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Questions tagged [quantlib-swig]

Language bindings for QuantLib

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QuantLib error while Plotting Volatility Surface

I'm trying to plot the volatility surface using the code blelow: plot_years = np.arange(0, 2, 0.1) plot_strikes = np.arange(535, 750, 1) fig = plt.figure() ax = fig.gca(projection='3d') X, Y = np.meshgrid(plot_strikes,…
oumayma Tabbaza
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Quantlib Black Karasinski calibration with negative rates

I was calibrating Black Karasinski model using QuantLib-Python with Euro swaption at-the-money vol surface using TreeSwaptionEngine. I got the following error: return _QuantLib.CalibratedModel_calibrate(self, *args) RuntimeError: root not bracketed:…
huarong
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How to structure Fixed Rate cashflows with monthly interest rate compounded and paid Quarterly

I am using Quantlib swig implementatin in python. I am trying to model some loan agreements with fixed interest rate which is calculated monthly on simple basis and compounded quarterly basis. Example Issue Date March 18, 2011 First stub April 1,…
avijaysimha
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QuantLib Python Hull White Model - RuntimeError: time (20) is past max curve time (19)

I tried using QuantLib-python to run several iterations of a Hull-White model. I followed along with the code and blog here: http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html I made some edits from Balaraman's code on the…
stocktonkd
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Quantlib: Date Advance Function for TimeUnit "days" - Bug or Feature?

I've got a tiny question regarding the date-advance function in the C++ Quantlib. I wanted to use a payment offset (in days) for a product with payment businessday convention "preceding" , but payment date was always set to the first day after the…
Björn1985
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How do I price a Cliquet Option in QuantLib-Python?

I installed QuantLib-Python 1.18 using pip, and I am able to price various options successfully. However, the Cliquet Option gives me the following error: AttributeError: module 'QuantLib' has no attribute 'CliquetOption' Is this an issue with my…
Omega
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Why can't QuantLib compile on its last release?

After following the QuantLib 1.9 installation tutorial, I can't compile the library on my computer. my setup tutorial : https://www.quantlib.org/install/windows-python.shtml python 3.6.3 Quantlib 1.9 Quantlib-SWIG 1.9 boost boost_1_66_0 visual…
AntoineKB
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max curve time error in Heston calibration quantlib python

I am running a compiled from source SWIG python 1.16 version of QuantLib. I have been trying to calibrate a heston model following this example. I am only using the QL calibration at the moment to test it out before trying others. I need time…
Chapo
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How to debug into Quantlib via SWIG from my C# unit test

I have a module in Quantlib that does not work right when I invoke it from C# via SWIG. Is there a way I could debug into Quantlib from my C# unit test?
A-K
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QuantLib-Python unable to detect QuantLib installation and fatal error C1083

I have installed QuantLib and boost (I guess correctly). All the examples work fine in C/C++ through visual studio 2017. Now I want to install the QuantLib-Python version. I have an issue similar to Python binding through QuantLib-SWIG however, I…
Oscar
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DepositRateHelper unexpected keyword argument 'dayCounter'

I copied the example for EONIA curve bootstrapping. I tried to link the inputs to the corresponding keyword arguments of the DepositRateHelper class. I checked the keyword arguments in the docs, which resulted in the following import QuantLib as…
Daniel
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QuantLib was not compiled with intraday support

Compiled QuantLib v1.11 on Mac 10.12.6 with standard options from documentation with intraday support enabled: ./configure --with-boost-include=/usr/local/include/ \ --with-boost-lib=/usr/local/lib/ --prefix=/usr/local/ \ …
Jason Strimpel
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QuantLib for Python RuntimeError: vega not provided

Pricing a plain vanilla American option with the binomial pricing engine and Cox-Rubinstein model. When attempting to retrieve vega, I receive the subject error: Traceback (most recent call last): File "", line 1, in File…
Jason Strimpel
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python setup.py build gives Link:1104 error

I have successfully built Quantlib on Windows using Visual Studio 2015 and want to build Quantlib-SWIG for Python. However, I am repeatedly getting Link:1104 error. I went through the following steps: Ran "Anaconda Prompt" from Start Menu. In the…
Kashif
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Quantlib reconstruct the bond curve using a model with fixed parameters

I'm new using QuantLib. I would like to construct a bond curve using some parameters of NS model. All I found was the other way around, give some bonds and get the parameters. For example, I want to construct a bond curve using NS with parameters…
user2741289
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