Category: quantlib

set up global include and lib dirs in visual studio 2012

1) open any projectgo to View->Property Manager 2) pick up any project and choose DEBUG/RELEASE wi32/win64 configuration -> Microsoft.Cpp.Win32.user file choose VC++ directories and add desired Include and Lib dirs to appropriate section (in this case boost dirs) Microsoft.Cpp.Win32.user configuration

Posted in quantlib Tagged with:

amortizing interest rate swap valuation example quantib python

Example of valuation of amortizing interest rate swap in Python with quantlib module for quantlib excel version see Amortizing interest rate swap valuation excel quantlib addin First , Install QuantLib package for python (use guide here ) to run the

Posted in quantlib Tagged with: ,

Derivatives CVA calculation example Monte-Carlo with python

Here we’ll show an example of code for CVA calculation (credit valuation adjustment) using python and Quantlib with simple Monte-Carlo method with portfolio consisting just of a single interest rate swap.It’s easy to generalize code to include more financial instruments

Posted in OTC derivatives valuation, quantlib Tagged with: , , , , , , , , , ,

Amortizing interest rate swap valuation excel example

Amortizing interest rate swap valuation excel with 2 curves example: for online amortizing interest rate swap valuation with credit valuation adjustment see Online Amortizing Interest rate swap valuation with CVA and OIS discounting for quantlib python version see Amortizing Interest

Posted in OTC derivatives valuation, quantlib Tagged with: , ,

how to value interest rate swap with 2 curves with QuantLib C++ (quantlib swap example)

example of interest rate swap derivative valuation in c++ with quantlib. for quantlib excel valuation see https://www.pricederivatives.com/en/amortizing-swap-valuation-excel-example/ maturity: 20 nov 2022 nominal: 1M init date: 20 nov 2012 floating leg pays: Euribor 3m + 2% every 3 months fixed leg

Posted in quantlib Tagged with: ,

how to install python quantlib windows

Here we’ll show two ways to install quantlib package for python under windows [under unix/linux just install quantlib-python package from your favorite package installer] first way (somewhat lengthy) is to compile it youself second and easy way is install it

Posted in quantlib

how to construct yield curve in quantlib [ quantlib yield curve example ]

bloomberg or reuters can give you already bootstrapped curve in format [date] [discount factor] here we’ll show a quantlib yield curve example construction yield curve normally is used for getting a discount factor for a given date and for calculating

Posted in quantlib