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 :-(

QuantLib, Lua on iPhone

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())

A sample Lua/QuantLib program

This example is a rip of the Python Lua example for European options:

It returns the values 0.030342732609191 and 0.030027071770314 respectively

-- Mostly ripped from Python European Example

-- makes life a little simpler

QL=QuantLib

Date=QL.Date

tD=Date(15,QuantLib.May,1998)

sD=Date(17,QuantLib.May,1998)

QL.Settings_instance():setEvaluationDate(tD)

print(QL.Settings_instance():getEvaluationDate())

riskFreeRate = QL.FlatForward(sD, 0.05, QL.Actual365Fixed())

exercise = QL.EuropeanExercise(Date(17,5,1999))

payoff = QL.PlainVanillaPayoff(QL.Option_Call, 8.0)

underlying = QL.SimpleQuote(7.0)

volatility = QL.BlackConstantVol(tD, QL.TARGET(), 0.10, QL.Actual365Fixed())

dividendYield = QL.FlatForward(sD, 0.05, QL.Actual365Fixed())

process = QL.BlackScholesMertonProcess(QL.QuoteHandle(underlying),QL.YieldTermStructureHandle(dividendYield),QL.YieldTermStructureHandle(riskFreeRate),QL.BlackVolTermStructureHandle(volatility))

option = QL.VanillaOption(payoff, exercise)

option:setPricingEngine(QL.AnalyticEuropeanEngine(process))

-- Analytic

print ("Analytic Price",option:NPV())

-- Finite Difference

-- method: finite differences

timeSteps = 801

gridPoints = 800

option:setPricingEngine(QL.FDEuropeanEngine(process,timeSteps,gridPoints))

print("finite diff.",option:NPV())

iPhone QuantLib stuff

Is being consolidated at this website

I have done a lot of stuff and just haven't had time to put it all together in one place.

Beyond Lights Out available

DayCount available on your nearest iTunes store.

It's now available at your favorite iTunes store.