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8 votes
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Recommended Setup for QuantLib-Python AmortizingFloatingRateBond

A few things before creating the bond: 1) You can delegate to the library the calculation of the dates. Your code is equivalent to: ...
Luigi Ballabio's user avatar
1 vote
Accepted

Get upfront bps from a CDS with QuantLib

I have found the issues. There were 3 of them: The CDS instrument declaration was receiving the spread quote instead of the spread of the coupons. It should receive 100bps (contract convention) ...
Gustavo Amarante's user avatar
4 votes
Accepted

Ibor Index with Flat Curve 5% not retrieving exact 5% fixings

You're creating a flat curve with a rate of 5% continously compounded, whereas the LIBOR fixing is a simply-compounded rate. You're getting the simple rate equivalent to a 5% continuously compounded ...
Luigi Ballabio's user avatar
2 votes

Ibor Index with Flat Curve 5% not retrieving exact 5% fixings

When calling index.fixing you are actually calling the c++ method IborIndex::forecastFixing and given the date is in the future ...
Xiarpedia's user avatar
  • 319
4 votes

QuantLib swap Fair Rate not the same as the constructed curve nodes

Three things. First, you set the evaluation date as ql.Settings.instance().evaluationDate = ql.Date(24,4,2024) and then at the end you write ...
Luigi Ballabio's user avatar
2 votes
Accepted

Quantlib OIS USD discount rates don't match Bloomberg discount rates

I think this may be an issue with Bloomberg rounding its values and not displaying exactly what it is using as input or possibly that the Bloomberg "Step Forward (Cont)" does something that ...
Attack68's user avatar
  • 10.5k

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