Dates out of range of schedule quantlib
WebApr 4, 2015 · QuantLib is an open-source framework for quantitative finance written in C++. There is an active community who develop and extend the library. QuantLib covers a wide range of financial instruments and markets like IR, FX and Equities and provide pricing engines and models, optimization algorithm, a Monte-Carlo framework, business day … Webdates: Date[] Default value calendar: Calendar = new NullCalendar () Default value convention: BusinessDayConvention = BusinessDayConvention.Unadjusted. Default value terminationDateConvention: BusinessDayConvention = null. Default value tenor: Period = null. Default value rule: Rule = null.
Dates out of range of schedule quantlib
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WebOct 20, 2024 · 1. Your bond pays fixed 9.25% a year, twice a year. For most fixed-coupon bonds, the coupon is not "daycounted" - it should be exactly annual coupon / frequency = 4.625% (there are very few exceptions, like Mexican mbonos). The daycount is used if you need to calculate the accrued in the middle of the coupon period, e.g. to get a dirty price. Webimport QuantLib as ql import pandas as pd date = ql.Date (2, 7, 2024) date_prev = date - …
WebQuantLib::JointCalendar calendar = QuantLib::JointCalendar (QuantLib::UnitedStates … WebApr 26, 2024 · The LinearInterpolation class doesn't copy the x and y ranges. You have to make sure that the vectors stay alive as long as you're using them. Instead of a function, you can code a small function object that stores the vectors.
WebMay 12, 2024 · QuantLib Mailing Lists Re: [Quantlib-users] Generate Schedule in … WebApr 10, 2014 · 1. No such luck (as of now, at least). It's possible to create a custom Schedule object with just a vector of dates, but it won't work when passed to a bond constructor. The bond will ask the schedule for additional information (such as the tenor) in order to build its coupons, and the schedule doesn't implement the heuristics to deduce …
WebApr 28, 2014 · For some bonds I work with the last coupon date is not equal to bond's maturity date. E.g. the last coupon date is April 25th, 2024 and maturity date is April 25th, 2024. I looked at Schedule class and MakeSchedule() and I don't see a clear way to reflect this. I feel it can't be that hard, though. Would appreciate if someone gives me a hint ...
Webdates: Date[] Default value calendar: Calendar = new NullCalendar () Default value … shannon cosby wilbur waWebFeb 6, 2024 · I am trying to use the QuantLib library with Python. In the example below, I create a pandas dataframe with some dates and some cashflows, convert the dates from pandas' format to QuantLib's, and use QuantLib to calculate the daycount (which is banal for act/365, but QuantLib comes in handy for other cases like 30/360). poly studio admin guideWebIntroduction to QuantLib and Using QuantLib Programmatically is a talk by Bojan Nikolic for Skills Matter that shows examples of using QuantLib from other languages. A Short Introduction to QuantLib is a talk by Luigi Ballabio for the Thalesians in which he describes the core design of QuantLib through a few live examples of its usage. shannon corporation los alamosWebSchedule (Date effectiveDate, const Date & terminationDate, const Period & tenor, Calendar calendar, BusinessDayConvention convention, BusinessDayConvention terminationDateConvention, … shannon cotter eyWebSep 6, 2024 · the new change in "actualactual.cpp" to check dates in range of schedule seems not corrected implemented; the portion of code is as below: QL_REQUIRE(d1 >= firstDate && d2 <= lastDate, "Dates out of range of schedule: " poly studio data sheetWebJul 30, 2024 · Jul 30, 2024 at 14:35. So, basicaslly, I do: 1) create schedule 2) iterate over schedule creating SimpleCashFlow and append them to list 3) create Leg passing this list and curve handle 4) use CashFlows built-in functions Okay, I got it, it makes sense. Thank you. – egor_zhev. Jul 30, 2024 at 14:48. That sounds doable. shannon corner sofa bedWebOct 10, 2014 · Just one more layer of 'making sure it is a valid date'. With QuantLib you always have Boost around anyway. – Dirk Eddelbuettel. Oct 10, 2014 at 14:30 @DirkEddelbuettel, ... matches constructor but returns Year is out of valid range: 1400..10000. – Lisa Ann. Oct 10, 2014 at 14:41. shannon costello coolidge wall