QuantLib supports calculations with Money of different currencies. In order to compute an expression with different currencies, exchange rates have to be defined. This is handled by the ExchangeRate class. This class links two currencies with an exchange rate, so that conversion can be performed. Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up. Sign up to join this community Anybody can ask a question Interest rates have plenty to do with Forex, i.e: Australian/NZ bonds I am currently employed at a Quant Prop Tradiing firm working on NN/SVM focused primarily on the Sterling Pound & GILT rate correlation; implementing path-integrals; Quantlib is a useful foundation-but, by no means, the end-all-be-all of quant-trading libraries. The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free / open-source library for modeling, trading, and risk management in real-life. QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Java, Python, R, and Ruby. The class in QuantLib that describes exchange rate information between currencies is ExchangeRate , and every two currencies in the Currency system can generate an ExchangeRate object. ExchangeRate constructor is very fixed and accepts three parameters: ExchangeRate(source, target, rate) source. a Currency object representing the source currency. target Note that QuantLib must be compiled in Release mode. QuantLib-Python Installation Installation from PyPI. If you don't need to modify the wrappers, you might want to try installing a precompiled binary version. The availability of binaries depend on your operating system; to try to install them, run: pip install QuantLib-Python
Interest rates have plenty to do with Forex, i.e: Australian/NZ bonds I am currently employed at a Quant Prop Tradiing firm working on NN/SVM focused primarily on the Sterling Pound & GILT rate correlation; implementing path-integrals; Quantlib is a useful foundation-but, by no means, the end-all-be-all of quant-trading libraries.
13 QuantLib is free software: you can redistribute it and/or modify it. 14 import QuantLib as ql import pandas as pd todaysDate = ql.Date(31, 8, 2017) ql.Settings.instance().evaluationDate = Stack Exchange Network Stack Exchange network consists of … 15 QuantLib is free software: you can redistribute it and/or modify it. 16 Hi I've looked through Quantlib, and so far I could not find any class that defines and gives an npv of a cross currency swap(in an instruments folder or anywhere else). If someone want to price a cross currency swap with Quantlib… Share ideas, debate tactics, and swap war stories with forex traders from around the world.
Quantlib USDLibor, how does it knows which is the correct fixing date? Ask Question Asked 5 years, 3 months ago. Active 5 years, 3 months ago. Viewed 625 times 0. When pricing floating rate bonds, one …
I do not think that this is handled by QuantLib either. For it's USD OIS curve, Bloomberg uses an approximation from 7Y out where it uses the Fed Funds basis swap spreads and standard USD IRS to … Sep 18, 2013 Sep 23, 2009 QuantLib-Python Object Building Documentation¶. Contents: Reference. Basics. Settings; Array; Matrix; Observable; Quotes. SimpleQuote; DerivedQuote Quantlib USDLibor, how does it knows which is the correct fixing date? Ask Question Asked 5 years, 3 months ago. Active 5 years, 3 months ago. Viewed 625 times 0. When pricing floating rate bonds, one … Apr 16, 2018
Hello Quantlib, I'd like to know if someone has already developped FX and FX Option in Quantlib? It looks like it's in the "to do" list but I don't see if something has been started yet. Thanks Xavier ***** Ce …
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up. Sign up to join this community Anybody can ask a question QuantLib defines a large number of currencies in the headers contained in the currencies directory. The table below lists all the currencies defined in this way. The class name of each currency is constructed …
Here is the QuantLib license, the list of contributors, and the version history. Installation instructions are available for Microsoft Visual C++ , Mac OS X and Linux/Unix . QuantLib-Python Installation
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