QuantLib.jl
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pazzo83
Quantlib implementation in pure Julia
Hi, I got an error when trying to install the most recent QuantLib version using Pkg (Julia 1.7.2, Win 11 64bit): ``` (@v1.7) pkg> add "https://github.com/pazzo83/QuantLib.jl" Updating git-repo `https://github.com/pazzo83/QuantLib.jl` Resolving...
Hi, I have just downloaded the package and run test in a clean environment. All tests pass but the last one. I am on Julia 1.6.1. If I replay the...
I am getting wrong schedule output in couple of situations. Here is one example: ``` using QuantLib effectiveDate = Date(2021,9,15) terminationDate = Date(2032,9,1) convention = QuantLib.Time.Unadjusted() termDateConvention = QuantLib.Time.Unadjusted() cal...
Hi, This is going to be an odd question. I'm comfortable with the original QuantLib C++ projects and all the patterns that it uses (and there are a lot of...
I'm trying to price a fixed-rate coupon bond using the bond's yield. The code I'm using is the following: ```` using QuantLib, Dates # Params settlement_date = Date(2015, 1, 5)...
julia> using Pkg julia> Pkg.clone("https://github.com/pazzo83/QuantLib.jl.git") ┌ Warning: Pkg.clone is only kept for legacy CI script reasons, please use `add` └ @ Pkg.API D:\buildbot\worker\package_win64\build\usr\share\julia\stdlib\v1.3\Pkg\src\API.jl:664 Cloning git-repo `https://github.com/pazzo83/QuantLib.jl.git` Updating git-repo `https://github.com/pazzo83/QuantLib.jl.git` Resolving...
Hi @pazzo83 This package looks great and will be a good inspiration for me and my team. I also considered QuantLib originally, but we are based in Asia and one...
It would be very fortunate to have a Roadmap of features that are missing, as well as the current scope of the next releases! Not only for the users of...
I'm unable to use QuantLib.jl due to some sort of problem with Dierckx or QuantLib itself. I've tried the recommended fixed to manually install Dierckx, build, it, et cetera, to...
