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i am wondering if anyone has encountered any accuracy problems in using the quantlib for computing bond risk analytic metrics including modified duration, Macaulay duration and convexity.
the result…
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The documentation for cadlibor points to a dead link. Not sure what it should be pointing to.
problem file:
https://github.com/lballabio/QuantLib/blob/0ec43027834220baf0a554d68de79a159a2c5489/ql/index…
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Just because my eye fell on it, julia has `expm1(x)` which is numerically stable for `exp(x)-1` as for example in the Ornstein-Uhlenbeck code, `(1.0 - exp(-2.0 * process.speed * dt))`
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Is there anything that must be done to use the solvers that are available? It doesn't seem like there are any solve() methods being generated. Tried Bisection and Brent.
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Has somebody tested the Convex-Monotone interpolation looking at the data points vs the interpolant?
I find that the interpolant does not even go through the data points. I'm wrapping around it in a…
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I have been trying to use both QLNet and Quantlib (C++) library. I find that QLNet is not updated with all functionalities and features as available in Quantlib. Is there an active development effort …
ohm77 updated
8 years ago
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Hi,
I can use QuantLib-1.6.2 but cant compile QuantLib-SWIG-1.6.1 (Python bindings) on
my Mac, when I try to run the Python test code. Has anyone
got this to work?
Python 2.7.10 |Anaconda 2.3.0
boo…
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ping @staticfloat
I am having trouble to install ProfileView. I fail with building homebrew. the below output comes after `Pkg.update()` (where this error also occurs), and after removing Homebrew, G…
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When running the unit test for Stulz engine, I noticed that option value was different if I was using ACT360 instead of ACT365fixed despite the fact that option maturity is expressed in years.
Here be…
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First I would like to thanks the developer for that quality project, it is really much appreciated.
I was looking for pricing European option on the max of two assets. I can see that in the class pay…