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Questions tagged [quantlib-swig]

Language bindings for QuantLib

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How to obtain the "time" values of a schedule

Assuming a fixed rate bond with the schedule shown in the sample code below. I am able to obtain the number of days between the tenors by using the businessDaysBetween function. Now I would like the "time value". Is there a way of doing it without…
ulrich
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QuantLib installation in Python

Can someone assist with up-to-date instructions for the installation of the QuantLib in Python. I have used the instructions on this link https://vineetv.wordpress.com/2015/07/07/installing-quantlib-python-windows/ and followed the video on this…
ccc
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Quantlib 1.9.1 in Python breaks after call to SimpleQuote.setValue

I cannot use one of the useful functions in QuantLib when using python. Here is a simple example from QuantLib manual (one of Jupyter notebooks). I am reproducing a piece of code that reliably breaks on my Mac. from QuantLib import * today =…
mnos
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java.lang.UnsatisfiedLinkError when trying to follow an MIT example on SWIG usage of C++ callbacks

I am trying to implement a simple application which enables C++ to do callbacks into Java. To this, I found some examples written many years ago by some people at MIT: https://github.com/swig/swig/tree/master/Examples/java/callback However, when…
Evil Washing Machine
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Visual Studio 2015 Python 3.5 debug startup error

Python 3.5 debug startup error I tried to start a small Python program in DEBUG mode using Visual Studio 2005. But it fails to get to the first statement which is an import statement. Why does it get a __file__ error as described below? A Quantlib…
Gerard N
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Daily Pricing of a Bond with QuantLib using Python

I would like to use QuantLib within python mainly to price interest rate instruments (derivatives down the track) within a portfolio context. The main requirement would be to pass daily yield curves to the system to price on successive days (let's…
Charles
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How to add QuantLib to a virtualenv (ubuntu)

I am using pydev and a virtualenv (which has already been set up successfully). How do you add quantlib (and for that matter any python wrapper plus its C++ native library) to a virtualenv? I successfully built quantlib and the quantlib-SWIG from…
rnoodle
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Quantlib-SWIG - how to do a clean rebuild on windows/msvc

I had Quantlib (1.4) and Quantlib-SWIG/Python successfully installed (compiled using MS Visual Studio Express 2013 for quantlib and as per the readme, using python setup.py build followed by python setup.py install. ) I then wanted to modify some of…
Bubz0
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QuantLib bindings for Octave?

I want to use QuantLib from Octave. From the QuantLib site: QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The…
Homunculus Reticulli
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QuantLib + Python: TARGET() macro and default calendar (RuntimeError: option expired)

I am using Quantlib to perform calculations on historic data. After setting up the required framework (curves etc), When I call option.ImpliedVolatility() I get the following exception thrown (for options that have expired): File…
Homunculus Reticulli
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quantlib-swig bindings via python in visual C++ 2008 express, appear link error

files: D:\Program Files (x86)\Microsoft Visual Studio 9.0 D:\Program Files (x86)\Microsoft Visual Studio 9.0\boost_1_50_0 D:\Program Files (x86)\Microsoft Visual Studio 9.0\QuantLib-1.2 D:\Program Files (x86)\Microsoft Visual Studio…
coolahao
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QuantLib: null term structure set to this instance of index

I'm playing around with QuantLib-Python and trying to price an interest rate cap using Hull-White 1-Factor model. import QuantLib as ql sigma = 0.35 a = 0.1 today = ql.Date(18, ql.May,…
Hasek
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QuantLib swap pricing, index fixing leg missing

I upgraded QuantLib to the latest version 1.29, but my existing code started an error of vanilla swap pricing. I went back to documentation, and tried the sample code, but the error comes too. The error message as followings, RuntimeError: 2nd leg:…
Nick
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problem using Quantlib to get price/yield/interest of a CPIbond instrument

I am trying to analyze a TIP security using Quantlib. I have not been able to find much documentation but I managed to find an example from 2015 that supposed worked because it was posted as a solution. The example no longer works and the problem…
mf409
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Quantlib Mac OSX - ld: symbol(s) not found for architecture arm64

I want to install Quantlib from source to enable intraday support for Python. When installing QuantLib from source on Mac OSX 11.1 with M1 chip I am facing a problem during the 'make' in the tests. Undefined symbols for architecture arm64: …
pipino
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