quantlib-users Mailing List for QuantLib

QuantLib 1.42 is now available for download at <
https://www.quantlib.org/download.shtml>; precompiled binaries are also
available from PyPI and NuGet for Python and C# respectively.

The list of changes for this release is at <
https://github.com/lballabio/QuantLib/releases/tag/v1.42>.

If you have any problems with this release, please report them here on the
QuantLib mailing list (<qua...@li...>) or open a
GitHub issue at <https://github.com/lballabio/quantlib/issues>.

On 13 April 2026 at 16:14, Luigi Ballabio wrote:
| Ok, I see the problem — apt is still giving you SWIG 4.4.0: see <
| https://buildd.debian.org/status/package.php?p=swig&suite=sid>.  And quite
| simply, 4.4.0 had a bug.

Ahh. Easy enough. That explains it.
 
| I would have thought sid had 4.4.1 at this point, given that it was
| released last December.  Upgrading to that SWIG version would fix the
| build.  If you can get hold of the maintainer, maybe you can nudge them?

I will file a courtesy bug report gentlu nudging the maintainer(s). [ Some
time passes. ]  Done, see #1133688.

Dirk

-- 
Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com

Ok, I see the problem — apt is still giving you SWIG 4.4.0: see <
https://buildd.debian.org/status/package.php?p=swig&suite=sid>.  And quite
simply, 4.4.0 had a bug.

I would have thought sid had 4.4.1 at this point, given that it was
released last December.  Upgrading to that SWIG version would fix the
build.  If you can get hold of the maintainer, maybe you can nudge them?

Luigi


On Mon, Apr 13, 2026 at 3:27 PM Dirk Eddelbuettel <ed...@de...> wrote:

>
> Hi Luigi,
>
> On 13 April 2026 at 14:54, Luigi Ballabio wrote:
> | Hi Dirk, as usual thanks for the support.
> |
> | > I did once again have to carry the 'make Python 3.10 the minimum' patch
> | forward as I had for the last two (?)  cycles.
> |
> | Meaning that you tried not applying it and the build failed?
>
> Yes. There were really two problems here.  First, once a patch is placed
> into
> debian/patches/ in the sources and referenced in debian/patches/series, it
> is
> always applied (using a system called `quilt`, which AFAIK is a general
> tool
> from outside Debian). Usually that 'just works' as the sources do not
> change. Here it failed, I believe the last and this time.  So with the
> patch
> NOT applied the build then failed.
>
> And am I guessing correctly that there even was/is the intent to automate
> this as there are Python/setup.py and Python/setup.py.in and I may well be
> doing something wrong if I have to patch both?
>
> | I thought it was no longer necessary if Debian picked up SWIG 4.4.1 (the
> upgrade to
> | 4.4.0 made it necessary, 4.4.1 should have fixed it).
>
> I would not know -- you are the swig expert here.
>
> | > I presume you keep it 3.8 for a reason?
> |
> | Well, since it doesn't require us to create extra wheels (the ones we
> | create with the stable ABI work with all versions) it's supposed to be
> | zero-cost and possibly make some people happier.  But if it still
> requires
> | you to patch the build, I'll probably drop it next time.
>
> Can setup.py somehow pick up how/where it builds and could we condition on
> that?  There must be a way to support both 'very conservative Python 3.8'
> for
> manywheels and all that as well as our (and presumably other people's) use
> on
> newer systems that do not go back as far?  In my case 'manually' adjusting
> is
> not a big deal.  If we could make the patch auto-apply it would be even
> easier.  Could setup.py 'read a file' we patch (and that does not change)
> or
> 'listen to an env var' (that I could set) ?
>
> Dirk
>
> --
> Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com
>

Hi Luigi,

On 13 April 2026 at 14:54, Luigi Ballabio wrote:
| Hi Dirk, as usual thanks for the support.
| 
| > I did once again have to carry the 'make Python 3.10 the minimum' patch
| forward as I had for the last two (?)  cycles.
| 
| Meaning that you tried not applying it and the build failed?

Yes. There were really two problems here.  First, once a patch is placed into
debian/patches/ in the sources and referenced in debian/patches/series, it is
always applied (using a system called `quilt`, which AFAIK is a general tool
from outside Debian). Usually that 'just works' as the sources do not
change. Here it failed, I believe the last and this time.  So with the patch
NOT applied the build then failed.

