-
Continuous Life calc
PIQ
Fair Allocation
Econ Data vs Future contract
Optimized Portflio weights
http://www.academia.edu/23340430/Options_Futures_and_Other_Derivatives_9th_Edition_by_John_C._Hu…
-
The market convention in Canada is to quote a money market equivalent…
-
Hello, QuantLib 1.22 fails to build on OS X 10.11.6 using the compiler Apple LLVM version 8.0.0 (clang-800.0.42.1) that comes with Xcode 8.2.1:
```
nthorderderivativeop.cpp:59:41: error: default i…
-
If you have a VanillaSwap which started in the past, and you ask for the floatingLegBPS, then the value returned includes the effect of a rate shift on all the coupons which have yet to be paid, even …
-
Hi,
I am using Python 3.10 and I have been building a package on top of QuantLib 1.32 and decided to upgrade to QuantLib 1.35. After the upgrade, I see that all of the tests are passing but I am re…
-
I bumped into a problem with historical CDS valuation as of 19 jun 2009 and 19 mar 2010. The easiest way to replicate is to take [example provided](https://github.com/lballabio/QuantLib-SWIG/blob/mast…
-
A question that is not clear in the documentation but very important is whether the input yield is zero-coupon yield or yield of coupon-bearing bonds when calibrating the NS model.
-
https://github.com/epogrebnyak/FinancePy/blob/ced721983c617f0138f9a4b0fabfc29ec4cf9df2/tests/test_european_call.py#L11-L12
Why is test year-month-day?
https://github.com/epogrebnyak/FinancePy/b…
-
Asian geometric average option is priced by an adjusted Black-Scholes because the underlying is a log-normal distributed. Thus, we should be able to output the greeks, such as, delta and gamma. Howeve…
-
the BS model should return premium and greeks when expiry is zero befor cutoff time