Questions tagged [quantlib]
Quantlib is an open-source C++ library for quantitative finance.
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Pricing a amortizing callable danish mortgage bond using quantlib
I am trying to price a callable fixed rate amortizing danish mortgage bond. since QuantLib only has CallableFixedRateBond i have created a dervived class called <...
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Python QuantLib FuturesRateHelper issue
I'm trying to do bootstrapping using some future rates however encountered some errors below. A reproducible case is as follows:
this is constructing a future rate helper with 'IRM1 Comdty' from ...
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USD Swap curve prices do not line up with inputs
As mentioned in the title, i'm having trouble with pricing USD swaps in quantlib.
I wanted to take some inputs (Prices of swaps in the market) and be able to construct a yield term structure that ...
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Calculate DV01 for a vanilla swal for MXN index using quantlib
I am trying to calculate dv01 for a vanilla swap using quantlib. Its a MXN TIIE Swaps for built an index like
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Sorting SimpleCashFlows in QuantLib
I would like to sort SimpleCashFlow(s) according to date. I am having trouble incorporing the the less than function < in std::sort
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Calculate Fixed Rate on Vanilla Swap in Quantlib
I am trying to calculate dv01 on the vanilla swap using quantlib but not able to understand how to calculate the fixed_rate. In all the examples it's a hardcoded value which is not right. Any ...
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QuantLib-Python Libor Market Model
It appears that QuantLib-Python does not include Libor Market Model, although the C++ version has it.
(https://rkapl123.github.io/QLAnnotatedSource/d5/d8d/class_quant_lib_1_1_market_model.html)
Is ...
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Black Standard Deviation in QuantLibXL
I was having a doubt about a fucntion in the QuantLib add-on for excel.
What is the formula for the function: qlBlackFormulaImpliedStdDev(...)
I know that there ...
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CDS option pricing in Quantlib Excel (QuantlibXL)
I am trying to price an index CDS option using QuantlibXL. Anyone aware of an existing template sheet or sample formula for creation of CDS and CDS objects? The sample template sheets provided with ...
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MC Simulation using G2Process Evolve function
I am trying to simulate the IR for G2 Process using the following code. However, the initial value of the simulation starts with zero. I want to initialize the simulation using a starting value.
Is ...
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Rebonatos's formula in C++
I'm trying to code in C++ Rebonato's formula for swaption volatilities
$$ v_{\alpha,\beta}^2=\frac{1}{T_\alpha} \sum_{i,j=\alpha+1}^{\beta} \frac{w_i(0)w_j(0)F_i(0)F_j(0)}{S_{\alpha\beta}^2(0)}\rho_{i,...
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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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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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Quantlib Calendar Advance
Hi I'm trying to advance a business date (28-12-2012) by 1 day and 1 week according to the Japan calendar.
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Quantlib error initializing CapFloor C++ Class
I'd like to use QuantLib as a C++ library to price interest rate derivatives, in particular Cap&Floors. To semplify things a little, let's say I have a vector of EURLibor1Y rates for different ...
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QuantLib Python: how to calculate duration and convexity for irregular cashflows? Can I use SimpleCashFlow or must I define a custom bond?
I have 2 questions:
If I want to discount a set of irregular cashflows, I can do it using the SimpleCashFlow class, or defining a bond with custom cashflows (thank you to Ballabio and David Duarte for ...
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QuantLib Python: why is the NPV different? NPV(0.1,[0,110]) should be 100, not 99.53
I am trying to learn QuantLib for Python. Further to my previous question on the syntax for CashFlows.npv(), now that I understand how the syntax works, I have a question on why the output differs ...
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QuantLib Python: how to calculate the npv of irregular cashflows?
I am trying to learn QuantLib for Python but I must say I am banging my head against the documentation (I also bought Ballabio's python cookbook) - maybe it's me, but even finding the most basic ...
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Converting pandas datetime to QuantLib dates: why do the inputs need to be converted to int only some times? It seems random
I am trying to use the QuantLib library with Python.
In the example below, I create a pandas dataframe with some dates and some cashflows, convert the dates from pandas' format to QuantLib's, and use ...
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Getting quarterly forward rates with QuantLib
I am trying to build a quarterly forward curve with 3 month USD Libor swap rates from 1Y to 50Y as inputs.
From other posts I have looked at, I have managed to come up with this code so far:
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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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QuantLib constructing yield curve error: root not bracketed
much appreciated if anyone can help with the below, basically i'm trying to construct a yield curve using some real market data. I have pasted the python code below. I use a list of swap rates and ...
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QuantLib python ql.schedule getting end of month dates
i'm trying to get payment schedule of a bond that pays coupon quarterly. value date is 2020-04-01, first coupon date is 2020-06-30, maturity date is 2022-09-30. so I expect to have a list of dates:
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Why do I get different results from different credit pricing engines in QuantLib
I am trying to use three credit pricing engines: IsdaCdsEngine, MidPointCdsEngine and IntegralCdsEngine but I am getting different NPV results from each of them. The case is like this: When I have as ...
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Bloomberg bond clean price and accrued amount differs from Quantlib
I'm getting the different bond clean price from Bloomberg and from QL but surprisingly Bloomberg price matches with excel price() function
I have the following bond : GETC21117030. The parameters are ...
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LIBOR Quoting Conventions and Swap Pricing
Given that LIBOR quotes have value date T+2, when considering a simple IRS, which dates are considered when fixing the floating rate? Say floating leg is Euribor 3M and next fixing date is today (02/...
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Constructor error pricing american ops with divs quantlib?
Looking at post from Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends
and trying to recreate the result; but getting a constructor error I ...
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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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When using qlSmileSectionFromSabrVolSurface in Quantlibxl, why the Option Time for input cannot be less than 1?
I constructed a SabrVolSurface in Quantlibxl. Then I wanted to obtain a volatility smile from the surface using qlSmileSectionFromSabrVolSurface. The problem is that the time input is the year-...
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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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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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Quantlib simulating options with different evaluation dates
Im given a dataset of option data that looks like this.
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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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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 ...
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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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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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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 ...
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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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How to use quantlib with excel?
I installed an quantlib on my mac, but have no idea, how to start using it with an excel. Please advise hoq to do it. I followed all instructions here:
http://quantlib.org/install/macosx.shtml. I ...
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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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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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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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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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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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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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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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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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