quantlib

install RQuantLib on Microsoft Windows

由 若如初见. 提交于 2019-12-07 07:25:18
问题 I need to install the R package RQuantLib on a Microsoft Windows machine. There is no binary for this package so I downloaded the tar source. I opened it and it contains the QuantLib C++ libraries. So I need to compile the package. I don't want to install Visual Studio and I use eclipse IDE. Can I use the compiler cygwin to compile the C code of the RQuantLib package? Will the resulting compiled code be usable by R on my windows machine? Thank you for you help. 回答1: begin shameless plug I

Whats the best to call QuantLib methods from C#

由 一笑奈何 提交于 2019-12-06 10:21:55
问题 I am gonna use QuantLib in C# app (http://quantlib.org/docs.shtml) but I don't trust their .NET conversion project (too immature). I need only options valuation part. anyone used it in managed app? whats the best approach? 回答1: What I have done in a similar situation is implementing a C++ native dll as an adapter between the C# and C++ projects. From C# you can access your dll interface with DllImport. In the dll you can reach the full C++ interface, but it is worth simplifying it to your

QuantLib: Building Key Rate Risks

由 元气小坏坏 提交于 2019-12-06 08:49:27
问题 I was able to build a discount curve for the Treasury market. However, I'm looking to use this to find the key rate risks of an individual bond (and eventually a portfolio of bonds). The key rate risk I'm looking for is if I have a 30Y bond and we shift the 1y rate that was used to discount the bond, while holding the other rates constant, how much does the price of the bond change by? Repeating this for the tenors (eg. 2Y, 5Y, 7Y, etc) and summing the result should get you to the overall

Using QuantLib to compute cash flows for FloatingRateBond with Floor

由 女生的网名这么多〃 提交于 2019-12-04 14:57:55
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 FloatingRateBond cashflows to work while using a floor. And, if so, if anyone can spot where I'm going astray. Thanks

QuantLib: Building Key Rate Risks

由 瘦欲@ 提交于 2019-12-04 12:51:39
I was able to build a discount curve for the Treasury market. However, I'm looking to use this to find the key rate risks of an individual bond (and eventually a portfolio of bonds). The key rate risk I'm looking for is if I have a 30Y bond and we shift the 1y rate that was used to discount the bond, while holding the other rates constant, how much does the price of the bond change by? Repeating this for the tenors (eg. 2Y, 5Y, 7Y, etc) and summing the result should get you to the overall duration of the bond, but provides a better view of how the risk exposure breaks down. http://www

Compiling Quantlib via SWIG for C#

由 亡梦爱人 提交于 2019-11-27 22:33:21
Anyone have any experience using SWIG ? I am currently researching QuantLib and saw that C# code can be generated using SWIG. We are exploring options to create a combined library of financial functions using QuantLib and a proprietary closed source library (which will probably be made available as .Net dlls). The idea is to combine both of these to create a unified super library. I have seen the .Net port of QuantLib , but it seems that it is not actively maintained (and not entirely sure of how much was actually ported), so I am avoiding it. Step 1 of this is to evaluate the difficulty in

Compiling Quantlib via SWIG for C#

由 亡梦爱人 提交于 2019-11-27 04:32:13
问题 Anyone have any experience using SWIG? I am currently researching QuantLib and saw that C# code can be generated using SWIG. We are exploring options to create a combined library of financial functions using QuantLib and a proprietary closed source library (which will probably be made available as .Net dlls). The idea is to combine both of these to create a unified super library. I have seen the .Net port of QuantLib, but it seems that it is not actively maintained (and not entirely sure of
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