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 python ql.schedule getting end of month dates
Apr 1, 2020 · QuantLib python ql.schedule getting end of month dates Ask Question Asked 5 years, 1 month ago Modified 2 years, 2 months ago
Understanding SOFR Fixing Rate Retrieval for Future Dates in QuantLib
Jun 15, 2023 · I am using QuantLib to calculate the SOFR index for a bond's (ISIN : US025816CL12) cash flows. My objective is to understand how QuantLib computes the SOFR fixing rate for future …
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,...
QuantLib Bond Yield - Quantitative Finance Stack Exchange
Nov 11, 2020 · I think I have the same question as was asked here but I still haven't been able to resolve my issue: Excel YIELD function equivalent in python Quantlib I am trying to calculate the …
hullwhite - QuantLib - Calibrating Hull White one-factor on negative ...
Nov 10, 2020 · I have been working with the QuantLib Python package for some days now. Currently, I am working on calibrating a Hull White one-factor model for short rates. I am calibrating the model on …