quantlib-swig

QuantLib Python Hull White Model - RuntimeError: time (20) is past max curve time (19)

由 [亡魂溺海] 提交于 2021-01-07 04:53:06
问题 I tried using QuantLib-python to run several iterations of a Hull-White model. I followed along with the code and blog here: http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html I made some edits from Balaraman's code on the site. Namely, I changed the spot_curve from being a FlatForward to a ZeroCurve. Now I keep getting an error. I am trying to model the zero curve data as seen in my code below. Does anyone know how to fix this and implement the zero curve in

QuantLib Python Hull White Model - RuntimeError: time (20) is past max curve time (19)

由 左心房为你撑大大i 提交于 2021-01-07 04:52:41
问题 I tried using QuantLib-python to run several iterations of a Hull-White model. I followed along with the code and blog here: http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html I made some edits from Balaraman's code on the site. Namely, I changed the spot_curve from being a FlatForward to a ZeroCurve. Now I keep getting an error. I am trying to model the zero curve data as seen in my code below. Does anyone know how to fix this and implement the zero curve in

python 3.6: No module named _QuantLib after installation of QuantLib and QuantLib-SWIG

由 可紊 提交于 2020-01-24 16:56:31
问题 I am trying to install QuantLib and Python QuantLib-SWIG on Mac OSX 10.12.5 Sierra and Python 3.6.1., but get error messages: ImportError: dlopen(build/lib.macosx-10.7-x86_64- 3.6/QuantLib/_QuantLib.cpython-36m-darwin.so, 2): Symbol not found: __ ZN8QuantLib10DateParser14parseFormattedERKSsS2_ Referenced from: build/lib.macosx-10.7-x86_64- 3.6/QuantLib/_QuantLib.cpython-36m-darwin.so Expected in: flat namespace in build/lib.macosx-10.7-x86_64-3.6/QuantLib/_QuantLib.cpython-36m-darwin.so as

Issue installing QuantLib Python

由 冷暖自知 提交于 2019-12-24 11:15:29
问题 I am trying to install QuantLib Python. So, I followed through and installed: 1) Anaconda3, boost_1_64_0, QuantLib-1.10, QuantLib-SWIG-1.10,swigwin-3.0.12. 2) I installed using Visual Studio 2017, QuantLib. I followed a youtube video and managed to install it correctly and run an example. 3) Then I switched back to the indications in http://quantlib.org/install/windows-python.shtml, I execute the commands: cd C:\local\QuantLib-SWIG-1.10\Python set QL_DIR=C:\local\QuantLib-1.10 set INCLUDE=C:

Python binding through QuantLib-SWIG

由 假装没事ソ 提交于 2019-12-23 05:45:37
问题 I have been trying to get Python binding for QuantLib working for a while now but without any success so far. I did follow QuantLib installation guidelines and wiki. That is to build QuantLib using VC9 and not VC10 which works fine for me. When I try to build Python setup file, I am being told that MSVC cannot detect QuantLib installation. Please could someone be kind enough to advise what I am missing here. As you would have realized by now, I am much of a beginner with this and apologize if

Using QuantLib to compute cash flows for FloatingRateBond with Floor

由 旧街凉风 提交于 2019-12-21 20:53:33
问题 Very new to QuantLib so guessing this is a rookie mistake. Enjoyed getting to know this powerful library so thank you to the authors and contributors! I'm able to generate amounts for cashflows for a FloatingRateBond without a pricer if there isn't a floor argument, so I don't understand why including a floor argument would necessitate a pricer. I would think the addition of the floor would just provide a min for each of the fixing values. Wanted to see if anyone has gotten the

Quantlib-SWIG 1.12.x for Python error, missing Quantlib/quantlib_wrap.cpp in windows

由 倖福魔咒の 提交于 2019-12-11 08:57:35
问题 I downloaded both Quantlib-SWIG 1.12.x and Quantlib 1.12.x from github. Quantlib is compiled without and problems. The examples ran normally. However, when run python setup.py build , there is an error indicating missing quantlib_wrap.cpp . Where to download the proper quantlib_wrap.cpp for this version or this error is related to something else? Here is the messages I got from this build. C:\Users\Public\3rdParty\Libraries\QuantLib-SWIG-1.12.x\Python>python setup.py build running build

Quantlib 1.14 and Quantlib1.14-SWIG: versions of Visual C++ prior to VC++10 (2010) are no longer supported

由 偶尔善良 提交于 2019-12-11 04:22:18
问题 I downloaded tarbals for both quantlib 1.14 and quantlib 1.14-swig. The quantlib folder under SWIG does contain the quantlib_wrap.cpp. But the setup complains the the MSC version. Here is the new error. This post is associated with another post on missing quantlib_wrap.cpp error message. C:\Users\Public\3rdParty\Libraries\QuantLib-1.14\ql/config.msvc.hpp(29) : fatal error C1189: #error : "versions of Visual C++ prior to VC++10 (2010) are no longer supported" error: command 'C:\\Users\\U435169

QuantLib-Python: Solving non positive time forward error using quantlib Schedule for VanillaSwap instrument

由 家住魔仙堡 提交于 2019-12-08 16:11:29
I am trying to price a forward swap using a bootstrapped curve in the QuantLib environment. For my valuationDate of 2019-04-04, the curve bootstrap runs as expected. I am also able to easily price a 10Y10Y foward start swap. The problem arise when I try pricing a 15Y5Y forward swap. Assume my settlement is t+2 (2019-04-08), and I find the forward start date of the swap using the settlement date and the calendar object, The error seems to arise mostly when my forward start date falls on a weekend , therefore using next business day as start date. In our case, 2034-04-08 is a Saturday, so we end

QuantLib-Python: Solving non positive time forward error using quantlib Schedule for VanillaSwap instrument

由 有些话、适合烂在心里 提交于 2019-12-08 05:09:46
问题 I am trying to price a forward swap using a bootstrapped curve in the QuantLib environment. For my valuationDate of 2019-04-04, the curve bootstrap runs as expected. I am also able to easily price a 10Y10Y foward start swap. The problem arise when I try pricing a 15Y5Y forward swap. Assume my settlement is t+2 (2019-04-08), and I find the forward start date of the swap using the settlement date and the calendar object, The error seems to arise mostly when my forward start date falls on a
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