And am I guessing correctly that there even was/is the intent to automate
this as there are Python/setup.py and Python/setup.py.in and I may well be
doing something wrong if I have to patch both?

| I thought it was no longer necessary if Debian picked up SWIG 4.4.1 (the upgrade to
| 4.4.0 made it necessary, 4.4.1 should have fixed it).

I would not know -- you are the swig expert here.
 
| > I presume you keep it 3.8 for a reason?
| 
| Well, since it doesn't require us to create extra wheels (the ones we
| create with the stable ABI work with all versions) it's supposed to be
| zero-cost and possibly make some people happier.  But if it still requires
| you to patch the build, I'll probably drop it next time.

Can setup.py somehow pick up how/where it builds and could we condition on
that?  There must be a way to support both 'very conservative Python 3.8' for
manywheels and all that as well as our (and presumably other people's) use on
newer systems that do not go back as far?  In my case 'manually' adjusting is
not a big deal.  If we could make the patch auto-apply it would be even
easier.  Could setup.py 'read a file' we patch (and that does not change) or
'listen to an env var' (that I could set) ?

Dirk

-- 
Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com

Hi Dirk, as usual thanks for the support.

> I did once again have to carry the 'make Python 3.10 the minimum' patch
forward as I had for the last two (?)  cycles.

Meaning that you tried not applying it and the build failed? I thought it
was no longer necessary if Debian picked up SWIG 4.4.1 (the upgrade to
4.4.0 made it necessary, 4.4.1 should have fixed it).

> I presume you keep it 3.8 for a reason?

Well, since it doesn't require us to create extra wheels (the ones we
create with the stable ABI work with all versions) it's supposed to be
zero-cost and possibly make some people happier.  But if it still requires
you to patch the build, I'll probably drop it next time.

Luigi



On Fri, Apr 10, 2026 at 3:17 PM Dirk Eddelbuettel <ed...@de...> wrote:

>
> On 2 April 2026 at 12:29, Luigi Ballabio wrote:
> | Hi all,
> |    a release candidate for QuantLib 1.42 is available at <
> | https://github.com/lballabio/QuantLib/releases/tag/v1.42-rc>.  Python
> | wheels are also available at <
> | https://test.pypi.org/project/QuantLib/1.42rc0/>, and a C# NuGet
> package is
> | at <https://int.nugettest.org/packages/QuantLib/1.42.0-rc>.  If you have
> | some time, please try it out and report any issues on GitHub (or here on
> | the mailing list).  Thanks!
>
> All good from here on the Debian side. Built (and uploaded) QuantLib
> yesterday, followed up with QuantLib-SWIG (for just Python) now. I did once
> again have to carry the 'make Python 3.10 the minimum' patch forward as I
> had
> for the last two (?)  cycles.
>
> I presume you keep it 3.8 for a reason?  If not a gentle nudge to adjust :)
> The patch basically is still the same as
>
>
> https://sources.debian.org/src/quantlib-swig/1.41-1/debian/patches/upgrade-minimum-python-version-3.10.patch
>
> but will get slightly changed line numbers when '1.41.99' (as we cannot
> append '-rc' in our version sorting) pops up in due course.
>
> Cheers,  Dirk
>
> --
> dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
> Sponsor me for Tour de Shore 2026! Donate at
>    https://www.pledgereg.com/536435
> More about the ride at
>
> https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

On 2 April 2026 at 12:29, Luigi Ballabio wrote:
| Hi all,
|    a release candidate for QuantLib 1.42 is available at <
| https://github.com/lballabio/QuantLib/releases/tag/v1.42-rc>.  Python
| wheels are also available at <
| https://test.pypi.org/project/QuantLib/1.42rc0/>, and a C# NuGet package is
| at <https://int.nugettest.org/packages/QuantLib/1.42.0-rc>.  If you have
| some time, please try it out and report any issues on GitHub (or here on
| the mailing list).  Thanks!

All good from here on the Debian side. Built (and uploaded) QuantLib
yesterday, followed up with QuantLib-SWIG (for just Python) now. I did once
again have to carry the 'make Python 3.10 the minimum' patch forward as I had
for the last two (?)  cycles.

I presume you keep it 3.8 for a reason?  If not a gentle nudge to adjust :)
The patch basically is still the same as

   https://sources.debian.org/src/quantlib-swig/1.41-1/debian/patches/upgrade-minimum-python-version-3.10.patch

but will get slightly changed line numbers when '1.41.99' (as we cannot
append '-rc' in our version sorting) pops up in due course.

