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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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Installing RQuantlib package on Mac 10.12.1

I'm attempting to install the RQuantLib package from source, having already installed the requisite quantlib via brew install quantlib from the terminal. After first failing to find Boost, but then following this post, I attempted: >…
WMC
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How to pass boost::none to Python Quantlib

This is linked to one of my earlier question: Quantlib passing a date vector to Schedule class Basically, I have got everything working in C++. If I use Python, know how can I pass boost::none into a Python function? Many thanks.
Ben10
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Quantlib passing a date vector to Schedule class

I appreciate that Quantlib Schedule class can take a date vector as constructor. I have successfully built a schedule via this way. However, when I pass this schedule to vanillaswap constructor, the code starts to generate error on function bool…
Ben10
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Python quantlib error: DayCounter_yearFraction

I've been given this code, written in Python 3 using QuantLib. It is supposed to work as it is but I cant get it to work. Below is a minimalist example to reproduce the error. Could someone please take a look. import QuantLib as ql class…
user2696565
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Adding constant spread to yield curve using ZeroSpreadedTermStructure

Starting from a yield curve ycHandle (a YieldTermStructureHandle object), I would like to add a constant spread using the ZeroSpreadedTermStructure method. I did the following (working in Python with QuantLib 1.8): shift = 0 spread =…
Lorenzo di Bonaventura
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JQuantLib Option Volatility

I have tried running through C++ documentation for finding Options volatility, that's embedded into the price of an option. However to my dismay, I couldn't use it. Upon investigation and backtracking, I could see that the ImpliedVolatilityHelper…
kris123456
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Quantlib Floating rate bond with known first cash flow and forecasted cash flows equal

I am trying to price a floating rate bond and I already have the discount curve built with quantlib on C++. Now what I would like to do is to use the FloatingRateBond class and create a set of cash flows where the first cash flow is known (given…
Lucas Triana
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Not able to build QuantLib on ubuntu

Code #include #include int main () { return 0; } Library installation sudo apt-get install libquantlib-1.1 QuantLib Config $quantlib-config --libs -L/usr/lib -lQuantLib $…
user721570
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QuantLib Date class in Visual C++ 2010

I just started this simple Quantlib date class in VC++ Express 2010: #include #include #include "ql/time/date.hpp" int main(int, char* []) { QuantLib::Date d(1, QuantLib::January, 2010); std::cout<
user3078106
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C++ Quantlib EXC_BAD_ACCESS in Xcode

I've been trying to run some of the example code (BermudanSwaption) in Xcode but keep getting an EXC_BAD_ACCESS code=2. But compiling and running the BermudanSwaption code in the terminal works correctly. The following code throws the same error in…
Kaush
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How can I apply a TortoiseSVN generated patch to a git repository in Windows?

I was working on a project that was in subversion, but then it got migrated to git before I managed to commit the latest changes. I created a patch file using TortoiseSVN, but now I don't know how to apply it. I tried using git apply but it didn't…
Grzenio
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QuantLib Multithreading/Concurrecy

I am fairly new to QuantLib and don't yet know all the ins and outs of the source but I was trying to test out a simple multi threaded calculation of several option's NPVs and am getting runtime errors. Here's my test code which is just expanded…
user2183336
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Whats the best to call QuantLib methods from C#

I am gonna use QuantLib in C# app (http://quantlib.org/docs.shtml) but I don't trust their .NET conversion project (too immature). I need only options valuation part. anyone used it in managed app? whats the best approach?
Boppity Bop
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JQuantlib on Google App Engine

I have been wondering: Has anyone successfully deployed a Google App Engine which uses JQuantlib? JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java. Does anyone know whether this is possible at…
chris.schuette
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build a simple BlackVarianceSurface in python

I am trying to build a BlackVarianceSurface so that I can compare interpolation result with mine. What i did is todaydate = Date(1, January, 2010) maturity=[] for i in range(24): maturity.append(Date(1, January, 2010)+Period(i, Months)) k =…
archlight
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