QuantLib
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lballabio
The QuantLib C++ library
See https://stackoverflow.com/questions/64851608/quantlib-vol-surface-different-strike-levels-for-different-tenors. It's not an obvious extension of `BlackVarianceSurface` because our 2-d interpolations require a fixed grid. It might require a different class that does its own interpolation.
Need help with adding the overnightSchedule to ql.OvernightIndexedSwap constructor in Python as done in C++: https://rkapl123.github.io/QLAnnotatedSource/d5/d34/class_quant_lib_1_1_overnight_indexed_swap.html
https://github.com/lballabio/QuantLib/blob/50ab670d72c3b64d07c7a8dd7f6a43582604f3f9/ql/math/interpolations/multicubicspline.hpp#L496 We might change the member to a non-reference type or change the ctor argument to optional?
https://github.com/lballabio/QuantLib/blob/50ab670d72c3b64d07c7a8dd7f6a43582604f3f9/ql/termstructures/volatility/smilesectionutils.cpp#L185 rightIndex_ might be zero here, so we should change the code to ``` if (rightIndex_ > 0) rightIndex_--; ```
I am working with the ConvertibleFixedCouponBond object (v1.23) and roughly following the below outlined steps: [http://gouthamanbalaraman.com/blog/value-convertible-bond-quantlib-python.html](url) I had a few miscellaneous questions with examples regarding some of the output I...
As discussed in the email chain, it would be useful in my view to be able to apply spreads to forward rates. I would like to be able to provide...
resolves #2396 Question:s How backwards compatible do we want to be, i.e. - can we maybe incorporate the scale into the quoteError()? - do we want an option to enable...
Instead of duplicating its code. This is effectively a public API because users are encouraged to override `zeroYieldImpl` with an efficient implementation. Also, delete dead `forwardImpl` in ZeroSpreadedTermStructure. This method...
This is an automated PR generated by the [create-pull-request](https://github.com/peter-evans/create-pull-request) GitHub action. Please review the changes before merging.
The rate helper implementations use different quote scales. For example, FutureRateHelper uses a quote in the order of 1E2 while SwapRateHelper uses 1E-2. This becomes an issue when we run...