QuantLib 1.33

Python bindings for the QuantLib library

Stars: 4778, Watchers: 4778, Forks: 1681, Open Issues: 54

The lballabio/QuantLib repo was created 8 years ago and the last code push was Yesterday.
The project is very popular with an impressive 4778 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 54 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