QuantLib 1.41

Python bindings for the QuantLib library

Stars: 6780, Watchers: 6780, Forks: 2116, Open Issues: 58

The lballabio/QuantLib repo was created 10 years ago and the last code push was Yesterday.
The project is extremely popular with a mindblowing 6780 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

• Office/Business/Financial
• 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 58 open issues on GitHub

• Support custom pillar date in interest-rate futures helpers
• Add FX Forward instrument, engine, and tests
• Non-deliverable cross currency swap
• feat: Implement fairSpread() for FloatFloatSwap
• ql.FloatFloatSwap() fairSpread
• Question on fixing date used in notional adjustment of MtmCrossCurrencyBasisSwapRateHelper
• MtMCrossCurrencyBasisSwapRateHelper Produces Unrealistic Zero Rates When Using OIS Indices (Ester/SOFR)
• OISRateHelper for ESTER do not converge with systems
• Fx options utils - BlackVolatilitySurfaceDelta class
• Add ql.ZabrSwaptionVolatilityCube()
• inflationYearFraction in ZeroCouponInflationSwap
• Feature request: FX Forwards
• Add CrossCurrencySwapRateHelper
• Support custom pillar date in interest-rate futures helpers
• Const Notional Cross Currency Swaps

See more issues on GitHub