quantlib

Error Linking Boost Libraries With Quantlib

由 喜欢而已 提交于 2019-12-13 00:44:01
问题 I am trying to build Quantlib using Boost Libraries. I followed the instructions here: and also on the Quantlib website. I downloaded and unzipped boost_1_57_0 into C:\program files I then used the Visual Studio 2013 x64 Native prompt to go to the boost directory and ran bootstrap.bat and then b2 --toolset=msvc --build-type=complete architecture=x86 address-model=64 stage Then I opened Quantlib_vc12.sln in Visual Studio 2013. Picked "Release" and "x64", opened "Quantlib" in Property Manager

Using RQuantLib FixedRateBond function when rates can be negative

由 久未见 提交于 2019-12-12 02:18:47
问题 I am trying to use RQuantLib to price bonds but the version I am using will not work with negative interest rates. See example below. Does anyone know a work around? I thought that QuantLib was able to accept negative rates? require(RQuantLib) today <- as.Date("2014-10-27") setEvaluationDate(today) times <- seq(today+2,as.Date("2024-12-30"),by=1) maturity <- yearFraction(rep(today,length(times)),times,rep(2,length(times))) zerorates <- seq(-.0001,.01,length.out=length(maturity)) curve <- list

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 passing a date vector to Schedule class

由 自作多情 提交于 2019-12-11 08:09:36
问题 I appreciate that Quantlib Schedule class can take a date vector as constructor. I have successfully built a schedule via this way. However, when I pass this schedule to vanillaswap constructor, the code starts to generate error on function bool Schedule::isRegular(Size i) const in schedule.cpp. Here is part of my code related to this error: vector<Date> fixedDates; vector<Date> floatDates; fixedDates.push_back(Date(15, April, 2016)); fixedDates.push_back(Date(18, April, 2017)); floatDates

RQuantlib and Mac OS X 10.8.2

由 爱⌒轻易说出口 提交于 2019-12-11 06:24:04
问题 I'm a total newbie in Mac OS X, R and C++. Sound like a good mix, doesn't it? I have the need to use RQuantLib, because I want to use some pricing functions part of the QuantLib package inside R, all on a Mac OS X-powered environment. I've correctly installed QuantLib. I've already asked to the official QuantLib mailing list, and together we seem to have reached the conclusion that the problems I'm encountering are not related to my QuantLib installation, which seems ok and correctly

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

Can't get RQuantLib working with brew installed quantlib under osx 10.9.4

由 余生颓废 提交于 2019-12-10 15:43:33
问题 I've been trying to install RQuantLib package via install.packages("RQuantLib") It keeps giving me the following errors * installing *source* package ‘RQuantLib’ ... ** package ‘RQuantLib’ successfully unpacked and MD5 sums checked checking for g++... g++ checking whether the C++ compiler works... yes checking for C++ compiler default output file name... a.out checking for suffix of executables... checking whether we are cross compiling... no checking for suffix of object files... o checking

Return array from INDEX function in Excel?

由 怎甘沉沦 提交于 2019-12-09 23:06:17
问题 I'm trying to use INDEX in array format in Excel but I'm running into problems. From this question: Return array from INDEX function?, it seems that "INDEX (like VLOOKUP) doesn't return an array of values (except in some convoluted circumstances)" So I'm wondering what alternatives there are. I'm trying to do this: =qlTimeSeries( , INDEX({39618,39619,39638,39639},{2,3,4}), INDEX({18,19,38,39},{2,3,4}) ) and Index is not returning an array. Any alternative idea how to get the result I am

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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