Questions tagged [quantlib]

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

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268 views

RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

Please, consider the following functions from RQuantLib package: FixedRateBond() ...
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190 views

FX curve stripping beyond one year (with CCS and NDS)

In QuantLib, the FxSwapRateHelper allows to create bootstrap a curve FX Swap quotes. For instance, the link below includes example of bootstrapping PLN yield curve using EURPLN spot rate and forward ...
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242 views

How to calculate YTW (yield-to-worst) in QuantLib?

After defining a CallableFixedRateBond object in QuantLib, I can calculate YTM (yield-to-maturity) right now. I'm using Python so the function is bondYield(). Is there any way to calculate YTW (yield-...
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102 views

How do I specify Thirty360::European day counter in RQuantLib

I am taking liberty to ask the following question in quantLib forum though this question is about RQuantLib I am trying to use RQuantLib to calculate clean price of a fixed coupon bond using a Nelson-...
2
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186 views

Using Python Quantlib's FittedBondDiscountCurve as Evaluator of Parametric Curve - Errors

I am using Quantlib's FittedBondDiscountCurve in Python 3.7 and setting MaxIterations to 0, and giving a guess_solution, which then turns the routine into an evaluator for the parametric form I choose,...
2
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1answer
265 views

Roll Down of Forward Starting Interest Rate Swap

I have the data for a lot of forwarding starting interest rate swaps. i.e 2Y1Y, 3Y1Y, 5Y1Y, 3Y2Y, 5Y2Y, ... (so different forwarding and maturities). I would like to calculate the roll down over 1 ...
2
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0answers
211 views

How to build an inflation term structure in QuantLib?

This is what I've got, but I'm getting weird results. Can you spot an error?: ...
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0answers
57 views

QuantLib XL Swap Valuation Fixing Dates

I want to rate IRS Swaps on an specific Valuation Date using QuantLibXL. Everything works fine besides the last Index Fixing before the Val Date. After using SwapLegAnalysis I saw that the Index ...
2
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0answers
153 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 ...
2
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0answers
415 views

Bootstraping CLP Swap with Quantlib

After reviewing and fixing my last code (Swap Bootstrapping with quantlib), i managed to get the zero rates for the ICP swap curve (CLP). Now the thing is that there is a considerable difference ...
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0answers
155 views

python and quantlib - setting futures priority

In setting up a curve using deposit rates and futures in python, is there a trigger which allows one to set when the futures start? Looking for something similar to ...
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41 views

How to use quantlib Excel for valuation of european swaption with vol surface to calibrate?

I would like to replicate the following Bloomberg pricer in quantlib using Quantlib xl. Is it possible? Thanks
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30 views

monotone convex interpolation using QuantLib

I have one yield curves for EUR6M and I want to produce EUR3M using a parallel shift to EUR6M curve. I can just add spread in 6M curve. I am facing problem that my EUR3M curve will have many more ...
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30 views

Quantlib ZeroCurve interpolation

I'd like to check how QuantLib does interpolation on rates if I use ZeroCurve constructor. As it was mentioned here, by using curve.nodes() you can get a list of ...
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0answers
115 views

Simulation of Heston process Quantlib-Python

I am wondering weather there exists some method such that one can simulate sample paths for the Heston model in Quantlib-Python. I am currently working on a project that require simulations with the ...
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0answers
43 views

quantlib isda cds time-series

I am trying to use quantlib from python to work with time series of cds quote, e.g I would like to evaluate the PV or PUF or other metrics on many different days. Each day has an associated yield ...
1
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1answer
153 views

Question regarding fitting Euribor curve using different basis quotes using Quantlib Python

I am trying to fit a EUR curve based on the following instruments:- EONIA quotes 1m vs 6m basis quotes 3m (outright) quotes 6m (outright) quotes 6m vs 12m quotes (1) , (3) & (4) are simply ...
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0answers
71 views

Quantlib Python OISRateHelper using Quantlib Cookbook - hands on Quant Finance

I am completely new to Python, just trying to reference Quantlib Cookbook to construct eonia curve, here is my code. I didn't change much compared to the cookbook Eonia Curve BootStrapping chapter, ...
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0answers
90 views

Building OIS curve in Quantlib from Fed Funds Futures and handling steps

Has anyone tried building an OIS curve with Quantlib from Fed Funds futures? If so, could you share a code snippet for how you do it. (Assuming you already have the prices for the futures) How do ...
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0answers
124 views

Matching the yield on a bond with the zeroRate on a curve in Quantlib

I am using QuantLib to generate a US Treasury curve from 1y, 3y, 5y, and 10y yield quotes. However, after building the curve and running zeroRate on it, it ...
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69 views

How to apply multiplicative price seasonality to bond prices in quantlib?

