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(), …
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 …
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 …
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 …
Newest 'quantlib' Questions - Quantitative Finance Stack Exchange
Sep 30, 2025 · Quantlib is an open-source C++ library for quantitative finance. Learn more… Top users Synonyms
programming - Heston volatility surface in Python QuantLib ...
Mar 21, 2020 · Does anyone have experience with the Python QuantLib function HestonBlackVolSurface? I'm trying to produce a 3D plot of the volatility surface as done in the …
QuantLib: How to price or construct a zero coupon swap using …
Nov 21, 2023 · However its giving me the AttributeError: module 'Quantlib' has no attribute 'ZeroCouponSwap'. Please let me know how to price the zero coupon swap using below details.
Guidelines for building complex C++ such as QuantLib and Open …
Jul 16, 2022 · I am looking for a guide for build correctly complex C++ projects such as those for quantitative finance and financial engineering such as QuantLib and Open Source Risk …
Calculating the Option price using Quantlib - Quantitative Finance ...
Aug 24, 2020 · I can calculate the fair price of a European Option using Quantlib as below - import QuantLib as ql maturity_date = ql.Date(15, 1, 2016) spot_price = 127.62 strike_price = 130 …
quantlib - Bootstrapping SOFR curve and Swap Payment Lag
Feb 1, 2023 · Can someone provide me an intuitive explanation of how discount factors are bootstrapped for SOFR when Swaps are trading with payment delay/ lag (e.g. of 2 business …