All Questions
16
questions
5
votes
1
answer
277
views
Recommended Setup for QuantLib-Python AmortizingFloatingRateBond
I am trying to model a term loan in QuantLib-Python that makes quarterly interest payments at CME Term SOFR 3M + 10bps + 525bps paid in arrears with a 2 business ...
- 64
1
vote
0
answers
81
views
Setting up QuantLib to get correct yield for bond with long first payment period
I am dealing with fixed rate bonds. There is one particular bond, 34659UAC0, that caught my eye. This bond has a first coupon period of a whopping 5 years, followed by regular periods of 6 months. My ...
- 11
1
vote
1
answer
290
views
GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds.
I have Looked at the documentation:
https://quantlib-...
3
votes
2
answers
273
views
QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS
I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters:
Name
Value
CUSIP
12657ZAT0
Evaluation Date
2/14/2024
Settlement Date
2/16/2024
Bond Issue Date
3/6/...
- 31
0
votes
1
answer
131
views
QuantLib FittedBondDiscountCurve does not produce expected rates
I am using the QuantLib library to fit yield curves. For a $\\\$100$ face bond, with price equal to $\\\$100$, and coupon equal to $\\\$0$, I would expect it to provide a zeroRate of $0.0\%$.
However, ...
1
vote
1
answer
125
views
PV different from Dirty Price in QuantLib
As far as I understand, dirty price is the sum of clean price and accrued amount and should be equal to the Present Value (PV) of a bond at a certain yield rate. However, I can't replicate this ...
0
votes
1
answer
201
views
QuantLib FixedRateLeg cashflow date shifting issue with Unadjusted convention
I'm using the QuantLib library in Python to generate a payment schedule and cashflows for a fixed-rate bond. I added a holiday to the calendar and used the ql.Unadjusted convention in the ql.Schedule()...
- 49
0
votes
1
answer
272
views
1
vote
1
answer
379
views
Quantlib match clean price with bbg clean price
I'm trying to match QL clean price with BBG clean price for POLGB 2.75 10/25/29 1029 priced for 15th of October 2021 for 2.5% yield. I'm not sure if my setup of bond is wrong or if there is a problem ...
0
votes
0
answers
354
views
QuantLib - Help buiding a simple T-Bond (Mischievous Pricing Conventions)
Im having a problem getting the right price for a simple T-Bond, maybe a Mischievous Pricing Conventions like Luigi says in his book. Im tying to price "912810SZ Govt"
...
- 1
1
vote
1
answer
2k
views
Using DayCounter ActualActual.ISMA in QuantLib
Suppose we have a semiannual coupon bond. The calculation date is 5/8 2017. The ex-coupon date is 4/20 2017 and next coupon date is 10/20 2017.
...
- 33
1
vote
1
answer
1k
views
Why QuantLib assumes zero rates to discount factor is continuous?
https://github.com/lballabio/QuantLib/blob/0ec43027834220baf0a554d68de79a159a2c5489/ql/termstructures/yield/zeroyieldstructure.hpp
...
- 2,275
1
vote
0
answers
307
views
RQuantLib FixedRateBondPriceByYield() Non-tradable error
How do I use FixedRateBondPriceByYield() function on maturity date that is earlier than today? I get "non tradable error" when applying on date older than today.
<...
- 111
8
votes
1
answer
7k
views
Pricing a FixedRateBond in Quantlib: yield vs TermStructure
I am trying to price a simple U.S. treasury in QuantLib, using two methods. The first method calls FixedRatebond.dirtyPrice(...), passing in a YTM and other parameters.
The second method involves ...
- 193
7
votes
1
answer
973
views
Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Consider the RQuantLib package function FloatingRateBond().
This takes as inputs gearings ...
- 2,133