QuantLib

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review reference date adjustments in rate helpers

3

see the discussion here https://sourceforge.net/p/quantlib/mailman/message/36887679/

pcaspers

Discussion on users' list: https://sourceforge.net/p/quantlib/mailman/message/36923924/ Given undergoing libor replacement efforts, we’ll likely start seeing more overnight indexed swaps and floating rate notes that are behaving just like ois variable legs,...

ArkadiyN

Basket Loss & LHP Loss Model

1

Two small comments: 1. In https://github.com/lballabio/QuantLib/blob/master/Examples/BasketLosses/BasketLosses.cpp it says `Expected 10-Yr Losses` but in fact we have `advance(..., Period(60, Months))`. And 60 months are 5 years, not 10. 2. In https://github.com/lballabio/QuantLib/blob/master/ql/experimental/credit/gaussianlhplossmodel.cpp...

phil-zxx

comp spot val calc in overnight index future missing comp from eval to ref date

1

Hi Luigi/Peter, As discussed over email, the calculation of OvernightIndexFuture::compoundedSpotValue() needs to include the compound factor between evaluation and reference date. https://github.com/lballabio/QuantLib/blob/master/ql/experimental/futures/overnightindexfuture.cpp Best, Luis Chion

lmchion

Shared library does not 'need' boost_system

4

I built QuantLib (with `--enable-thread-safe-singleton-init` configured) on Linux. The shared library declares that it needs a few other libraries: ``` $ objdump -p ql/.libs/libQuantLib.so.0.0.0 | grep NEEDED NEEDED libstdc++.so.6 NEEDED...

tomwhoiscontrary

Issue with first period cashflow in FixedRateBond

6

I'm having an issue where the FixedRateBond class is unable to generate the correct cashflows under certain circumstances. I'm using the python bindings for quantlib 1.11. I'm also running this...

alexsbromberg

MCDiscreteArithmeticASEngine is insensitive to exercise date

7

Average strike option should have payoff H = max(0, S(T) - sum(S(t_i))) where 1

machalejm

zero spreaded rate curves / bond z-spread analytics ignore day counter

3

`ZeroSpreadedTermStructure` and `InterpolatedPiecewiseZeroSpreadedTermStructure`as well `BondFunctions::zSpread()` (which uses the former class internally) suggest that the spread can be given w.r.t. a day count convention specified by a `DayCounter` argument. However looking...

pcaspers

Bond helper constructors lose specific type information on underlying bond

1

See https://sourceforge.net/p/quantlib/mailman/message/36102362/

lballabio

Excessive branching in trinomial trees when a time step is unusually small

1

See https://sourceforge.net/p/quantlib/bugs/125/ by Dilip Mandal. Description in the attached file [quantlib_question.pdf](https://github.com/lballabio/QuantLib/files/1535784/quantlib_question.pdf).

lballabio