On building an integrated QuantLib/Lua platform on the world's most popular computer.

Sunday, January 23, 2011

Reading Yahoo/Fed data directly

I can now use Lua to read in Federal-H15 data and Yahoo stock data. directly into QuantLib/Lua. I just wish I could read bond data from somewhere :-(

Thursday, January 6, 2011

Pricing a bond using QuantLib/Lua

Here is an example of pricing a bond using QuantLib/Lua on the iPhone

--Simple bond pricing
--http://tgwena.blogspot.com
ql=QuantLib
Date=ql.Date


local sDD=Date(17,5,1998)
local eDD=Date(17,5,2001)

local r=0.04 --interest rate
local c=0.06 --coupon

ql.Settings_instance():setEvaluationDate(sDD)


sched=ql.Schedule(sDD,eDD,ql.Period(2),ql.NullCalendar(),ql.Unadjusted,ql.Unadjusted,0,false)
ufixQ=ql.SimpleQuote(r)
ufixH=ql.QuoteHandle(ufixQ)
curve=ql.FlatForward(0,ql.NullCalendar(),ufixH,ql.SimpleDayCounter())
flatTS=ql.YieldTermStructureHandle(curve)
bondEngine=ql.DiscountingBondEngine(flatTS)


bond=ql.FixedRateBond(0,100,sched,ql.DoubleVector(1,c),ql.SimpleDayCounter(),ql.Unadjusted, 100, sDD)

bond:setPricingEngine(bondEngine)

print(bond:dirtyPrice())

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