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Questions tagged [quantlib]

QuantLib is a free and open-source library for quantitative finance.

QuantLib is a free and open-source library for quantitative finance. Originally written in C++, it has since been ported to several other languages, including C#, Java, Python, and R.

References

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error LNK2019 and fatal error LNK1120

I encouneter a problem when compiling my projet. When I set this line: boost::shared_ptr mySwap; I have no problem but when I set this one: boost::shared_ptr mySwap(new OvernightVsLiborBasisSwap(OvernightVsLiborBasisSwap::PayerOvernight, …
Pierre
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C++ csv file, split line at comma store and operate. QuantLib Calendar

I. I have a csv file that looks like this: XXXX,20140101 XXXX,20140102 XXXX,20140103 XXXX,20140108 XXXX,20140212 and so on, it's much larger than just that. II. The following method call will start the process I want to design: Calendar…
user3917695
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How do I create a vector of objects in R?

I need to calculate de Implied Volatility for Financial Options using the QuantLib package for R. I'm having trouble using iterations for the function "EuropeanOptionImpliedVolatility" because its output is a Object (called…
rjara
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Installing QuantLib on ios 10.9

I try to get QuantLib working on my macbook. But I don't know how to interpret the note in the instructions: A note on Mac OS X 10.9 (Mavericks) Users have reported linking problems under Mac OS X 10.9; the solution (thanks to Albert Azout for…
andre de boer
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What is meant by a "clean object model"?

I've heard systems described as a "clean object model", but a precise definition does not seem to be around. It seems to refer to the classes being complete or consistent in some way. I'm just wondering if it's referring to a specific trait or…
Jiminion
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"end must be large than start" in Uniform1dMesher

I try to build a pyd-file with QuantLib and Boost where I want to calculate the NPV for a barrier option. However the QuantLib pyd throws: RuntimeError: end must be large than start The error originates from the following Quantlib class in…
johansson.lc
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Cygwin: Installing quantlib in cygwin

I've attempted to install QuantLib-1.4 on Cygwin along with Boost_1_55_0, mainly by following these steps: http://quantess.net/2012/09/26/quantlib-get-it-working-on-ubuntu/ After installation, I've ran quantlib's test cases with no error…
Chris Derick
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C# quantlib debug to see the value of class

I am learning the quantlib in c# and someone already use wrapper to do the translate work. after I run the unit test of inlfation cpi bond(one example of quantlib), I got a wrong output, but not a error.I try to debug the code, but I only can see…
galaxyan
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Unable to link to quantlib

I'm trying to learn QuantLib, this is my first program with which i intend to check that my environment is ok and i'm able to link to quantlib: #include using namespace QuantLib; int main () { Date d1(14, February, 2014); …
roirodriguez
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Quantlib R integration using different versions of g++

I am working on an R project where I need to interface with quantlib. I work with Windows (my firm does not have good support for Unix). I have a quantlib library compiled with the latest mingw tools (g++-4.8.x) and it is working pretty well so far.…
yuez
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Installing Quantlib Python PyQL library: seems not to be able to find Boost

I am trying to install the Python PyQL library which wraps Quantlib but it seems to be failing to find some boost headers. I already have the latest version of Quantlib (1.3) working and located in the /usr/local/lib directory, along with Boost…
Thomas Browne
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error when building jquantlib with maven

I tried installin jquantlib by following the instructions in http://www.jquantlib.org/index.php/JQuantLib_Users_Guide#Building_JQuantLib_from_command_line However, I get the following errors when I run "mvn clean install" in the jquantlib-all…
user1943079
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Quantlib with boost for iOS build on xcode 4.6

I'm trying to build quantlib for xcode 4.6. The project of concern is this one: https://github.com/philipbarnes/quantlib-on-iOS This quantlib project relies on this boost project: https://gitorious.org/boostoniphone/boostoniphone My problem is I…
user997122
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Installing QuantLib python SWIG module on Google app engine

I am new to GAE. I wish to use the QuantLib python library (SWIG) as a module inside google app engine. I was following this blog post to set up QuantLib-SWIG on Ubuntu. http://blog.quantess.net/2012/09/26/quantlib-get-it-working-on-ubuntu/ I have…
Nitin
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C++ : use of class and constructor

I am having a rough using the QuantLib::TimeSeries class from the QuantLib library. My problem doesn't relate to QuantLib and its intricacies, but in more general C++ class use I think. The QuantLib::TimeSeries is described here. In my code (that…
tagoma
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