Cheers,  Dirk

-- 
dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Sponsor me for Tour de Shore 2026! Donate at
   https://www.pledgereg.com/536435 
More about the ride at
   https://dirk.eddelbuettel.com/blog/2026/04/03#sponsor_tour_de_shore_2026

Hi all,
   a release candidate for QuantLib 1.42 is available at <
https://github.com/lballabio/QuantLib/releases/tag/v1.42-rc>.  Python
wheels are also available at <
https://test.pypi.org/project/QuantLib/1.42rc0/>, and a C# NuGet package is
at <https://int.nugettest.org/packages/QuantLib/1.42.0-rc>.  If you have
some time, please try it out and report any issues on GitHub (or here on
the mailing list).  Thanks!

Luigi

Hello Chirag,
    please don't use the latest 1.41.  Backporting your class manually
might skip some steps.  Use a checkout from the latest master from GitHub,
where your FxForward is already included correctly.  Use a checkout for the
SWIG part too; you'll have to do that anyway in order to open a pull
request.

Luigi


On Mon, Mar 16, 2026 at 8:53 AM Chirag Desai <chi...@ya...>
wrote:

> Hi Luigi
>
> I am very sorry but may not have been clear enough
>
> 1) I got the latest versions of Quantlib 1.41 and Quantlib-SWIG 1.41
> 2) I manually added the FXForward class in my local version and it builds
> fine and the test for it under testsuite works fine
> 3) I added the fxforward.i and amended ql.i
> 4) When I build the python wheel it cannot find the FX Forward class
>
> (When I do the above exercise without the FX Forward class, I can build
> the wheel successfully and all works well)
>
> [image: Inline image]
>
> On Sunday, March 15, 2026 at 12:33:03 AM GMT+8, Luigi Ballabio <
> lui...@gm...> wrote:
>
>
> Your new class is not in QuantLib 1.41.  You need to check out the latest
> versions of QuantLib and QuantLib-SWIG from GitHub and use those ones.
>
> Luigi
>
>
> On Sat, Mar 14, 2026 at 5:41 AM Chirag Desai <chi...@ya...>
> wrote:
>
> Thank you Mr Luigi
>
> 1) I added in ql.i and recompiled Quantlib as well
>
> 2) I get error messages now when building the wheel stating FXForward
> class cannot be found. I have attached the error messages.
>
> Build was successful
> [image: Inline image]
>
> [image: Inline image]
>
>
>
> On Friday, March 13, 2026 at 10:50:47 PM GMT+8, Luigi Ballabio <
> lui...@gm...> wrote:
>
>
> Hi Chirag, did you add your fxforward.i to the files included in ql.i ?
>
> Luigi
>
>
> On Fri, Mar 13, 2026 at 7:42 AM Chirag Desai <chi...@ya...>
> wrote:
>
> Hi All
> I built Quantlib with the new fxforward.hpp, fxforward.cpp ,
> fxforwarddiscountingengine hpp.cpp which I had recently contributed and
> successfully in my own version of Quantlib 1.41. All tests work
>
> I placed my fxforward.i file and swig runs successfully
>
> The wheel is generated successfully
>
> I am able to pip install the wheel and successfully can “import Quantlib
> as ql” and also can run certain Python files under SWIG in Examples and
> Tests (european-option.py, test_blackformula.py)
>
> For some reason my FX Forward tests all fail. (attached test_fxforward.py)
>
> How do I check if my FXForward class was successfully exposed to the
> Python API ? If any tools available ?
>
> When I do ql.  there is no dropdown either in IDE like VSCode to see what
> ql functions are being exposed in Python ?
> Thank you all
>
>
>
>
>
>

 Hi Luigi
I am very sorry but may not have been clear enough
1) I got the latest versions of Quantlib 1.41 and Quantlib-SWIG 1.412) I manually added the FXForward class in my local version and it builds fine and the test for it under testsuite works fine3) I added the fxforward.i and amended ql.i4) When I build the python wheel it cannot find the FX Forward class
(When I do the above exercise without the FX Forward class, I can build the wheel successfully and all works well)


    On Sunday, March 15, 2026 at 12:33:03 AM GMT+8, Luigi Ballabio <lui...@gm...> wrote:  
 
 Your new class is not in QuantLib 1.41.  You need to check out the latest versions of QuantLib and QuantLib-SWIG from GitHub and use those ones.
Luigi

On Sat, Mar 14, 2026 at 5:41 AM Chirag Desai <chi...@ya...> wrote:

 Thank you Mr Luigi
1) I added in ql.i and recompiled Quantlib as well
2) I get error messages now when building the wheel stating FXForward class cannot be found. I have attached the error messages.
Build was successful 





