Stack Overflow
Stack Overflow

Questions tagged [quantlib]

QuantLib is a free and open-source library for quantitative finance.

QuantLib is a free and open-source library for quantitative finance. Originally written in C++, it has since been ported to several other languages, including C#, Java, Python, and R.

References

399 questions
17
votes
1 answer

QuantLib OpenOffice/Excel YIELD / PRICE functions

Can somebody provide an example of how to replicate the Excel/OpenOffice YIELD and PRICE functions using QuantLib? I have a few examples but I don't quite understand all the setup yet. When I try to change some values I either get zeros out or some…
edA-qa mort-ora-y
  • 30,295
  • 39
  • 137
  • 267
13
votes
6 answers

Fast Implied Volatility Calculation in Python

I am looking for a library which i can use for faster way to calculate implied volatility in python. I have options data about 1+ million rows for which i want to calculate implied volatility. what would be the fastest way i can calculate IV's. I…
Neetesh
  • 131
  • 1
  • 1
  • 3
13
votes
3 answers

Python quantlib examples?

Does anyone know of any good quantlib examples for Python? I cant seem to find any anywhere...
skyeagle
  • 6,925
  • 16
  • 56
  • 71
10
votes
1 answer

Calculating EuropeanOptionImpliedVolatility in quantlib-python

I have R code that uses RQuantlib library. In order to run it from python I am using RPy2. I know python has its own bindings for quantlib (quantlib-python). I'd like to switch from R to python completely. Please let me know how I can run the…
AnalyticsBuilder
  • 4,111
  • 4
  • 24
  • 36
10
votes
1 answer

Pricing a Floating Bond in quantlib using Python

I am trying to price a very basic floating rate bond in python using the Quantlib (v1.2) SWIG wrapper. I modified the example included with the documentation. My bond has a 4 year maturity. The libor is set to 10% and the spread of the bond is 0.…
ducky
  • 1,113
  • 1
  • 11
  • 23
8
votes
1 answer

Why did QuantLib introduce the Handle class?

I check this slides but still didn't get : 1) what problem does Handle sovled? 2) what is the benefit to add the Handle class? From its source code, I cannot get any clue either: template class Handle { protected: …
camino
  • 10,085
  • 20
  • 64
  • 115
8
votes
0 answers

RQuantLib install on OSX fails to detect QuantLib installation

I'm trying to install RQuantLib on a MAC (OSX 10.10) with an up to date version of R (3.2.2). I understand the RQuantLib requires QuantLib and have compiled and installed it, apparently successfully. At least when I type quantlib-config…
Edward Nelson
  • 81
  • 3
7
votes
2 answers

QuantLib in R: Bond Setup

I'm trying to build a US Treasury curve spline through QuantLib using the exponential spline fitting function. However, I'm getting very odd results and can't figure out why. Namely, negative rates from the generated discount curve where the inputs…
user6142489
  • 512
  • 2
  • 10
  • 28
7
votes
3 answers

Installing QuantLib in Anaconda on the Spyder Editor (Windows)

How do I install the QuantLib Package in Anaconda. I have tried the following code; import QuantLib as ql but I am getting the following result; ModuleNotFoundError: No module named 'QuantLib' Can anyone assist me
ccc
  • 189
  • 1
  • 3
  • 12
6
votes
2 answers

What is the right way to use QuantLib from multiple threads?

I haven't been able to find any documentation explicitly describing QuantLib's thread-safety properties (or the absence of them!). The QuantLib configuration documentation lists a number of compile-time options related to thread safety, from which i…
Tom Anderson
  • 46,189
  • 17
  • 92
  • 133
6
votes
1 answer

Compiling Quantlib via SWIG for C#

Anyone have any experience using SWIG? I am currently researching QuantLib and saw that C# code can be generated using SWIG. We are exploring options to create a combined library of financial functions using QuantLib and a proprietary closed source…
Ahmad
  • 22,657
  • 9
  • 52
  • 84
6
votes
1 answer

Can't get RQuantLib working with brew installed quantlib under osx 10.9.4

I've been trying to install RQuantLib package via install.packages("RQuantLib") It keeps giving me the following errors * installing *source* package ‘RQuantLib’ ... ** package ‘RQuantLib’ successfully unpacked and MD5 sums checked checking for…
John
  • 660
  • 10
  • 26
6
votes
2 answers

Equivalent of python:scipy.optimize() in C++?

Specifically I am looking for an optimizer function like scipy.optimize.fmin_l_bfgs_b .. Can someone help me please ? Or provide pointers ? Thanks!
user1341973
  • 61
  • 1
  • 2
5
votes
2 answers

Python Quantlib convert Quantlib Date to datetime

I have a list of dates defined in the Date format of quantlib. How can I convert these into datetime format. The reason I am asking is, that I would like to plot it and I received the follwoing error: TypeError: float() argument must be a string or…
MCM
  • 1,479
  • 2
  • 17
  • 22
5
votes
3 answers

QuantLib starter guide

Is there a good starter document on quantlib (http://quantlib.org)? The examples are not well documented, and the help does not give that much insight.
John Smith
  • 12,491
  • 18
  • 65
  • 111
1
2 3
…
26 27