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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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Running QuantLib python on 'apple silicon' Macbook

I am trying to run Quantlib-Python on a Macbook with M1 processor (Big Sur v11.3) following https://www.quantlib.org/install/macosx-python.shtml. I have managed to install Quantlib 1.22 and Python 3.9.4 via homebrew: Pouring…
Jack Chambers
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How to calculate the local volatilty surface using QuantLib?

I'd like to calculate the local volatility surface for a series of option strikes, similar to the surface described in this paper: http://www.ederman.com/new/docs/gs-local_volatility_surface.pdf This is the image I am referring to in the…
Contango
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How to use swap rate helper in QuantLib to build yield curve with fixing days for the floating leg

I want to use the swap rate helper to build yield curve. The product may consist of a fixed leg and a floating leg. For the floating leg, we need to fix the float rate one day before the accrual start date. But when I use the swap rate helper, I…
Shanna
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Which python can access a pre-compiled version of Quantlib?

I was wondering if anybody knows where such an information is readily available. Installing an UN-compiled version of QuantLib on Windows is such a hassle that I would rather modify my python version in order to pip install Quantlib. Thank You.
Olivier Ipa
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Quantlib Svensson fitting issues

I've been trying to build a bond curve using QuantLib (Python) but the fit that I get for a very reasonable number of securities is really bad (straight line). Maybe I need to calibrate the parameters (simplexLambda or number of iterations or…
lg1993
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Retrieving Black vol from Quantlib BachelierSwaption price

I want to retrieve a Black Vol from a swaption price calculated by the Quantlib BachelierSwaptionEngine. It looks like this can be done in Quantlib via an optimizer (such as the newton method) or direct via the impliedVolatility method. I'm unable…
Oamriotn
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RQuantLib won't load when deploying a shiny app

I am having an issue when deploying a shiny app that requires the package RQuantLib. When I'm running my application, everything works fine, even the part where the RQuantLib package is needed. However, when deploying the application, the process…
L Rolland
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Qt error in linking dynamic library

I am new to working with Qt in windows environment and I am facing issues in linking dynamic libraries for the project. I built boost and quantlib as dynamic libraries and included in the project, but the application is throwing the error:"…
Som
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Quantlib preprocessor directives

I'm starting with Quantlib in C++ and am trying to run an example code. I've been following the tutorial in https://www.youtube.com/watch?v=Wn_D19c2ABU&t=569s I'm confused when, at 5:36, he writes the following directives (?) to the…
Nick Ben
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Problems getting Python Swig to run

I am trying to get Quantlib in Python to run. I had it running but had to make a new clean install and now I am struggeling getting it again running. I think the main problem seem to be in the wrapper. My OS is Windows 10 and I am using python…
MCM
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gcc compiler not recognizing -fno-plt option

I am trying to compile QuantLib Python SWIG bindings on Amazon's EC2 instance with Amazon Linux AMI. I have managed to compile QuantLib itself successfully, however, when trying to compile anaconda python swig bindings, I am getting an error with…
suhasghorp
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python 3.6: No module named _QuantLib after installation of QuantLib and QuantLib-SWIG

I am trying to install QuantLib and Python QuantLib-SWIG on Mac OSX 10.12.5 Sierra and Python 3.6.1., but get error messages: ImportError: dlopen(build/lib.macosx-10.7-x86_64- 3.6/QuantLib/_QuantLib.cpython-36m-darwin.so, 2): Symbol not found: __…
Taylor Fitch
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How to compile Quantlib via Xcode?

I am trying to install QuantLib on my Mac running OSX 10.11.6. Installed Boost 1.59 via MacPorts and then followed these instructions. I used these additional environment variables ./configure --with-boost-include=/opt/local/include/ \ …
R. Tomassetti
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How to price a SimpleCashFlow

I would like to use QuantLib to price a portfolio of liabilities, which are modeled to be deterministic future cash-flows. I am now modelling them as a strip of FixedRateBonds with zero coupons, which seems like a very inelegant…
PvK
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How to advance the day in Quantlib

My understanding is that in order to advance the day, you do something like this: ql.Settings.instance().evaluation_date = calculation_date + 1 However, when I execute the following code, I get the same value for the options: import QuantLib as ql …
Ivan
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