2
votes
Accepted
Why do the Greeks not converge to the strike as the volatility tends to zero?
If you shrink the volatility (let's say more extreme it goes to zero), then the spot price at maturity is simply $S_t e^{r(T-t)}$. There are no uncertainty; the at-maturity spot price becomes somehow ...
- 36
2
votes
Accepted
QuantLib: How to price or construct a zero coupon swap using Quantlib
I am running QuantLib version 1.30 and it works for me. Here is the code I compiled to investigate as unfortunately yours did not work for me
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- 103
1
vote
QuantLib Python - Discount Factor Interpolation within curve nodes
Based on your question I created the following curve example:
...
- 103
1
vote
Accepted
QuantLib: Pricing BRL zero coupon swap using relevant attributes in Quantlib
"The short answer is that the frequency of the floating payments is determined by the Schedule of an IborIndex (or ...
- 103
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