    On Friday, March 13, 2026 at 10:50:47 PM GMT+8, Luigi Ballabio <lui...@gm...> wrote:  
 
 Hi Chirag, did you add your fxforward.i to the files included in ql.i ?
Luigi

On Fri, Mar 13, 2026 at 7:42 AM Chirag Desai <chi...@ya...> wrote:

 Hi AllI built Quantlib with the newfxforward.hpp, fxforward.cpp , fxforwarddiscountingengine hpp.cpp which I had recently contributed and successfullyin my own version of Quantlib 1.41. All tests work


I placed my fxforward.i file andswig runs successfully



The wheel is generated successfully



I am able to pip install the wheeland successfully can “import Quantlib as ql” and also can run certain Pythonfiles under SWIG in Examples and Tests (european-option.py,test_blackformula.py)

For some reason my FX Forward testsall fail. (attached test_fxforward.py)

How do I check if my FXForward classwas successfully exposed to the Python API ? If any tools available ?

When I do ql.  there is no dropdown either in IDE like VSCodeto see what ql functions are being exposed in Python ?
Thank you all
 




  
  

Your new class is not in QuantLib 1.41.  You need to check out the latest
versions of QuantLib and QuantLib-SWIG from GitHub and use those ones.

Luigi


On Sat, Mar 14, 2026 at 5:41 AM Chirag Desai <chi...@ya...>
wrote:

> Thank you Mr Luigi
>
> 1) I added in ql.i and recompiled Quantlib as well
>
> 2) I get error messages now when building the wheel stating FXForward
> class cannot be found. I have attached the error messages.
>
> Build was successful
> [image: Inline image]
>
> [image: Inline image]
>
>
>
> On Friday, March 13, 2026 at 10:50:47 PM GMT+8, Luigi Ballabio <
> lui...@gm...> wrote:
>
>
> Hi Chirag, did you add your fxforward.i to the files included in ql.i ?
>
> Luigi
>
>
> On Fri, Mar 13, 2026 at 7:42 AM Chirag Desai <chi...@ya...>
> wrote:
>
> Hi All
> I built Quantlib with the new fxforward.hpp, fxforward.cpp ,
> fxforwarddiscountingengine hpp.cpp which I had recently contributed and
> successfully in my own version of Quantlib 1.41. All tests work
>
> I placed my fxforward.i file and swig runs successfully
>
> The wheel is generated successfully
>
> I am able to pip install the wheel and successfully can “import Quantlib
> as ql” and also can run certain Python files under SWIG in Examples and
> Tests (european-option.py, test_blackformula.py)
>
> For some reason my FX Forward tests all fail. (attached test_fxforward.py)
>
> How do I check if my FXForward class was successfully exposed to the
> Python API ? If any tools available ?
>
> When I do ql.  there is no dropdown either in IDE like VSCode to see what
> ql functions are being exposed in Python ?
> Thank you all
>
>
>
>
>
>

 Thank you Mr Luigi
1) I added in ql.i and recompiled Quantlib as well
2) I get error messages now when building the wheel stating FXForward class cannot be found. I have attached the error messages.
Build was successful 





    On Friday, March 13, 2026 at 10:50:47 PM GMT+8, Luigi Ballabio <lui...@gm...> wrote:  
 
 Hi Chirag, did you add your fxforward.i to the files included in ql.i ?
Luigi

On Fri, Mar 13, 2026 at 7:42 AM Chirag Desai <chi...@ya...> wrote:

 Hi AllI built Quantlib with the newfxforward.hpp, fxforward.cpp , fxforwarddiscountingengine hpp.cpp which I had recently contributed and successfullyin my own version of Quantlib 1.41. All tests work


I placed my fxforward.i file andswig runs successfully



The wheel is generated successfully



I am able to pip install the wheeland successfully can “import Quantlib as ql” and also can run certain Pythonfiles under SWIG in Examples and Tests (european-option.py,test_blackformula.py)

For some reason my FX Forward testsall fail. (attached test_fxforward.py)

How do I check if my FXForward classwas successfully exposed to the Python API ? If any tools available ?

When I do ql.  there is no dropdown either in IDE like VSCodeto see what ql functions are being exposed in Python ?
Thank you all
 




  

Hi Chirag, did you add your fxforward.i to the files included in ql.i ?

