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Results tagged with programming
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user 50952
For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.
0
votes
question on QuantLib schedule to get bond coupon payment dates - python
These dates are not included as US holidays in QuantLib's United States calendar. They are considered as business days.
import QuantLib as ql
print(ql.UnitedStates().isBusinessDay(ql.Date(31, 12, 2020 …
- 221
0
votes
Generating a PAR curve from Bond Price Inputs
Quantlib Python Cookbook by Goutham Balaraman and Luigi Ballabio is also an excellent reference book.
- 221
1
vote
1
answer
996
views
SOLVED Manually Recomputing Forward Rates from QuantLib Python
I have used QuantLib Python to compute 1-month forward rates from zero rates as at 05 December 2019.
My codes can be found below:
import QuantLib as ql
calendar = ql.NullCalendar()
compounding = ql.C …
- 221
0
votes
1
answer
1k
views
Zero Rates for Deposits using Quantlib Python
I have used QuantLib Python to construct a zero curve from deposits and bonds.
Below are my codes:
import QuantLib as ql
valuationDate = ql.Date(30, 6, 2021)
ql.Settings.instance().evaluationDate = v …
- 221
0
votes
1
answer
895
views
Specify fixing days for floating leg in Interest Rate Swap valuation using QuantLib Python
I am trying to price an Interest Rate Swap using QuantLib Python, and everything seems to be fine. However, I can't seem to understand where I can specify the number of fixing days.
Below are my codes …
- 221
3
votes
0
answers
138
views
Manual Computation of Python QuantLib's NPV for Pricing of a Forward Rate Agreement
Following the question that I have asked on this link and response obtained, I have managed to price a 3x6 FRA using QuantLib Python, using the following codes:
import QuantLib as ql
today = ql.Date(3 …
- 221
2
votes
1
answer
1k
views
Pricing a Forward Rate Agreement using QuantLib Python
Can someone please help with the pricing of the following forward rate agreement using QuantLib Python?
A 3x6 forward rate agreement, with a notional of $100,000, the FRA rate being 6%, The FRA settle …
- 221
-1
votes
1
answer
2k
views
Difference arising between Dirty Price and NPV using QuantLib Python
I have used QuantLib Python to price a fixed rate bond.
My codes are as follows:
import QuantLib as ql
valuationDate = ql.Date(30, 6, 2020)
ql.Settings.instance().evaluationDate = valuationDate
compo …
- 221
0
votes
0
answers
243
views
Incorporate Transaction Date to Price Fixed Rate Bond using Quantlib Python
I am trying to use QuantLib Python to price a fixed rate bond, based on the following data:
Issue date is 28 September 2017 (issueDate), maturity date is 28 September 2024 (maturityDate), the bond is …
- 221
0
votes
1
answer
1k
views
Fixed Rate Bond Pricing using QuantLib Python
I have tried to price a fixed rate bond using Python QuantLib and I verified my answer using a DCF model.
Below are my codes for the pricing of the fixed rate bond using Python QuantLib:
import QuantL …
- 221
1
vote
0
answers
1k
views
Schedule, Yield-to-Maturity, and NPV of Fixed Rate Bond from QuantLib Python
I would like to price a fixed rate bond using QuantLib Python.
The pricing is fine, however I would like to understand how to extract the Yield-to-Maturity (YTM) of the fixed rate bond, that is, the y …
- 221
3
votes
1
answer
2k
views
Explanation for Different Piecewise Yield Term Structures from QuantLib Python
I am new to QuantLib on Python, but as far as I understand, there are different types of piecewise yield term structures which exist on QuantLib which are bootstrapped on a number of interest rate ins …
- 221