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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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Can I access QuantLib libraries from Matlab?

Is is possible to access the quantlib libraries from Matlab? The poster here seems to think so (but the thread is pretty old) A real easy way of talking to Quantlib from Matlab is to call the java wrappers for Quantlib. Matlab is written in Java…
Bazman
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Quantlib as PHP extensions with SWIG

I would like to make some quantlib functionalities to be available from web applications, and I have started developing PHP extensions to do it. Obviously the idea is not to make all quantlib api available from PHP but yes to develop some modules…
joseprupi
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Import of SWIG python module fails with apache

Importing a python mdule throws an exception in django when I run with apache. The same source code works fine with the django development server. I can also import the module from the command line. The module is a Python SWIG library. I have…
Tim Glauner
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Octave and SWIG. mkoctfile complains: unrecognized argument

I am in the process of writing a lightweight Octave binding to Quantlib, using SWIG and mkoctfile. I am following the documentation found on the SWIG and Octave homepage. From the SWIG documentation: 27.2.1 Compiling a dynamic module Octave modules…
Homunculus Reticulli
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Python-calling method outside of class

I come from ruby/C# and am new to Python. I'm looking at the following code: def raiseFlag(): global flag flag = 1 class TermStructureTest(): def testImpliedObs(self): global flag flag = None h =…
Wadstk
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Quantlib build error: "Cannot open include file: 'boost/config.hpp': No such file or directory"

I installed Boost-1.83 (already tested) and I am now trying to build quantlib 1.31.1 by following this tutorial https://www.quantlib.org/install/vc10.shtml. I made sure it is working properly in a separated project. While building Quantlib, I got…
Raphael Poix
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Quantlib and utils cannot import name 'to_datetime'

I am trying to re-excecute the notebbok explained in this video. However I get the error message when I try to import to_datetime form utils library which is correctely installed on my system (Win 7 enterprise). from QuantLib import * import pandas…
Oscar
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LNK1104 error with python setup.py build

I have built Quantlib on Windows using Visual Studio 2017 and want to build Quantlib-SWIG for Python. However, I have LNK1104: error. Namely, after launching Command Prompt from C:\QuantLib-SWIG-1.12\Python directory I receive this error: fatal…
gencho
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QuantLib parametrization stochastic volaltility

I was trying to replicate this paper (which is about to the Heston Model) using QuantLib tool (python 3.5). Following the Python Quantlib Cookbook I was able to setup the parameters of page 12 from the paper. Quantlib´s result is 0.0497495 which…
Newbie
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Fatal error in installing Quantlib-python

I have built QuantLib using Visual C++ 2010 Express Edition after converting it from a version built under Visual C++ 2008 Epress Edition. My system is a 64 bit. I get the following error: fatal error lnk1112: module machine type 'X86' conflicts…
Francesco Messeri
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Quantlib : forecastingFixing() vs pastFixing()

Quantlib has 2 methods as below: virtual Rate forecastFixing(const Date& fixingDate) const = 0; Rate pastFixing(const Date& fixingDate) const; Am I right in saying : forecastingFixing() method rely on yield curve constructed to get the rate? …
Suresh Ganapathy
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Upgrading Python in Django cartridge in Openshift to install Quantlib-Python

I am using the Django cartridge in Openshift. This cartridge has Python version 3.3.2. Is there a way to upgrade the python to 3.6? I am trying pip install QuantLib-Python in ssh console. It gives me the following error: Collecting QuantLib-Python …
user1881214
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QuantLib installation fatal error C1083 boost/config.hpp & boost/test/unit_test.hpp

I know this issue has been discussed here before. But after I followed the suggestions and added the paths via Visual Studio, I'm still stuck: In VS, I have: Additional Include Directories: C:\local\boost_1_58_0 Additional Library Directories:…
Jasper C.
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QuantLib 1.9 install on OS X

The error clang: error: linker command failed with exit code 1 (use -v to see invocation) on running the compile example, from http://quantlib.org/install/macosx.shtml, g++ -I/opt/local/include/ -I/opt/local/include/boost BermudanSwaption.cpp \ …
rrg
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missing payoffs.hpp and other .hpp from version

When building the Windows C++ version of quantlib 1.9.1, I get this error of missing payoffs.hpp. When I browse to the directories, I see payoffs.cpp, but not payoffs.hpp: Severity Code Description Project File Line Suppression…
Ivan
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