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…
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Tag: quantlib
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…
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: interest rate swap, otc derivatives, quantlib
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 http://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…