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the BS model should return premium and greeks when expiry is zero befor cutoff time
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I'm using the python Quantlib implementation to run monte carlo simulations and implemented different processes (`GeometricBrownianMotionProcess`, `HestonProcess`, `BlackProcess` and `Merton76Process`…
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I have a package referencing a some local packages like so:
```
"devDependencies": {
...
"just-scripts": "file:C:/git/microsoft/just/packages/just-scripts",
"just-ta…
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When calling `Calendar::advance()` with business days starting on a weekend or a holiday, the current logic "consumes" one day to get to a good day and then advances by N-1 business days. In other wor…
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When trying to build the latest version I run into the following error:
```
> cmake --preset release
Preset CMake variables:
CMAKE_BUILD_TYPE="Release"
CMAKE_COMPILE_WARNING_AS_ERROR="ON"…
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When running the recommended script the script fails at setup.py build (is able to build the wrappers):
C:\Program Files (x86)\Microsoft Visual Studio\2019\Community\VC\Tools\MSVC\14.24.28314\bin\Hos…
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I installed `phoronix-test-suite` from the AUR, and to run one of the tests I run this:
```bash
phoronix-test-suite run aobench
```
I then get this prompt:
```bash
[PROBLEM] pts/aobenc…
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The `DefaultLossModel` class inherits non-virtually from `Observable`, which is flagged as a problem by LGTM (see [here](https://lgtm.com/projects/g/lballabio/QuantLib/alerts/?mode=list&severity=error…
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Both [Excel](https://support.office.com/en-us/article/xirr-function-de1242ec-6477-445b-b11b-a303ad9adc9d) and [LibreOffice](https://wiki.documentfoundation.org/Documentation/Calc_Functions/XIRR) provi…
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Hi All,
I am trying to build ORE 1.8.9 using only the release tag for both ORE and QuantLib, but I have the following errors during building in VS 2019
```
Severity Code Description Project File…