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Results tagged with quantlib
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user 68373
Quantlib is an open-source C++ library for quantitative finance.
2
votes
1
answer
293
views
Why is the NPV of this FX Forward 0?
import QuantLib as ql
calc_date= ql.Date(21,ql.July,2023)
ql.Settings.instance().setEvaluationDate(calc_date)
dayConvention = ql.Thirty360(ql.Thirty360.BondBasis)
calendar = ql.UnitedStates(ql.UnitedStates.NYSE …
2
votes
1
answer
325
views
QuantLib Python: How to print each caplet/floorlet value, intrinsic value and time value at ...
I have the following code to price a floor (can also be used for cap), and have been computing the payoff myself, but I think QL can already do this. Since the cashflows I print out aren't correct as …