4 votes

QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS

The tricky thing about Canadian bonds is that they use ACT/365F convenction for accrued interest for settlement, but ACT/ACT(ISMA) for accrued interest in yield calculations. Which means in QuantLib ...
Denys Usynin's user avatar
2 votes

QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS

For what its worth your comment mentions @DenysUsynin anwser returns 100.03606. rateslib gets the same result. It uses a special convention for Canadian bonds ...
Attack68's user avatar
  • 9,974
2 votes

How to bootstrap the zero coupon curve for US treasuries

By executing the following code: ...
Xiarpedia's user avatar
  • 137
2 votes

Reliability of R Package on Covariance Matrix Shrinkage

You can use the code provided from the authors directly. Michael Wolf has a whole library of examples here in different programming languages. For the "Honey, I Shrunk the Covariance Matrix" ...
oronimbus's user avatar
  • 1,901
2 votes

My Montecarlo Simulation is not working?

Your sigma seems to be incorrect, the sigma used should be annualized. Therefore, if you use your mean of standard deviation, you need to multiply it with $\sqrt{252}$. I do not think there is ...
KaiSqDist's user avatar
  • 785
1 vote

How does the isInArrears affect the quantlib IborLeg?

In QuantLib the following occurs for the floating coupon if isInArrears is true: ...
Xiarpedia's user avatar
  • 137
1 vote

how to make this time series reguarly spaced

Here is an example how you can do it in R (without any packages). Create a regular grid to which to map your data. ...
Enrico Schumann's user avatar
1 vote

My Montecarlo Simulation is not working?

Even with 2000 simulations, you may not get the expected return and volatility as your estimated parameters. Try running your monte carlo with more simulation paths and this should close the ...
AlRacoon's user avatar
  • 6,222
1 vote

Python Quantlib G2 calibration with negative interest

Using normal vols should work (default is shiftedLN with 0 shift in Quantlib). Alternatively use a shift parameter. For example: ...
user35980's user avatar
  • 1,366

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