Questions tagged [rquantlib]
13 questions
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QuantLib: Problem with IRS valuation
I would like to value an IRS. My first problem is with "RuntimeError: more than one instrument with pillar". Theres is clearly no overlapping instruments. I can't get the valuation of the ...
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QuantLib: IRS valuation
I tried to value a simple IRS in QuantLib and failed. I have few questions, which will probably help to resolve these issues. Would be super grateful for answers in these matters.
When I set up a ...
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Removing/Purging QuantLib/Boost
I recently updated to Ubuntu 20.04, as well as to R v4. When updating packages, I ran into an issue with QuantLib. I tried removing/reinstalling, but the reinstall was a different version. RQuantLib ...
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RQuantlib not returning greeks for options
I do not manage to get Delta/Gamma/Vega/Theta using the simplified AmericanOption function from RQuantLib:
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RQuantLib: BermudanSwaption(): effective date later than or equal to termination date
When running the command in the RQuantLib library:
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70
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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 ...
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Quantlib: AmericanOption implied volatility / root not bracketed
When I apply the americanoptionimpliedvolatility function in the following format:
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134
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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 ...
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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 ...
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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:
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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 ...
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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{...
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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 ...
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