Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with quantlib
Search options not deleted
user 29106
Quantlib is an open-source C++ library for quantitative finance.
1
vote
Accepted
Bootstrapping 3M Curve based on 6M Quotes and Basisswaps 6Mvs3M in Quantlib does not Price t...
The NPV fucntion gives you with the market quote the off-market swap. To calculate the par swap fixed rate you have to use the the function
swap_3M.fairRate()
which results in a NPV euqual to zero …
- 220
3
votes
1
answer
2k
views
Using RateHelper (bootstrapping) and Speed up in Quantlib Python
0.4169 JPY
2015-02-10 OIS 15Y 0.7269 JPY
2015-02-10 OIS 20Y 1.0044 JPY
2015-02-10 OIS 25Y 1.1475 JPY
2015-02-10 OIS 30Y 1.2225 JPY
My Code:
import QuantLib …
- 220