Probability of profit (POP) refers to the chance of making at least $0.01 on a trade. This is an interesting metric that is affected by a few different aspects of trading - whether we’re buying options, selling options, or if we’re reducing cost basis of stock we are long or short. "Volatility" is ambiguous even in a financial sense. The most commonly referenced type of volatility is realized volatility which is the square root of realized variance. Deriscope is an application specializing in financial derivatives valuation. It draws on QuantLib's analytical power to calculate the price, risk and various other properties of all the financial instruments listed under Coverage. The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free / open-source library for modeling, trading, and risk management in real-life. QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Java, Python, R, and Ruby. Quant trading & QuantLib Post # 1; Quote; First Post: Jan 27, 2008 9:05pm Jan 27, 2008 9:05pm ; charlinks | Joined Jul 2007 | Quandl - Quandl is an ambitious project attempting to "make all the numerical data on the internet easy to find & easy to use". They provide a huge catalogue of market data across multiple asset classes including currencies, equities, futures and commodities. I built a zero-coupon curve out of a generic par swap rate curve (Step 1) and I am trying to recover the swap curve back from the zero-coupon curve (Step 2). Step 1 works but not Step 2.

Interested in the forex currency trade? Learning historical currency value data can be useful, but there's a lot more to know than just that information alone. This guide can help you get on the right track to smart investment in the foreign exchange market. Before entering the foreign exchange (forex) market, you should define what you need from your broker and from your strategy. Learn how in this article. The forex (FX) market has many similarities to the equity markets; however, there are some key differences. This article will show you those differ

14 under the terms of the QuantLib license. You should have received a You should have received a 15 copy of the license along with this program; if not, please email Hi all, There is the added complication that the Fed Funds leg of the basis swap is an arithmetic average and not daily compounded like in the case of the straight OIS swaps. • Limited QuantLib amendmends • Various QuantLib extensions (instruments, models, engines) following QuantLib design and structure, organised as a separate Library • Some Wrapper Libraries for “building the forest” - constructing QuantLib/QuantExt objects from external representations (e.g. term structures, portfolios)

Dear Quantlib users! I mean specifically the FWD FX rates in the cashflows tab, calculated for each accrued period of XCCY. I would like to understand how do we calculate this rates? Thank you in advance! Regrds, Evgenia From: Васильева Евгения Алексеевна Sent: Tuesday, September 18, 2018 12:58 PM To: quantlib-users@ Hi all, There is the added complication that the Fed Funds leg of the basis swap is an arithmetic average and not daily compounded like in the case of the straight OIS swaps. I built a zero-coupon curve out of a generic par swap rate curve (Step 1) and I am trying to recover the swap curve back from the zero-coupon curve (Step 2). Step 1 works but not Step 2. The latest tweets from @forexanalytix Sign In. Sign In. Back to Home Sign Up Forgot Password? Didn't receive confirmation instructions? 14 under the terms of the QuantLib license. You should have received a You should have received a 15 copy of the license along with this program; if not, please email Quant trading & QuantLib 6 replies. Quant Corner 12 replies. questions from a future quant 39 replies. Trading Discussion / Forex Factory® is a brand of Fair

The latest tweets from @forexanalytix In the whole tutorial I assume that you have included the QuantLib header via #include

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