QuantLib
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lballabio
The QuantLib C++ library
Quantlib allows for timing adjustments using the BlackIborCouponPricer class. However doing so returns non-zero NPVs even for spot starting vanilla swaps priced at fair (market input) rate. A vanilla swap...
Reduce space usage of discrete integrals, no need to allocate extra space.
I have this simple setup : class Model { double myRate; double myVol; std::vector params_pointers; void setParamsPointers() { params_pointers[0] = &myRate; params_pointers[1] = &myVol; } public: Model(double rate, double vol)...
For pricing bonds that are issued with face values other than $100 (e.g. baby bonds which are issued with FV of $25), there is an automatic conversion of any prices...
I noticed some more bond functions that currently accept only a clean price. This PR extends them to accept either dirty or clean price and adds the relevant priceType parameter....
### Feature Request Hello, QuantLib Development Team. Recently, I have been researching how to use Doxygen or Sphinx to generate documentation for C++. Through this, I have gained some understanding...
Hey, hope you're doing well! While delving into QuantLib, I've been really impressed by its well thought out API. I'd like to suggest and champion an effort to add a...
`OISRateHelper` class does not appear to be using the calendar passed to the `paymentCalendar` parameter for calculating the start date of the helper. I'm constructing Chile Camara today and 6/19...
MakeOIS defaults settlement days to 2. That's the right value for all the OISs i care about except for SONIA, where it should be 0. It's mildly annoying to have...
As [a blog post](https://www.clarusft.com/fast-valuation-of-seasoned-ois-swaps/) points out: > OIS swaps have coupons determined by compounded daily interest rates settled every few months. The valuation of future coupons is computationally similar to...