Questions tagged [rquantlib]

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3
votes
1answer
66 views

RQuantLib: BermudanSwaption(): effective date later than or equal to termination date

When running the command in the RQuantLib library: ...
0
votes
0answers
45 views

How can I use advance(startDate,…) or another RQuantLib function to invert yearFraction(startDate, endDate, …)?

I am using RQuantLib. I would like to convert back and forth (accurately) between a future date and a year fraction from a reference date. But I have been unable to convert reliably between the output ...
2
votes
0answers
23 views

Importing a zero coupon curve to RQuantLib

I am trying to use a zero coupon curve constructed elsewhere to price treasury bonds in RQuantLib. The issue is that DiscountCurve does not take zero coupon yields as inputs, but rather swap rates. I ...
2
votes
1answer
310 views

Quantlib: AmericanOption implied volatility / root not bracketed

When I apply the americanoptionimpliedvolatility function in the following format: ...
1
vote
0answers
73 views

compute return from yield

I was wondering if someone familiar with the RQuantLib library can have a look and let me know if this makes sense. I am trying to get total return of a 5 year constant maturity treasury bond. Does ...
0
votes
1answer
72 views

Using RQuantLib in Java with RJava

Can't seem to get an answer to this on stackoverflow. I'm relatively new to using RJava and was getting a null pointer exception from a piece of code I was trying out. I suspect that this could be due ...
2
votes
1answer
813 views

Yahoo Finance Implied Volatility Calculation

On 5/16/16 AXP stock closed with a price of 64.07. Yahoo Finance reports an implied volatility of 20.58% for this out of the money call option: ...
1
vote
0answers
65 views

Issue on pricing bond using RQuantLib

trying to pricing a simple bond using RQuantLib, but cannot get the right values. For example, consider a bond with 2% annual coupon rate and flat interest rate of 3%, a 5 year maturity, and \$100 ...
1
vote
2answers
49 views

type mismatch in Rquantlib Bond.cpp

I've been tracing back through bond.cpp and find the following in FloatingBond() : double dayCounter = Rcpp::as<double>(datemisc["dayCounter"]); $\mathrm{...
1
vote
1answer
91 views

AmericanOptionImpliedVolatility strange answers for calls IV's

My data provider includes the greeks. I tried to compute the IV's myself using RQuantLib and see if they match -- for Puts it's generally close, for Calls however certain values are way way off -- any ...