4
votes
Quantlib: VanillaSwap not using underlying Index fixings correctly
That's because the default of the library is to estimate floating-rate coupons at par on the curve. This can cause the end dates of the underlying forward rates to differ from the ones implied by ...
- 5,593
1
vote
Cointegration between crypto markets
There is likely an issue with the missing candles in your data. Whilst you have made steps to ensure that the data is equal length for your test, it is quite possible that these two series' timestamps ...
- 595
1
vote
Mark Joshi, C++ Design Patterns and Derivatives Pricing : Bridge Pattern vs More Simple Inheritance
Consider that Joshi's Parameters bridge class
...
- 356
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