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Results tagged with quantlib
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user 51416
Quantlib is an open-source C++ library for quantitative finance.
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QuantLib: How to price or construct a zero coupon swap using Quantlib
However its giving me the AttributeError: module 'Quantlib' has no attribute 'ZeroCouponSwap'. …
- 37
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1
answer
222
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QuantLib: How to compute the forward rate using historical fixing rate and discount factor data
Let's say the valuation date is 08/24/2023. The effective date and maturity date of the swap are 03/12/2022 and 01/10/2024. I want to apply the given historical fixing rates till the valuation date an …
- 37
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1
answer
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QuantLib: Pricing BRL zero coupon swap using relevant attributes in Quantlib
I am trying to price the BRL zero coupon swap. As we know that ZC swaps fixed payer pays a single payment at maturity and the float payer pays the interim payments till maturity. So in this case, wher …
- 37
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QuantLib: Latin American FixedFloat Swap pricing with multiple payment frequency specification
With reference to the post of latin american swap, I am valuing the FixedFloat CLP swap.The specifications of this swaps has payment frequency upto 18 months as Zero coupon(1T) and after that Semiannu …
- 37