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Problem: If rate is negative (I used -0.012 - 0.12%), the BAW option pricing crashed with this error message: forward + displacement (-3.875e+14 + 0) must be positive
Code: https://github.com/lball…
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Hi @Enchufa2,
(Apologies in advance if this is out of scope.)
Back in March, [Amazon Linux 2023](https://aws.amazon.com/about-aws/whats-new/2023/03/amazon-linux-2023/) was launched. _tl;dr_ this…
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As described in [issue #191 at RQuantLib](https://github.com/eddelbuettel/rquantlib/issues/191), the macOS arm64 machines are behind (by a few years) in the versions of QuantLib (and Boost) used.
E…
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I include ofxiOSBoost in my Xcode project. I also include QuantLib 1.6 from http://iphonesdkdev.blogspot.nl/2015/06/quantlib-16-framework-for-ios-and-mac.html. The project uses c++11 with libc++.
On …
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In SeBS, we provide a representative set of functions and have developed a set of serverless workflows that will be included in the upcoming release. However, the serverless field is constantly changi…
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## Description
RcppDeepState supports the analysis of functions that contain arguments which type falls in the following list:
* `Rcpp::NumericVector`
* `Rcpp::NumericMatrix`
* `Rcpp::CharacterVec…
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If the curve is flat.
```python
import QuantLib as ql
import prettytable as pt
from datetime import date
print(ql.__version__)
'''
1.19
'''
today = ql.Date(28, ql.July, 2020)
ql.Sett…
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Hi I am a new user to pyql.
After installation and giving it a try for the past week, I found that the library is lacking tutorial and documentation.
Maybe the library is good enough for the develop…
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Hi all,
This post pertains to QuantLib version 1.16 and RQuantLib version 0.4.12 (ran in RStudio 1.1.419 with R 64bit 4.0.2)
Looking at the `Bermudan.R` file, I can see that the variable `increm…
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I'm trying to price a swap, and one of the floating legs is referring to 1M LIBOR. The trade start date and valuation date are both March-16, 2022, and the pays quarterly. Theoretically, the equivalen…