Peter Caspers
Peter Caspers
Following the suggestion from @sweemer in https://github.com/lballabio/QuantLib/pull/1368. As far as I understand: We require C++11 now and this implementation is indeed thread-safe in C++11. I am currently testing this in...
Consider the schedules `s1`and `s2`generated by the following code ``` #include #include #include using namespace QuantLib; int main() { Schedule s1(Date(15, January, 2020), Date(30, June, 2022), 1 * Months, NullCalendar(),...
SOFR is observed with a 1d lag, i.e. the rate for the fixing date `2021-04-22` (Thursday) is published on `2021-04-26` (Monday). The same holds for SONIA, TONA and ESTER. I...
see the discussion here https://sourceforge.net/p/quantlib/mailman/message/36887679/
`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...
If you set up a PiecewiseYieldCurve (or similar structures for Inflation, Default, etc.) with a fixed reference date, the object still reacts to changes in the evaluation date. This is...
when having this in ```ql/math/matrixutilities/all.hpp```, ``` #include // causes weird compile error ``` I get this compiler error (e.g. when doing make in the check subfolder) ``` g++ -Wall -Wno-unknown-pragmas...
Opening this for discussion ... I added primitive polynomials up to degree 27 using the python package Galois. The addition of the source code seems to require around 25 MB...
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?