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 …

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 …

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,...

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 …

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 …

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

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...

Oct 28, 2020 · This is a very basic question, I am convinced this has been answered before but I cannot seem to find it. What is the best approach for constructing a USD Libor forward curve from market …

Jul 16, 2024 · I'm currently working with QuantLib's FuturesRateHelper and I'm a bit confused about the iborStartDate parameter. According to the documentation and some code snippets, iborStartDate is …

Aug 14, 2024 · QuantLib Swaption Pricing Ask Question Asked 1 year, 5 months ago Modified 1 year, 1 month ago