New answers tagged quantlib
4
votes
Wrt speed, how optimised is QuantLib's Heston pricing class?
QuantLib does a lot of things behind the scenes that provide convenient functionality but get in the way of pure speed. For instance, in your example code, when you write
...
- 7,003
0
votes
QuantLib Python - Discount Factor Interpolation within curve nodes
You can pass any date you like to the discount method of the curve you built. It will return the corresponding discount factor.
- 7,003
1
vote
QuantLib Python - Discount Factor Interpolation within curve nodes
Based on your question I created the following curve example:
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- 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
1
vote
Configuring barrier option in Quantlib-Python
I think what you're looking for is the ql.PartialTimeBarrierOption class which prices windowed barriers.
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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
0
votes
Bumping forward rates in Quantlib for Bartlett SABR greeks
I believe I managed to find a workaround for this issue:
Use parallel shifts of the input rate curve, with the shifts being the Bartlett adjustment factor $\frac{\rho F^\beta}{\nu}\epsilon$ (for ...
- 1,231
0
votes
Find the right module for CDI DI BRL swaps valuation Quantlib
I would like to preface by saying I have not worked with ORE previously. However, following the bindings to python from this link I can see there are none for that specific asset you are referring to, ...
- 103
5
votes
Quantlib FRA and interpolated rate in Swaps vs BBG valuation
I don't know what are your Bloomberg setting for the CZK, but I'm pretty sure it has to do with interpolation method.
The slope between the two nodes for determining the forward you mention is ...
- 5,685
1
vote
Quantlib - mismatch with BBG Swap
For what its worth I priced this in my own library and got -471,275 NPV, valued as of 2nd October 2023.
I dont have a Czech holiday calendar and I assumed the convention of the swaps is Annual Act360 ...
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