Can someone please give a brief or any link which explains how to apply multiplicative price seasonality to inflation linked bonds in Quantlib using python modules. Have gone through most of the ...
1
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1answer
131 views

QuantLib - Asset Swap Cash Flow Final Period

I am comparing CFs of asset swaps in QuantLib to the asset swap screen (ASW) in Bloomberg. I noticed that the final payments of both swap legs do not include an interest payment for the final period. ...
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1answer
779 views

Calibration of Theta, A(t) and B(t) of Hull White 1Factor model

I’m simulating interest rates via the HullWhite One factor model. To simulate the short rate I’m using the code from the Quantlib Python Cookbook, chapter 15 and beyond (By Goutham Balaraman and Luigi ...
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327 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 ...
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1answer
106 views

Error in QuantLib-Python when I use function “Bond”

I am using the "Bond" function in QuantLib-Python 1.14. I am planning to use it in this way: ...
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0answers
127 views

QuantLibXL no intraday pricing, even with QL_HIGH_RESOLUTION_DATE enabled while compiling

I built QuantLibXL myself following the instruction here: https://www.quantlib.org/quantlibaddin/build_qlxl.html And in the QuantLib code, I turned on the QL_HIGH_RESOLUTION_DATE flag, before I run ...
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0answers
90 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, <...
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206 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 ...
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2answers
413 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++: ...
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310 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 (...
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220 views

What rate/structure to use in <yield term structure> for the pricing of callable bond using QuantLib

I am new to quantlib (actually to the fixed income universe). I am trying to price a callable bond using the CallableFixedRateBond classe of quantlib, and compare it to the market data(bloomberg). I ...
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416 views

FIX engines comparison

Need help, looking for some comparison between c++ FIX engines, like onixs, antenna and some fpga solutions. If anyone has experienced some of the named engines also would like to hear the ...
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0answers
114 views

Quantlib binomial tree

I was trying to price options with the extendedBinomialTree class of quantlib. I actually tried at some point to modify this class in order to optimize it. Normally the drift and diffusion of the ...
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0answers
168 views

RQuantLib FixedRateBondPriceByYield() Non-tradable error

How do I use FixedRateBondPriceByYield() function on maturity date that is earlier than today? I get "non tradable error" when applying on date older than today. <...
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0answers
145 views

QuantLib C++: Friendship dilemma between derived class from PiecewiseYieldCurve and Bootstrap class

I derived a class template, OISCurve<Traits,Interpolator,Bootstrap>, from ...
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0answers
21 views

Quantlib-SWIG Python: impliedHazardRate requires “warm” discountcurve

I am getting different results from the CreditDefaultSwap().impliedHazardRate() method, depending on whether the discount curve passed is "cold" i.e. just created ...
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0answers
16 views

Swaptions vols,object using quantlib xl

How can I build a good vol surface using QuantlibXl? My goal is to price a swaption 5 year with option maturity 1Y1M. The data are:
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34 views

Digital Caps/Floors in Quantlib Python

Am I missing something or is there currently no way to price digital libor Caps/Floors in Quantlib Python? It seems there's no mention of DigitalIborCoupon in the cashflows SWIG interface.
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20 views

Missing functions in QuantLibXL

I have been using the open source addin QuantLibXL extensively. This provides an easy way to use the QuantLib library in a simple Excel environment. However, there are a few of the more recent ...
0
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1answer
56 views

Bootstrapping the 6m Sterling Libor curve

I am trying to bootstrap the 6m sterling swap curve using the depos and swap rates codes are below. I am a newbie and have been following (or at least trying to!) the python cookbook. I wanted to know ...
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0answers
44 views

Quantlib : How does interpolation technique in zero curve improve the valuation of interest rate swaps?

I am working on building zero curve using interpolation = ql.Linear(). I know that this method is very popular to build short and long end curve. But am wondering if there is any another way of ...
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0answers
57 views

QuantLib (Python) Heston model delta

is it possible to obtain the delta for Heston model with QuantLib-python? I am using AnalyticHestonEngine and simple European option/payoff. I am aware of the possibility of calculating numerical ...
0
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0answers
22 views

Why Quantlib CreditDefaultSwap::ISDA fail on roll dates: 1st iteration: failed at 1st alive instrument, pillar

I am experimenting with Quantlib CDS engine, I create a piecwise hzard rate based on CDSHelpers and try to compute default probability with it and then some specific upfront. I managed to match BBG ...
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0answers
62 views

Quantlib - Duration of a Floating Rate Bond with Spread

I've used Luigi Ballabio's workaround to calculate the duration/modified duration of a floating rate bond (which you can find here: https://www.youtube.com/watch?v=r_1wSd0hnN4). However, if I add a ...
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0answers
62 views

Is callable bond pricing available in Quantlib XL?

I am able to find documentation for pricing callable bonds in Quantlib Python or C++, however, I am struggling to locate it for Quantlib XL. Is there a way to price callable fixed-rate bonds in ...
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59 views

Quantlib for Amortizing securitized loans with option for prepayment

I have not had much experience with QuantLib, but from a brief look through the docs it doesn't necessarily seem suited to my task. Consider a mortgage backed loan. There are various options on ...
0
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1answer
109 views

Constructing Daily Term Structure

I am very new to QuantLib and am trying to do Swaption Model calibration following the example here:http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html Appreciate ...
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0answers
63 views

Role of the evaluation date ( ql.Settings.instance().evaluationDate )

I have questions about the evaluation date. (set up with ql.Settings.instance().evaluationDate). I'm trying to build the zero-coupon curve from deposit rates and swap rates, however I don't ...