WebThese are the top rated real world C# (CSharp) examples of QuantLib.FixedRateBond.setPricingEngine extracted from open source projects. You can rate examples to help us improve the quality of examples. Programming Language: C# (CSharp) Namespace/Package Name: QuantLib Class/Type: FixedRateBond … WebEquityOption.cpp. For a given set of option parameters, this example computes the value of three different equity options types (with european, bermudan and american exercise features) using different valuation algorithms. The calculation methods are Black-Scholes (for european options only), Barone-Adesi/Whaley (american-only), Bjerksund ...
Valuing European Option Using the Heston Model in QuantLib …
WebCount; i ++) swaptions [i]. setPricingEngine (new TreeSwaptionEngine (modelBK, grid)); calibrateModel (modelBK, swaptions, 0.05); // ATM Bermudan swaption pricing Console. … Web30 Jan 2024 · Thanks for contributing an answer to Stack Overflow! Please be sure to answer the question.Provide details and share your research! But avoid …. Asking for help, clarification, or responding to other answers. questions to ask following a stroke
QuantLib: EquityOption.cpp
Webvoid setPricingEngine (const boost::shared_ptr< PricingEngine > & e) set the pricing engine to be used. Warning. calling this method will have no effects in case the … WebNow that we have the fixed_rate_bond object, we can create a DiscountingBondEngine and value the bond. bond_engine = ql.DiscountingBondEngine(ts_handle) fixed_rate_bond.setPricingEngine(bond_engine) fixed_rate_bond.NPV() 114.18461651948999 So far, we have valued the bond under the treasury yield curve and … Webset Pricing Engine set Single Redemption1 set Single Redemption2 settlement Date settlement Days settlement Value1 settlement Value2 setup Arguments setup Expired start Date unfreeze update valuation Date yield1 yield2 Properties Protected _NPV _NPV: Real Inherited from Instrument. _NPV Defined in ql/instrument.ts:154 Protected _additional … questions to ask for a 360 review