivalent in python Quantlib
I am trying to calculate the yield on a bond ...
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1answer
66 views
QuantLib - Calibrating Hull White one-factor on negative interest rates
I have been working with the QuantLib Python package for some days now. Currently, I am working on calibrating a Hull White one-factor model for short rates. I am calibrating the model on the yield-...
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29 views
Quantlib simulating options with different evaluation dates
Im given a dataset of option data that looks like this.
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2
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1answer
83 views
Excel PasteSpecial Values shortcut button causing QuantLib to crash
I am experiencing a strange issue with QuantLibXL when I use the quick-access PasteOptions/Values button on the Excel right-click toolbar (apologies for the picture: it is surprisingly hard to capture ...
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1answer
32 views
What is the cause of this error 'TypeError: Wrong number or type of arguments for overloaded function 'new_HestonModelHelper'?
I'm simulating the option prices every month using the Heston Model. The option contract expires at the of the month and the next option contract start the day after the previous contract expire. In ...
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2answers
116 views
Best Approach to Creating a USD LIBOR Forward Curve from Market Data
This is a very basic question, I am convinced this has been answered before but I cannot seem to find it.
What is the best approach for constructing a USD Libor forward curve from market data?
For ...
2
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1answer
80 views
Forward bond yield with QuantLib
I'm looking into way to calculate forward bond yield using QuantLib. In Python QuantLib book I see an example for bond futures, where
...
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1answer
45 views
Getting a daily forward OIS rate curve with QuantLib in Python
I am trying to build a 1-day EONIA forward curve with QuantLib giving OIS yields from 1mo to 50yr as input.
My current approach consists on (i) obtaining the yield curve with ...
2
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1answer
81 views
How many parameters in a discount curve exponential spline fit?
I am investigating the ExponentialSplinesFitting class in QuantLib. I've used this fitting technique using a variety of systems in the past (including by hand!). The form is $$df(t) = \sum_{n=1}^{N}(\...
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2answers
79 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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22 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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27 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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74 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
78 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
137 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
34 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
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1answer
104 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
48 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
93 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
54 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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47 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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103 views
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39 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
116 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
64 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
60 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
67 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
53 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
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1answer
267 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
66 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
44 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
74 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
62 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
151 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
65 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
82 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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40 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
55 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
58 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
145 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
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1answer
76 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
83 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
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1answer
214 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
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1answer
72 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
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1answer
49 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
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1answer
197 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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0answers
34 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 ...
