QuantLib
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lballabio
The QuantLib C++ library
# Description: I recently updated QuantLib from version 1.32 to 1.35, and noticed that a comparison in my code suddenly broke. The issue suggests that the __eq__ method for QuantLib.Date...
I have 2 issues I am running into while using the example of MC pricing from test suite for binary call/put options. 1) The premium calculated drops(rises) sharply at strike...
Hi, I'm trying to use Quant lib to price FX options. For some dates, when the settlement date is 2 days after the evaluation, and delivery two days after the...
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...
This pull request introduces the implementation of the generalized hyperbolic distribution to the QuantLib library under the ql/math/distributions module. The generalized hyperbolic distribution is a flexible family of continuous probability...
Hi, In FloatingRateCoupon fixingDate(), it hardcodes Preceding business day convention. https://github.com/lballabio/QuantLib/blob/1378d4989810cfa5f8024bd3664d14c8fff2d583/ql/cashflows/floatingratecoupon.cpp#L79-L84 What can be done if I want Following business day convention. An example is this Australian bank hybrid, where...
Opening this for discussion ... I added primitive polynomials up to degree 27 using the python package Galois. The addition of the source code seems to require around 25 MB...
Hi, I have a question on the setup of the tridiagonal system in the cubic interpolation (under the choice 'Spline' for derivative approximation. The tridiagonal system looks a bit different...
On Tue, 7 May 2024 at 20:35, Luigi Ballabio wrote: Does this also hold for partial-time barrier options? Luigi On Mon, Apr 29, 2024 at 9:44 AM Ashish Bansal wrote:...
