Dates out of range of schedule quantlib

WebWith end-of-month set to False, the schedule doesn't even try to hit the 31st; it starts from a stub on the 30th, so it uses the 30th of the month for all other dates.. Unfortunately, as you say, you can't set end-of-month to True in this case; so you'll probably have to use the Schedule constructor that takes an explicit list of dates (you can generate them by … WebSetting up Schedule for an amortizing floater in QuantLib. I am unsure as to the exact arguments required for the Schedule function for an amortizing floater - my code is listed below. Specifically, my question pertains to whether the schedule should always start from the issue date of the bond or should it start from the settlement date if the ...

Using QuantLib to compute cash flows for FloatingRateBond with …

WebFeb 13, 2024 · 1 Answer. The theory first: when pricing the coupon with a floor, you can't just take the expected LIBOR rate from your forecast curve and take the minimum between that and the floor. Instead, you need to take the expected value of the minimum between the rate and the floor, and unfortunately E [min (R,F)] is not the same as min (E [R],F). WebJul 5, 2024 · The cashflows() method doesn't filter its results by date, but you can do it before calling amount(). Something like. cfs = bond_leg.cashflows() min_date = referenceDate + ql.Period("6M") print([(c.date(), c.amount()) for c in cfs if c.date() >= min_date]) will work based on the CashFlow interface. If you want more information, you … incat 097 https://oursweethome.net

programming - Converting pandas datetime to QuantLib dates: …

WebFeb 14, 2024 · Introduction to QuantLib. Part 8a: Date, Calendar, DayCounter and Schedule Class eefelix 531 subscribers Subscribe 1 251 views 1 year ago In this tutorial, I will briefly show you the folder... 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 … WebMay 12, 2024 · QuantLib Mailing Lists Re: [Quantlib-users] Generate Schedule in … incastrati mediaset play

Quantlib passing a date vector to Schedule class - Stack Overflow

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Dates out of range of schedule quantlib

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WebJul 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. WebSep 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: "

Dates out of range of schedule quantlib

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WebFeb 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). 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.

WebQuantLib::JointCalendar calendar = QuantLib::JointCalendar (QuantLib::UnitedStates … 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 ...

WebOct 10, 2014 · @DirkEddelbuettel, replacing QuantLib::Date myQLDate (day, month, … WebIntroduction 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.

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.

WebOct 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. incat ghentWebJun 9, 2024 · This gives you the distance between dates as a fraction of a year. The number of calendar days between the dates would be ql.Date(7, 7, 2024) - ql.Date(6, 6, 2024), and the number of days according to the 30/360 convention would be ql.Thirty360().dayCount(ql.Date(6, 6, 2024), ql.Date(7, 7, 2024)). – Luigi Ballabio in-700 series manualincat groupWebDescription: Construct an object of class RangeAccrualFloatersCoupon and return its id. Supported Platforms: Excel, C++, Calc. Parameters incat hull 093WebSchedule (Date effectiveDate, const Date & terminationDate, const Period & tenor, Calendar calendar, BusinessDayConvention convention, BusinessDayConvention terminationDateConvention, … incat internationalWebApr 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 … incat growlerWebOct 1, 2024 · I am trying to make a schedule for amortizing bonds in quantlib, but have no idea how to include amortization in this schedule. I have the following bond: Maturity Date: 30.04.2024 Coupon Frequen... incat international plc