QuantLib

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ACT/ACT ISMA day counter

2

Hi, not exactly sure it's a desired behaviour, but ISMA (Old_ISMA Impl convention that takes not schedule as an input, to be precise) computes yearFraction from 28 Mar 2024 to...

AS90141

Added Interest-rate term structure in g2process constructor

5

I've added Interest rate term structure to G2Process and G2Forwardprocess. The term structure is used to add an additional term to the drifts of the underlying Ornstein-Uhlenbeck processes. This PR...

Hrushi20

Modify G2 processes so they take into account the interest-rate term structure

2

The [`G2Process`](https://github.com/lballabio/QuantLib/blob/v1.33/ql/processes/g2process.hpp#L34) and [`G2ForwardProcess`](https://github.com/lballabio/QuantLib/blob/v1.33/ql/processes/g2process.hpp#L62) classes only store and use the parameters of the G2 model. They should also use an interest-rate term structure, since the [G2](https://github.com/lballabio/QuantLib/blob/v1.33/ql/processes/g2process.hpp#L62) model includes it.

lballabio

add topic tags

1

I suggest adding topic tags in the About section beyond the current `quantiative-finance`. Some possibilities are `black-scholes`, `option-pricing` but I'm sure there are many more.

Beliavsky

Build fails with QL_COMPILE_WARNING_AS_ERROR=ON due an uniniti

3

Building 1.34 like this: ``` $ grep PRETTY_NAME /etc/os-release PRETTY_NAME="Debian GNU/Linux 12 (bookworm)" $ gcc --version | head -1 gcc (GCC) 13.2.0 $ apt info libboost-all-dev 2>/dev/null | grep Version...

tomwhoiscontrary

Hi, I am building the MXN OIS curve and it has to be built using a backward generation for both the fixed and the float the leg schedules. I have...

elopezarb

LatestRelevantDate for OISRateHelper and SwapRateHelper should likely depend on the presence/absence of an exogenous discount curve.

3

For a Fixed-Floating swap, the potential latest relevant dates for a given curve are the latest date needed to project a fixing and the the latest payment date of either...

sdacek

Failed to create a SwapRateHelper with frequency ql.Once

1

I'd like to create a SwapRateHelper for a swap that pays fixed leg interest at maturity. I tried ql.Once, but it gives me "unknown fixed leg default tenor" error. Some...

JackPai100

Duplicate arguments in LevenbergMarquardt optimization method

3

`LevenbergMarquardt` currently accepts `xtol` and `gtol` arguments in the constructor. These are passed as the respective arguments into the `MINPACK::lmdif()` call. These appear to be duplicates of `rootEpsilon` and `gradientNormEpsilon`...

eltoder

How can calculate the American put option's vega,rho?

4

The QuantLib's version in my os: import QuantLib as ql ql.__version__ '1.34' All the arguments related to the put option: settlementDate = ql.Date(11, ql.July, 2019) maturity = ql.Date(19, ql.July, 2019)...

hwypengsir