Exploring Quantlib: Testing Examples for Financial Modeling
QuantLib 1.31.1 / Boost 1.83.0 Microsoft Visual Studio Community 2022 (64 - bit) - Version 17.7.4 Examples BasketLosses 1 September 25th, 2023 2 QuantLib version: 1.31.1 3 BasketLosses! 4 5 GLHP Expected 10-Yr Losses: 6 29.6265 7 Gaussian Binomial Expected 10-Yr Losses: 8 25.8297 9 T Binomial Expected 10-Yr Losses: 10 25.6508 11 G Inhomogeneous Expected 10-Yr Losses: 12 26.111 13 Random G Expected 10-Yr Losses: 14 26.1135 15 Random T Expected 10-Yr Losses: 16 28.2459 17 Random Loss G Expected 10-Yr Losses: 18 24.058 19 Random Loss T Expected 10-Yr Losses: 20 23.6476 21 Base Correlation GLHP Expected 10-Yr Losses: 22 29.6265 23 24 QuantLib version: 1.31.1 25 Using Boost 1.83.0 26 Exit quantLib test Bermudan Swaption ---- HOUSTON, we have a problem! Bonds 1 September 25th, 2023