Questions tagged [rquantlib]

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1answer
40 views

RQuantlib not returning greeks for options

I do not manage to get Delta/Gamma/Vega/Theta using the simplified AmericanOption function from RQuantLib: ...
3
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1answer
75 views

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

When running the command in the RQuantLib library: ...
2
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0answers
24 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
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1answer
340 views

Quantlib: AmericanOption implied volatility / root not bracketed

When I apply the americanoptionimpliedvolatility function in the following format: ...
1
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0answers
75 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
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1answer
74 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
836 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
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0answers
68 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
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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 ...