WebSep 27, 2024 · QuantLibではポリモーフィズムをそこら中で使っているため、データはたいていshared_ptrの形になっている。複数のshared_ptrがある中で、使用するデータをあるshared_ptrから別のshared_ptrに切り替えるので、shared_ptrを指し示すshared_ptrが出てくる。 ... 補間はFlatForward ... WebReturns FlatForward; max Date. max Date (): Date; Overrides YieldTermStructureLazyObject.maxDate. Defined in …
QuantLib: ql/pricingengines/barrier/binomialbarrierengine.hpp …
WebOct 28, 2024 · In reality, I can pull the above curves with daily nodes. As a general question, how does one use interpolation with forward rates in quantlib (maybe this is my real question)? Both ql.FlatForward() and … WebRe: [Quantlib-users] empty Handle cannot be dereferenced exception Brought to you by: ericehlers, lballabio, nando Summary Files Reviews Support Mailing Lists Tickets gmw perth
Correctly specifying the Risk free rate in option calculation
WebNov 29, 2024 · Overnight Index Swaps (OIS) may be priced in Excel using the free and open source derivatives analytics QuantLib library through the Deriscope Excel interface. An OIS contract is very similar to a plain vanilla interest rate swap, the only difference being that each payment in the floating leg is calculated according to a floating number F that ... WebDec 1, 2024 · I am confused by quantlib yield classes: it doesn't make sense to use one interest rate, e.g., today's rate, for an option chain that has different expiry. ... [or … WebЯ пытался с помощью QuantLib-python запустить несколько итераций модели Халл-Уайта. ... ,0.130708,0.131544, 0.132364,0.133162] #setup spot curve. Notable difference is the ZeroCurve instead of FlatForward spot_curve = ZeroCurve(dates, zeros, day_count, calendar, interpolation, compounding ... gm worley okeechobee fl