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VolCube in RQuantLib
I have posted the same question on Quant StatckExchange (https://quant.stackexchange.com/questions/58479/volcube-in-rquantlib) before I discovered this group. Working with RQuantLib for the first time
I have posted the same question on Quant StatckExchange (https://quant.stackexchange.com/questions/58479/volcube-in-rquantlib) before I discovered this group. Working with RQuantLib for the first time
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By Suhas Ghorpadkar
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Replicating the discountcurve and extending it beyond the 2yr (fut8) limit
Hi all, So I am rather new to R but currently attempting to replicate the discountcurve part of the package in order to extend the futures function beyond the 2 years. I am struggling quite a bit with
Hi all, So I am rather new to R but currently attempting to replicate the discountcurve part of the package in order to extend the futures function beyond the 2 years. I am struggling quite a bit with
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By erlendmcd@...
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RQuantLib v4.0.0 for Ubuntu 20 8 messages
I recently updated to Ubuntu 20.04, as well as to R v4. When updating packages, I ran into an issue with RQuantLib. As the attached indicates, all appears ok with QuantLib and Boost, * installing *sou
I recently updated to Ubuntu 20.04, as well as to R v4. When updating packages, I ran into an issue with RQuantLib. As the attached indicates, all appears ok with QuantLib and Boost, * installing *sou
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By John Paul Broussard
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Calibrating Hull-White with negative interest rates
Hi All I have seen a couple of topics regarding this, but the problem is that the function BermudanSwaption uses a lognormal which obviously cannot be used on negative interest rates. Is there a way t
Hi All I have seen a couple of topics regarding this, but the problem is that the function BermudanSwaption uses a lognormal which obviously cannot be used on negative interest rates. Is there a way t
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By Chra15ab@...
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Market quotes passed to DiscountCurve function
Hi all, Would you know please if there is a way to pass a more precise market curve to DiscountCurve, over short maturities ? I would need to add d2w, d3w, d4m, d5m, d18m pilars as input, and they are
Hi all, Would you know please if there is a way to pass a more precise market curve to DiscountCurve, over short maturities ? I would need to add d2w, d3w, d4m, d5m, d18m pilars as input, and they are
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By bruno.crinon@...
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Error installing package on CentOS 7 4 messages
Dear all, I'm going crazy to install the package on CentOS 7. Required QuantLib library installed from EPEL repository via yum seems to be < 1.14 so I installed successfully 1.16 release compiling fro
Dear all, I'm going crazy to install the package on CentOS 7. Required QuantLib library installed from EPEL repository via yum seems to be < 1.14 so I installed successfully 1.16 release compiling fro
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By beppeg@...
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Pricing of a bond with negative rates 5 messages
Hello, I tried to price a bond with negative rates (current economic context in eurozone...). I encounter this error : Error in FixedRateWithRebuiltCurve(bond, rates, schedule, calc, c(discountCurve$t
Hello, I tried to price a bond with negative rates (current economic context in eurozone...). I encounter this error : Error in FixedRateWithRebuiltCurve(bond, rates, schedule, calc, c(discountCurve$t
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By
kumpelka78@...
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RQuantLib 0.4.7 macOS binary
See at http://cloud.r-project.org/package=RQuantLib Took a while but there it is. So a big "Thanks everybody!!" for hanging in there 'despite everything'. And I'll have 0.4.8 up in a few days shortly
See at http://cloud.r-project.org/package=RQuantLib Took a while but there it is. So a big "Thanks everybody!!" for hanging in there 'despite everything'. And I'll have 0.4.8 up in a few days shortly
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By Dirk Eddelbuettel
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RQuantLib 0.4.7 and macOS 18 messages
Just a quick follow-up email saying Hi to the few folks who joined the list over the last few days: welcome! The RQuantLib 0.4.7 release did what it was supposed to do: restore the full(er) functional
Just a quick follow-up email saying Hi to the few folks who joined the list over the last few days: welcome! The RQuantLib 0.4.7 release did what it was supposed to do: restore the full(er) functional
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By Dirk Eddelbuettel
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Matching QuantLib's compilation flags 2 messages
Greetings and salutations, Premise: If I install QuantLib from github source, then `install.packages("RQuantLib")` should just work We should continue to rely on `quantlib-config` to ensure our compil
Greetings and salutations, Premise: If I install QuantLib from github source, then `install.packages("RQuantLib")` should just work We should continue to rely on `quantlib-config` to ensure our compil
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By dick.r.chiang@...
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RQuantLib 0.4.7 3 messages
A new release 0.4.7 has been submitted to the CRAN incoming queue! Big thanks everybody for the help and input -- it is good that we figured this one out. Now we "just" have to shame a macOS user into
A new release 0.4.7 has been submitted to the CRAN incoming queue! Big thanks everybody for the help and input -- it is good that we figured this one out. Now we "just" have to shame a macOS user into
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By Dirk Eddelbuettel
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Good news on the RQuantLib status 2 messages
Quick update: Josh's excellent work on the new library stood up to all tests he and I could throw at it, and is by now in the official location at github's rwinlib/quantlib repository. Given the testi
Quick update: Josh's excellent work on the new library stood up to all tests he and I could throw at it, and is by now in the official location at github's rwinlib/quantlib repository. Given the testi
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By Dirk Eddelbuettel
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boost unit tests 20 messages
Hi all, I was able to successfully build the boost unit test framework using msys1.0 and Rtools35. From the msys prompt and within the boost source directory, I ran: BOOST_SRC=/e/build/src/boost_1_68_
Hi all, I was able to successfully build the boost unit test framework using msys1.0 and Rtools35. From the msys prompt and within the boost source directory, I ran: BOOST_SRC=/e/build/src/boost_1_68_
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By Joshua Ulrich
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gwd999 on board 2 messages
hello everyone gonna fetch infos/files asap g, w
hello everyone gonna fetch infos/files asap g, w
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By W. D.
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I can confirm Rtools34 + 1.12.1 works 11 messages
No segfaults found when using the Rtools34 and the static library v1.12.1 (Need to replace the ext::shared_ptr() with boost::shared_ptr(), see the file attached.) Well, actually with v1.12.1, Rtools35
No segfaults found when using the Rtools34 and the static library v1.12.1 (Need to replace the ext::shared_ptr() with boost::shared_ptr(), see the file attached.) Well, actually with v1.12.1, Rtools35
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By shrektan
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Welcome and status 3 messages
Howdy, Thanks for accepting the invitation to congregate here. It may make it easier for lurkers to observe than if we continued with private email -- which is also difficult once multiple conversatio
Howdy, Thanks for accepting the invitation to congregate here. It may make it easier for lurkers to observe than if we continued with private email -- which is also difficult once multiple conversatio
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By Dirk Eddelbuettel
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