eduzea

Effective duration of a callable fixed bond - can value be larger than modified duration?

6

I'm using the CallableFixedRateBond to compute effective duration. I'm finding a few issues/questions. My code is at the end (a link with runnable code in google Colab: [here](https://colab.research.google.com/drive/1s8_n5c78RLmI9Eh2Dxje0qMrF06_OgO3?usp=sharing) 1. The...

model object not defined?

1

It seems the object `model` has not been defined in this function, or passed as a parameter. Doesn't seem to be imported from elsewhere. Gives 'undefined variable: model' error. ```...

pricing a callable floater - valid combinations of swap/swaption classes, ir models, and swaption pricing engines

1

Hi, I'm looking to price a bermudan callable floating rate bond using quantlib. I'm trying to adapt the approach explained in the "Gaussian1D Model" notebook in the ql examples, that...