Questions tagged [quantlib]

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

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26
votes
4answers
4k views

QuantLib in industry

How much is QuantLib used in industry and how much street cred does it have?
16
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1answer
2k views

Is QuantLib more trouble than it's worth?

I'm just starting to work with QuantLib and wonder if I'm going down a very wrong path. I'm working on a site that presents the visitor with a table of streamed real-time options data, including ...
12
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5answers
17k views

How to learn QuantLib-python at first?

In my project, I have to get the delta of up and out call option (with vol surface). I found out that QuantLib might help me on that. Since my main language is python and I don't know well about C++, ...
12
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4answers
4k views

Why does it take so many lines of code to price even the simplest of options with QuantLib

I have been looking at QuantLib I am trying to figure out why I need to write so much boilerplate code even when pricing the "simplest" of European Options using the analytical Black-Scholes formula (...
11
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1answer
4k views

How to calculate the local volatility surface using QuantLib?

I'd like to calculate the local volatility surface for a series of option strikes, similar to the surface described in this paper: http://www.ederman.com/new/docs/gs-local_volatility_surface.pdf ...
10
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3answers
9k views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
10
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4answers
1k views

How do you check your option calculations?

I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial... I'm not really sure how to check my calculations. I tried using QuantLib to ...
9
votes
2answers
5k views

using quantlib function in my c++ program

I want to include the QuantLib function for option greeks calculations in my own C++ code. My question is: can I just include those functions? I don't want to use the rest of their stuff. I obviously ...
9
votes
1answer
742 views

QuantLib and exact numerical simulation

I've just downloaded quantlib and started playing around with it, and it looks like it's designed primarily to use Euler discretizations for everything -- so far as I can tell, there's not even a ...
8
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1answer
5k views

Use QuantLib Python to calculate Swap DV01

I would want to use QuantLib Python to calculate DV01 of an interest rate swap. Initially I was thinking of calculating the fixed leg DV01 and floating leg DV01 separately, then add both legs DV01 ...
8
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1answer
6k views

Pricing a FixedRateBond in Quantlib: yield vs TermStructure

I am trying to price a simple U.S. treasury in QuantLib, using two methods. The first method calls FixedRatebond.dirtyPrice(...), passing in a YTM and other parameters. The second method involves ...
8
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0answers
567 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 ...
7
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3answers
4k views

VaR implementation using quantlib?

I am thinking of writing a VaR framework for my existing system, using quantlib to do the bulk of the calculations. Despite several searches, I have not as yet come across a quantlib VaR ...
7
votes
2answers
1k views

Multithreading Monte-Carlo pricing in QuantLib for a single product

I've been actively using QuantLib for structured product pricing using Monte Carlo. Due to the fact that at a great deal of paths are often needed and one needs to speed up the calculation and all ...
7
votes
1answer
4k views

Simple QuantLib Bond Math

I am new to QuantLib and am trying to get it to replicate some simple bond math. Suppose we have a 5-year bond with annual coupon payments of \$5 and face value of \$100, and interest rate of 4%. ...
7
votes
1answer
831 views

Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function

Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings ...
7
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1answer
2k views

Mixed local-stochastic volatility model in Quantlib

At a conference the speaker mentioned that it is a standard approach today to use a mix of local and stochastic volatility model in equity, FX and interest rates. Can you please suggest the most ...
7
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2answers
2k views

Use QuantLib Python to calculate roll-down of a swap

I would want to use QuantLib Python to calculate 6-month roll-down of a 5-year swap. I believe that the calculation I need to do is as follows: $Rolldown=r_{0,5Y}-r_{0,4.5Y}$ Where $r_{0,5Y}$ is ...
7
votes
1answer
3k views

QuantLib: Black / BSM processes and pricing via volatility surface. Different results?

I start this question with a couple of C++ functions that will be useful to show some results. So start your Visual Studio C++ Express or Ceemple or whatever you want and copy & paste this: ...
7
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1answer
3k views

Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends

I am having trouble using QuantLib with Python to calculate American options with discrete dividends. I am using Anaconda, Spyder, Python 3.6, and the most recent version of QuantLib. I created ...
7
votes
1answer
4k views

What is the best solution to use QuantLib within Excel?

