QuantLib
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lballabio
The QuantLib C++ library
Hello all, I'm new to R-Quantlib so trying to learn by examples. I've just started with the sample below with the objective of pricing a ZCB given a swap structure...
Computing cdf boundaries was wrong. In case xl is positive, while loop lowers xl but only to 0, if it is negative xl (through while loop) rise towards 0. In...
Hello - I'm trying to use CdsOption in order to price CDS payer/receiver options. Been through pretty much everything online, but still can't match what I see in BBG's CDSO...
Hi team, Can you help me to understand why I cannot build the cpp in new project as the error is like this: "LNK1104 cannot open file 'Quantlib-x64-mt-gd.lib'.  I...
As discussed in issue #1414, I've written special overloaded operators for InterestRate objects and changed many parts of the code base where this operator could be used. All of these...
Accelerated Continuous Integration builds with CMake using the [Ninja generator](https://ninja-build.org/): - Faster multi-core builds on all platforms via efficient use of all cores - Fully parallel Windows MSBuild on multi-core...
Hello Luigi, all Do you mean it would make sense to remove the QL_REQUIRE() check of "not increasing" nationals in the bond.cpp? Generally, there are fixed income instruments which have...
extend OvernightIndexedCoupon and OvernightLeg with fixing days, observation shift, lockout and no payment lag on final payment I am not a professionaly trained C++ programmer... Also, i'm not set up...
Hi, Currently I believe the EOM rule kicks in for date advance() if the start date is the last **business** day of the month. However, there are use cases where...
Hi, I have a question, I am trying to evaluate Caps using TreeCapFloorEngine and G2 short rate model, what do we usually use in this case to calibrate the G2?...
