New answers tagged programming
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Actual360 convention in quantlib schedule
The day-count convention doesn't enter in the schedule construction, which gives you a set of coupon dates. It only matters after the schedule is built, and gives you a measure of the time between ...
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2
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Best practice in QuantLib Python to include borrow rate
It depends on your use cases.
Something like SpreadedLinearZeroInterpolatedTermStructure, as you suggested, will work but will use both the original curve and the ...
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3
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PV different from Dirty Price in QuantLib
It's the combination of two things.
First: when passed an interest rate y and a series of coupons paying at dates ...
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2
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Accepted
Understanding SOFR Fixing Rate Retrieval for Future Dates in QuantLib
If you ask the SOFR index for a fixing at the start date of the coupon, it will return it, but that's not what the coupon pays. A coupon paying SOFR over a period pays the compounded SOFR fixings ...
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Replicating QuantLib plain vanilla Interest Rate Swap valuation
As a base for comparison you can also try rateslib
...
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Quantlib: Is linking the curve to the discount curve important in vanilla swaps?
There are two different curves involved in swap pricing: the forecast curve that the index will use to forecast future coupons and the discount curve that will be used to discount the coupon amounts. ...
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Uncertain Volatility Model - Option Pricing R code help
Looks like your L_T_plus & L_T_minus are always zero. Check your implementation.
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Generating normally distributed random numbers using Sobol generator in QuantLib
As Dimitri said, the initialization of the RNG should be outside the loop.
The dimension parameter is, roughly speaking, how many random numbers you need for one sample.
If one of your trials consists ...
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1
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QuantLib Python: How to print each caplet/floorlet value, intrinsic value and time value at each fixing date?
The CapFloor class provides some limited information (see the SWIG wrappers). You can call capfloor.optionletsPrice() to get a ...
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