Excel is likely the most widespread instrument across all not-only-quants desks; in addition, we have to keep in mind that Bloomberg and Reuters allow to easily import real time data in Excel, and ...
6
votes
1answer
582 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 ...
6
votes
1answer
4k views

Use QuantLib Python to calculate yield curve par rates

I would want to use QuantLib Python to calculate par rates of a swap curve. The following code is what I've done so far: ...
6
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1answer
1k views

Pricing Fixed-To-Floater bond in QuantLib

Wandering through QuantLib's Financial instruments documentation, I noticed no class for fixed-to-floater bonds exist. Then I was wondering what a suitable way to price such an instrument would be ...
6
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1answer
220 views

BlackProcess' constructor $x_{0}$ argument in QuantLib

I am currently using BlackProcess to price options and I have a doubt related to the $x_{0}$ argument of the constructor: I've figured out it should be the forward ...
6
votes
1answer
325 views

Pricing a bond with variable strike collar with QuantLibXL

I am trying to price a floating rate bond with a capped and floored interest rate. The strikes of the caps and floors vary, but are known in advance. I am trying to do this with QuantLibXL, but I am ...
5
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4answers
2k views

How to select the initial guess for implied volatility?

When we calculate the implied volatility, we would need to give the solver a range to start with. For example, QuantLib uses [0,4.0] for the range, which is another way of saying try all possible ...
5
votes
1answer
6k views

How to calculate bond yield in QuantLib - Python

I want to calculate yield of bond having market price and coupons. I try to replicate C++ from (https://mhittesdorf.wordpress.com/2013/03/03/introducing-quantlib-internal-rate-of-return/) in Python ...
5
votes
1answer
533 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 ...
5
votes
1answer
513 views

How many ways can QuantLib handle the price of option on its maturity date?

I have been playing with QuantLib for some time. This is a great framework with amazing design and capabilities. However, one thing that I find hard to understand is the way it handles the price of ...
5
votes
1answer
1k views

Set-Up OvernightIndex Quantlib

somehow I am struggling on my old question concerning set-up an Overnight index in QuantLib (see question: Old Question). What I don't understand is how can I set-up the ...
5
votes
1answer
578 views

Python Quantlib yield curve dates different than input

Thanks very much for your help in advance. I am trying to understand the yield curve construction from Python Quantlib. And it seems I cannot get the curve output the same dates(nodes) as my input ...
5
votes
1answer
378 views

QuantLib: Is the StochasticProcess class adapt for a HJM type of modelling?

I would like to use the following model in QuantLib: $\frac{dF(t,T)}{F(t,T)} = \sigma_se^{-\beta(T-t)}dW_{t}^{1} + \sigma_L\left(1-e^{-\beta(T-t)}\right)dW_{t}^{2}$ This is a reformulation of the ...
5
votes
2answers
803 views

Are there missing methods in QuantLib python?

I'm reading Introduction to Selected Classes of the QuantLib Library I by Dimitri Reiswich and am trying to "convert" it to Python. It seems to me that some C++ possibilities aren't available in ...
4
votes
1answer
3k views

Quantlib-Python: use zero rates to get the originally bootstrapped curve

Let's say I am trying to build a curve using deposits, future and swaps with one of the three Quantlib methods in Python as below: ...
4
votes
1answer
676 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
4
votes
1answer
2k views

How to price a bond at specified dates in QuantLib

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...
4
votes
1answer
2k 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 ...
4
votes
2answers
2k views

Swap Bootstrapping with quantlib

I've been trying to get the zero rates of the Chilean Swap curve with Quantlib in Python, but I haven't been able to set up the parameters correctly. This is my code: ...
4
votes
3answers
8k views

Pricing a fixed rate bond in Quantlib Python

I'm trying to implement a pricing model for fixed rate bonds with the code below. ...
4
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1answer
2k views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
4
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1answer
925 views

QuantLib Python: caplet/swaption pricing under dual curve

Is there a way to price caplets/swaptions in QuantLib python (v 1.6.2) under dual curve i.e. pass projection curve for forwards and discounting curve for discounting the cash flows? Goutham has an ...
4
votes
2answers
815 views

Valuing structured loans in QuantLib

I'm trying to figure out if it's possible to value structured products, mainly loans, in quantlib. The idea is to build a bond class with different cash flows. For example, a loan could have coupons ...
4
votes
1answer
5k views

QuantLib Python Swap Yield Curve Bootstrapping Dates and Maturities

This is somewhat related to the question I asked here but simpler. I am trying to bootstrap a yield curve from swaps, and am having a problem with the dates/maturities that are coming out. The code ...
4
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1answer
869 views

How to permanently add holidays to QuantLib calendars?

I am aware of QuantLib's functions addHoliday() and removeHoliday(), but I am wondering if there is a better way to edit the ...
4
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1answer
1k 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. ...
4
votes
1answer
890 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 ...
4
votes
1answer
1k 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 ...
4
votes
1answer
949 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 ...
4
votes
1answer
220 views

Why risk-free interest is needed for Margrabe's Formula?

The source code for Margarble's formula in QuantLib is here. The implementation requires a forward price be computed: ...

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