QuantLib 1.35

Python bindings for the QuantLib library

Stars: 5296, Watchers: 5296, Forks: 1786, Open Issues: 60

The lballabio/QuantLib repo was created 8 years ago and the last code push was 5 hours ago.
The project is extremely popular with a mindblowing 5296 github stars!

How to Install quantlib

You can install quantlib using pip

pip install quantlib

or add it to a project with poetry

poetry add quantlib

Package Details

Author

QuantLib Team

License

BSD 3-Clause

Homepage

https://www.quantlib.org

PyPi:

https://pypi.org/project/QuantLib/

GitHub Repo:

https://github.com/lballabio/quantlib

Classifiers

• Scientific/Engineering

Related Packages

Errors

A list of common quantlib errors.

Code Examples

Here are some quantlib code examples and snippets.

GitHub Issues

The quantlib package has 60 open issues on GitHub

• Option pricing BARONE-ADESI/WHALEY and negative rate
• Refactor it.
• AndreasenHugeVolatilityAdapter seems not work well
• Replace boost::unordered_{map,set} with std::unordered_{map,set}
• URGENT General Linear Least Squares Class
• US Settlement Calendar Issue for New Years 2021/22?
• ASW calculator to include RFR indicies
• C++ modernization - unordered_set, optional, etc
• BPSCalculator does not take into account coupon's compounding
• Fix TreeSwaptionEngine Mispricing
• Unexpected jumps in callable bond OAS
• Unused definitions in QuantLib
• non-virtual implementation of deepUpdate()
• Is checkRange(t, extrapolate) in YieldTermStructure::discount necessary?
• ExCouponDate should advance from schedule date

See more issues on GitHub