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 …
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 …
Newest 'quantlib' Questions - Quantitative Finance Stack Exchange
Q&A for finance professionals and academics Quantlib is an open-source C++ library for quantitative finance.
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 …
programming - QuantLib Python - Discount Factor Interpolation within ...
Nov 30, 2023 · QuantLib Python - Discount Factor Interpolation within curve nodes Ask Question Asked 2 years, 2 months 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-Python: use zero rates to get the originally bootstrapped ...
Let's say I am trying to build a curve using deposits, future and swaps with one of the three Quantlib methods in Python as below: crv = ql.PiecewiseLogCubicDiscount(2, ql.TARGET(), deposits + fu...
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 …
QuantLib Python: Calculate ZSpread - Quantitative Finance Stack …
Apr 17, 2024 · I am trying to use quantlib-python to calculate the z-spread of a fixed rate US corporate bond using a zero curve from swap rates provided. Here is the provided curve with dates, zeroes and …
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,...