QuantLib
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lballabio
The QuantLib C++ library
Improving the ql.ConstNotionalCrossCurrencyBasisSwapRateHelper and ql.MtMCrossCurrencyBasisSwapRateHelper by adding a constructor that takes an overnight index and payment frequency as parameters. The current helpers have parameters in the link below: https://rkapl123.github.io/QLAnnotatedSource/df/d10/crosscurrencyratehelpers_8cpp_source.html
newzealand.cpp: 1. Missing Queen Elizabeth's funeral (26th september 2022): https://en.wikipedia.org/wiki/Queen_Elizabeth_II_Memorial_Day 2. It looks like Anniversary day is following the date for Wellington. Considering that Auckland is the financial centre for...
When calling `Calendar::advance()` with business days starting on a weekend or a holiday, the current logic "consumes" one day to get to a good day and then advances by N-1...
Actually, it may not be a big deal. I am currently using CMake >= 3.30 to build the project. It outputs a warning : ``` CMake Warning (dev) at CMakeLists.txt:164...
After upgrading from QuantLib (Python) 1.29 to 1.35 realized that #1879 broke some of my tests due to new holidays added to Brazil calendar. I made a quick (and dirty)...
This is with actual data from today, 1st day this has failed. Removing the OISRateHelper adds to "helpers", does not fail. If I move the businessDate forward to Sep 3...
When passed `maxEvaluations=0`, a fitted bond curve won't calibrate the parameters of its fitting method; it will use the ones passed, which were precomputed in some other way. However, the...
See . A possible solution is sketched at the end of the post.
For caps and floors pricing engines, I see that QuantLib has both Bachelier and Black versions (BachelierCapFloorEngine and BlackCapFloorEngine). However, for purposes of pricing a floating rate bond, I can...
Hi all, I am facing an issue with bootstrapping my Bbsw3M curve. I have sourced market quotes from LSEG Refinitiv for 3M deposit, futures, and swap rates. In using the...
