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It is the R interface to the 'QuantLib' Library and I believe it may be useful for accelerating my option pricing programs.
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The hash value seems to be dependent on the Boost version, which makes the corresponding test fail when run with Boost 1.62.0b1.
Rather than having to maintain values for different versions, I'd remo…
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Thanks for making this benchmark suite available. One question: I don't see any licensing information for this software.
Assuming that this code is based off QuantLib, which is available under a modi…
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Hi,
just verified with package (downloaded from sourceforge):
MD5 (QuantLib-1.8.tar.gz) = 5ac2cd9e3328baf3c6ecd1d6eaa10bb3
CMakeLists.txt file is missing in Examples directory; it is present in gi…
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FluffOS should build/run on OSX with packages installed with homebrew with ease.
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Hi,
While trying to build AUD and NZD curves, I realized Quantlib doesn't have explicit support for the BBSW and BKBM indexes. While it is possible to instantiate those indexes through the _IborIndex_…
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Hi,
I would like to create an object of MCEuropeanBasketEngine which has a constructor overloaded as follows:
``` csharp
public MCEuropeanBasketEngine(StochasticProcessArray process, string traits)
p…
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Hi @blackhole89, compliments for this nice project!
I have 2 questions/suggestions on it:
Q1. instead of V8 did you consider the option of using Duktape as a Javascript engine?
Amongst pros are:
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Since SWIG 3.0, [javascript is supported](http://www.swig.org/Doc3.0/Javascript.html).
So I'm wondering is there is any technical reason why no javascript wrapper exist for Quantlib (through SWIG)?
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Currently, BermudanSwaption has an input for rate quotes, tsQuotes. It would be more efficient to pass in a DiscountCurve object when you are valuing multiple options. It is also more ih line with the…