Best Practices for Maintaining and Automating Interest Rate Curve ...
Dec 14, 2023 · We are a small team managing about 20 scripts for bootstrapping interest rate curves using QuantLib. Our process involves taking in interest rate swap data, bootstrapping curves, and …
What is the best solution to use QuantLib within Excel?
PyXLL together with QuantLib-Python (actually, I've not tried this one on the field, yet) Each one has its pros and con's, I must admit QuantLibXL is harder than I thought before; being quite able to code …
Newest 'quantlib' Questions - Quantitative Finance Stack Exchange
Q&A for finance professionals and academics Quantlib is an open-source C++ library for quantitative finance.
Best practices for building an FX volatility surface with Quantlib in ...
Oct 5, 2023 · 4 Generally my question is: what are best practices for building FX volatility surfaces with Quantlib? In FX options, I would like to price structures such as risk reversals, strangles and …
Using quantlib in python to optimise SABR parameters
Oct 16, 2024 · I'm trying to use SABR to model volatility smile using QuantLib in python. Can someone provide an easy example of optimising SABR parameters using quantlib and returning a quantlib …
Quantlib: How do I price a ZC bond using the Hull White model?
Aug 10, 2020 · Does QuantLib provide a wrapper to calculate the zc prices using the HW model by any chance? The complete code is below import QuantLib as ql import matplotlib.pyplot as plt import …
BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve
May 23, 2023 · BootStrap with quantlib USD SOFR (vs. FIXED RATE) swap curve Ask Question Asked 2 years, 9 months ago Modified 1 year, 11 months ago
Quantlib ZeroCurve interpolation - Quantitative Finance Stack Exchange
I'd like to check how QuantLib does interpolation on rates if I use ZeroCurve constructor. As it was mentioned here, by using curve.nodes() you can get a list of rates, used for interpolation. So,...
Pricing a fixed rate bond in Quantlib Python
Oct 20, 2017 · I'm trying to implement a pricing model for fixed rate bonds with the code below. import QuantLib as ql import pandas as pd todaysDate = ql.Date(31, 8, 2017) …
QuantLib calculations for a Canadian corporate fixed rate bond differ ...
Mar 6, 2009 · I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters: Name Value CUSIP 12657ZAT0 Evaluation Date 2/14/2024 Settlement Date 2/16/2024 …