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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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RuntimeError: root not bracketed

class ComputeIV { public: typedef std::pair BidAsk; static Volatility ComputeImpliedVol(const Date evalDate, const Date expiration, ptime quoteTime, const Option::Type optionType, …
Ivan
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Parameter restrictions for Nelson-Siegel yield curve in quantlib

I am using QL in Python and have translated parts of the example file http://quantlib.org/reference/_fitted_bond_curve_8cpp-example.html#_a25; of how to fit a yield curve with bonds in order to fit a Nelson-Siegel yield curve to a set of given…
Lorenzo di Bonaventura
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Installing QuantLib Python under Windows

I am trying to install QuantLib Python under Windows. I dowloaded Christopher Gohlke precompiled version 3.5 64-bit and installed it, but got usual error after running it File "E:/Code/Centerprise/Positions/Common items/Python/Temp.py", line 4, in…
user1700890
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Multiplying an Enum in C++

I have some code that is multiplying an enum by an integer: QuantLib::Date date2 = date + 12 * QuantLib::Months; Where QuantLib::Months is defined as: enum TimeUnit { Days, Weeks, Months, …
Chris Spicer
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How do I get coupon payment dates for a simple fixed bond using quantlib, quantlib-swig and python

I am trying yo learn quantlib (1.3) & python bindings using quantlib-swig (1.2) in ubuntu 13.04. As a starter I am trying to determine the payment dates for a very simple bond as given below using 30/360 European day counter from QuantLib import…
kishore
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Bootstrapping using Quantlib Python

I want to bootstrap a yield curve in Python using QuantLib library. I know that when doing bootstrapping using C++, there is a function for bootstrapping called PiecewiseYieldCurve in QuantLiab, but when I am using Python, there is no such function…
user2391001
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On QuantLib's date class and C++11/boost Chrno

Is there a programatic and convenient way to convert from C++11 or Boost's Chorno to Quantlib's date class format?
pyCthon
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BOOST_MESSAGE undefined

I have installed boost_1_54 on windows by checkout from svn and then bootstrap .\b2 QuantLib library dependent on boost compiles well all but one project: test-suite which uses BOOST_MESSAGE. this is undefined. I can see that there is no…
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QuantLib+SWIG+C# 4.0+Visual Studio 2010: TypeInitializationException

I would like to add a small feature to QuantLib and compile it together with SWIG bindings to use in a C# project in Visual Studio 2010. I am however having problems at almost every turn. What are the steps involved in building QuantLib in Visual…
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Quantlib 64-bit for C#?

Just discovered Quantlib and am evaluating it for use. I am not a C++ developer, and no one on staff where I work really has deep experience with it, so I am pretty much following the instructions by rote found here:…
Phil Sandler
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QuantLib FixedRateBond versus Excel Yield()

I'm currently trying to calculate the Yield of Treasury Bonds in Python using the QuantLib library. As a reference I used the Excel Yield function, but I'm getting different results for the same input-values. I don't understand why I'm getting…
vicgil
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Quantlib: how to add forecast curve to existing index

I'm using python QL, and have a code that is repricing swap hedges. The hedges have a common hedge index, declared up front (say EURIBOR3M). Each hedge is repriced at its inception, as well as "now" (whatever now is). The index will also have some…
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How to include two C++ libraries - Boost and Quantlib - in node gyp?

I am new to working with node-gyp in making C++ Addons for JavaScript on Windows and have been struggling for a while with including Quantlib in my binding.gyp file. I was able to generate the .lib file from Quantlib's official site…
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Quantlib bootstrapping error, convergence not reached after 99 iterations

trying to build the spot yield curve for AUD by using the following data from bloomberg, RBACOR Index The Reserve Bank of Australia interbank overnight cash rate 0.03 ADBB1M 1m bank bill 0.005 ADBB2M 2m bank bill 0.015 ADBB3M 3m bank bill 0.015 the…
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Do QuantLib 1.1 + SWIG + Ruby 1.9 work on Mac?

For starters I would like to find out whether the latest version of QuantLib 1.1 is working with its Ruby bindings via SWIG with Ruby 1.9 on a Mac. I installed QuantLib and QuantLib-SWIG along with Boost and SWIG itself via Homebrew but I get an…
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