quantlib

问题 I am trying to compile QuantLib Python SWIG bindings on Amazon's EC2 instance with Amazon Linux AMI. I have managed to compile QuantLib itself successfully, however, when trying to compile anaconda python swig bindings, I am getting an error with -fno-plt option. I have upgraded the gcc compiler version to 5.4.0, originally it was 4.8 First I configure as below: sudo ./configure --disable-perl --disable-ruby --disable-mzscheme --disable-guile --disable-csharp --disable-ocaml --disable-r -

问题 I'm trying to use the RQuantLib package to calculate greeks for some options but getting NAs for all the output values except price. I'm getting the same results when I copy the examples from the package user manual: > AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5) Concise summary of valuation for AmericanOption value delta gamma vega theta rho divRho 10.9174 NA NA NA NA NA NA > AmericanOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4) Concise summary of valuation for

问题 Preliminary steps QuantLib was installed along with Boost and built following these instructions in Microsoft Visual C++ 2010; test code went on with no issues. Using R with the following sample code gave the expected results: install.packages("Rcpp") library(Rcpp) cppFunction(' int add(int x, int y, int z) { int sum = x + y + z; return sum; }' ) add(1, 2, 3) # > add(1, 2, 3) # [1] 6 As of the use of separate C++ files, the example below #include <Rcpp.h> using namespace Rcpp; // Below is a

问题 I am calling the RQuantLib's AmericanOption method to get the Greeks as print( AmericanOption(type = 'call', underlying = 100, strike = 100, dividendYield = 0.02, riskFreeRate = 0.0023, maturity = 0.5, volatility= 0.4, timeSteps = 150, gridPoints = 149, engine="CrankNicolson")) for above parameters, we get following Greeks Concise summary of valuation for AmericanOption value delta gamma vega theta rho divRho 10.8149 0.5429 0.0141 NA NA NA NA Why some of the values are NA ? Am i sending wrong

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:

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

问题 How do I call Following Function: Function: ** FDDividendAmericanEngine ** I was able to call Another function like this blackScholesId = Application.Run( _ "qlGeneralizedBlackScholesProcess", "blackScholes", _ blackVolId, 36, "Actual/365 (Fixed)", 35932, 0.06, 0) FDDividendAmericanEngine Function is not in the list of functions of QuantLib https://www.quantlib.org/quantlibxl/allfunctions.html But the following link seems to indicate that one can call it: http://www.quanttools.com/HTMLHelp

问题 How do I call Following Function: Function: ** FDDividendAmericanEngine ** I was able to call Another function like this blackScholesId = Application.Run( _ "qlGeneralizedBlackScholesProcess", "blackScholes", _ blackVolId, 36, "Actual/365 (Fixed)", 35932, 0.06, 0) FDDividendAmericanEngine Function is not in the list of functions of QuantLib https://www.quantlib.org/quantlibxl/allfunctions.html But the following link seems to indicate that one can call it: http://www.quanttools.com/HTMLHelp

问题 Importing a python mdule throws an exception in django when I run with apache. The same source code works fine with the django development server. I can also import the module from the command line. The module is a Python SWIG library. I have researched similar problems on the web but nothing has helped (forward slashes, setting PYTHONPATH, permission check...). I do understand that in the print statements at the end of the post there are double slashes in the file name but my understanding

问题 We have been trying to install RQuantLib on a redhat linux machine. After a month (embarassingly long time!) of trial and error, we have succesfully compiled the latest version of boost and also quantlib. I am not a linux expert at all, so I am having a little trouble debugging the compile flags when I run install.packages("RQuantLib"). Rcpp is installed and working perfectly as well. The error message below details the issue. I am confused because the file I think it should want (libQuantLib