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
3 votes

Is there Multilevel Monte Carlo in QuantLib?

There's no multilevel MC in the library. I guess it could be implemented as a class similar to McSimulation (see this link) which puts together a number of ...
Luigi Ballabio's user avatar
2 votes

How to bootstrap the zero coupon curve for US treasuries

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

Python Quantlib for the calibration of interest rate caps

I think you should use something like TreeCapFloorEngine for cap/floor calibration with G2. BlackCapFloorEngine is for closed ...
user35980's user avatar
  • 1,356
2 votes

Plotting a CSA curve in QuantLib

You can also validate the QuantLib implementation with rateslib. To define local currency EUR and USD you need to specify two ...
Attack68's user avatar
  • 9,939
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
  • 9,939
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

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
  • 1,356

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