lballabio

lballabio/QuantLib

The QuantLib C++ library

61 good first / help-wanted issues · C++ · last activity Jul 9, 2026

7.3K stars 2.3K forks 7.3K watchers C++ Other
quantitative-finance
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61 Open Issues Need Help Last updated: Jul 9, 2026

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Callable bond further implementation about 1 hour ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Feature Request: Add MakeXCcyBasisSwap (or MakeCrossCurrencySwap) helper class about 2 hours ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Vasicek::A(t,T) loses all precision for small mean reversion just above the sqrt(QL_EPSILON) cut-off 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`AnalyticDoubleBarrierEngine` misprices a strike outside the corridor (integrates from the strike instead of the barrier), and its default 5 series terms are not enough on a narrow corridor 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`BivariateCumulativeNormalDistributionDr78` returns NaN when one argument is tiny relative to the other (and for `rho = +-1`), so `AnalyticPartialTimeBarrierOptionEngine` returns NaN 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`BinomialVanillaEngine`: theta is `r*K - q*S` instead of 0 for an American option in the exercise region 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`BinomialVanillaEngine`: American option loses its exercise at expiry when `TimeGrid(T, N)[N]` rounds below `T` (prices below the European) 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
YoY inflation cap/floor engines price a coupon at intrinsic value when its fixing is within one observation lag of the surface's base date (`timeFromBase` subtracts the lag a second time) 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`AnalyticPartialTimeBarrierOptionEngine`: start-window knock-in put is off by exactly `(K/S - 1) * vanilla put` 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`LognormalCmsSpreadPricer` returns NaN or a wrong price when the two legs have different shifts (branch chosen on the undisplaced strike; reversed branch swaps the shifts) 3 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`DiscretizedCallableFixedRateBond::applyCallability` reads the callability type from the unfiltered schedule: after a callability on or before settlement, later calls are applied as puts (or vice versa) 4 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`AnalyticSoftBarrierEngine` ignores the barrier direction: up-and-in/up-and-out calls and down-and-in/down-and-out puts are wrong (knock-outs negative) 4 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
review reference date adjustments in rate helpers 4 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Zero-stddev asset ITM probabilities are wrong in Black/Bachelier helpers and cap/floor deltas 27 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeSwaption: fixingDate-based constructor doesn't initialize nominal 29 days ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
GaussLaguerreIntegration may return NaN for large orders about 1 month ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Inconsistent settlement-date vs. evaluation-date anchoring for discrete dividends in `BinomialConvertibleEngine` about 1 month ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Exploration: suggestions for AI-assisted coding about 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ConstNotionalCrossCurrencySwapRateHelper: collateral leg's payment-schedule roll convention is taken from the overnight index (hardcoded Following), not configurable 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Using IMM-rolls swaps to build curves 2 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
SimpleThenCompounded convention applied incorrectly in bond price calculation 3 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
SOFR observation lag 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ILS SHIR support 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
`OvernightIndexedCoupon`: rate rounding hook for ISDA matrix conventions 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Problematic inheritance in DefaultLossModel 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
fixed reference date piecewise curve re-bootstraps on global evaluation date changes 4 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Excessive branching in trinomial trees when a time step is unusually small 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Question about IrrFinder::derivative() return value in cashflows.cpp 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Basket Loss & LHP Loss Model 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeCapFloor cannot calculate ATM with BachelierCapFloorEngine 5 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
comp spot val calc in overnight index future missing comp from eval to ref date 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
zero spreaded rate curves / bond z-spread analytics ignore day counter 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Pricing Bonds with face values other than $100 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MtMCrossCurrencyBasisSwapRateHelper Payment Frequency 6 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
CMake build does not generate `QL_PACKAGE_NAME` 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Issue with first period cashflow in FixedRateBond 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MCDiscreteArithmeticASEngine is insensitive to exercise date 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Option pricing BARONE-ADESI/WHALEY and negative rate 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Updates are not propagated from a PiecewiseYieldCurve after a failed bootstrap 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
"Fast Valuation of Seasoned OIS Swaps" 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
the BS model should return premium and greeks when expiry is zero 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
ql.MakeSwaption holiday calendar 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeVanillaSwap may infer the wrong fixed leg tenor for swaps with explicit termination dates 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
MakeVanillaSwap / MakeOIS withSettlementDays clears an explicit effective date 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Potential flaw in Actual/Actual Day Count Convetion when compared to ISDA docs, LSEG and Bloomberg 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
backward start swap helper needed 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
OISRateHelper should take a QuoteHandle for overnightSpread parameter 7 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
inflationYearFraction in ZeroCouponInflationSwap 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
avoid underflow in SmileSectionUtils 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Volatility surface with different strike levels for different tenors 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
FloatingRateCoupon fixingDate() Following 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Jump in OAS on callable bond with ex coupon date 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Add ql.ZabrSwaptionVolatilityCube() 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Request: Natural cubic spline fitter for FittedBondDiscountCurve 8 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Potential day count bug in ZeroSpreadedTermStructure / zSpread 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
GSR Process Kernel Crash in Python 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Support custom pillar date in interest-rate futures helpers 9 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Feature request: FX Forwards 10 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Add CrossCurrencySwapRateHelper 10 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
OvernightIndexedCoupon: amount() and rate() return inf/nan if paymentDate < accrualEndDate 11 months ago
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance
Segfault for `AmortizingFloatingRateBond` constructor. about 1 year ago

AI Summary: A user reported a segmentation fault when attempting to construct an `AmortizingFloatingRateBond` in QuantLib Python using seemingly invalid or default arguments, specifically an empty `ql.Schedule()`. Although the user acknowledges these inputs are not intended for a valid bond, a segfault indicates a critical unhandled error in the underlying C++ code. The issue suggests the need for robust input validation to prevent crashes and instead raise a proper exception for invalid constructor arguments.

Complexity: 3/5
help wanted
lballabio/QuantLib
7.3K

The QuantLib C++ library

C++
#quantitative-finance