Luigi


On Fri, Mar 13, 2026 at 7:42 AM Chirag Desai <chi...@ya...>
wrote:

> Hi All
> I built Quantlib with the new fxforward.hpp, fxforward.cpp ,
> fxforwarddiscountingengine hpp.cpp which I had recently contributed and
> successfully in my own version of Quantlib 1.41. All tests work
>
> I placed my fxforward.i file and swig runs successfully
>
> The wheel is generated successfully
>
> I am able to pip install the wheel and successfully can “import Quantlib
> as ql” and also can run certain Python files under SWIG in Examples and
> Tests (european-option.py, test_blackformula.py)
>
> For some reason my FX Forward tests all fail. (attached test_fxforward.py)
>
> How do I check if my FXForward class was successfully exposed to the
> Python API ? If any tools available ?
>
> When I do ql.  there is no dropdown either in IDE like VSCode to see what
> ql functions are being exposed in Python ?
>
> Thank you all
>
>
>
>
>

 Hi AllI built Quantlib with the newfxforward.hpp, fxforward.cpp , fxforwarddiscountingengine hpp.cpp which I had recently contributed and successfullyin my own version of Quantlib 1.41. All tests work


I placed my fxforward.i file andswig runs successfully



The wheel is generated successfully



I am able to pip install the wheeland successfully can “import Quantlib as ql” and also can run certain Pythonfiles under SWIG in Examples and Tests (european-option.py,test_blackformula.py)

For some reason my FX Forward testsall fail. (attached test_fxforward.py)

How do I check if my FXForward classwas successfully exposed to the Python API ? If any tools available ?

When I do ql.  there is no dropdown either in IDE like VSCodeto see what ql functions are being exposed in Python ?

Thank you all 

 

Hi, see <https://github.com/lballabio/QuantLib/pull/2474> recently opened.

Luigi

On Tue, Sep 23, 2025 at 2:51 PM "范博伟" <hz...@si...> wrote:

> Hi Luigi,
>
> We did namage to modify the OvernightIndexedSwap and related methods in
> C++ and build the FR007 swap class, mainly using xuruilong's example as
> reference.
>
> And yes, FR007 is a main bench market interest rate in China Inter Bank
> market. It's the real funding rate for most institution in the market.
> FR007 IRS is the most traded IRS in China IB. It's reset every 1 week as
> the tenor of FR007.
>
> We have most modeling work done in Python. It would be really handy if we
> can do the calibration in Python too.
>
> For now, I managed to write a python version utilizing the FRARateHelper
> for the quotes and iteratively bootstrapping instruments. Error might be
> acceptable for some trading purpose.
>
>
>
>
> ----- 原始邮件 -----
> 发件人：Luigi Ballabio <lui...@gm...>
> 收件人：hz...@si...
> 抄送人：quantlib-users <qua...@li...>
> 主题：Re: Re: [Quantlib-users] Bootstrap non fixed-reset-number floating leg
> interest rate swap
> 日期：2025年09月23日 14点35分
>
> Hello,
>     no, there's no such class.  One should inherit from RateHelper and
> code it in C++.  Are these instruments the way rates are quoted in your
> market?
>
> Best,
>     Luigi
>
>
> On Mon, Sep 22, 2025 at 4:40 PM "范博伟" <hz...@si...> wrote:
>
> Hi Luigi,
>
> Thanks for the reply!
>
> I check the MultipleResetCoupon and I think I can use that and put a swap
> together by passing fixedLeg and floatingLeg to ql.Swap, or
> ql.NonstandardSwap.
>
> However, how can I bootstrap from those swaps for discounting curve? I
> think SwapRateHelper won't take swap as input.
>
> Is there any available helper class would help in this case?
>
> Thanks.
>
>
> ----- 原始邮件 -----
> 发件人：Luigi Ballabio <lui...@gm...>
> 收件人：hz...@si...
> 抄送人：quantlib-users <qua...@li...>
> 主题：Re: [Quantlib-users] Bootstrap non fixed-reset-number floating leg
> interest rate swap
> 日期：2025年09月22日 14点24分
>
> Hello,
>     instead of using MultipleResetsLeg, you can instantiate the underlying
> MultipleResetCoupon instances directly.  Each coupon can take its set of
> reset dates explicitly.
>
> Hope this helps,
>     Luigi
>
>
> On Sun, Sep 14, 2025 at 3:10 PM "范博伟" <hz...@si...> wrote:
>
> Hi there,
>
> I am trying to use python to calibrate interest rate swap in China, which
> is a bit non-standard as the floating leg is reset weekly and paid
> quarterly.
>
> I am tring to the use the MultipleResetsLeg for the floating leg to
> construct a swap  and do the calibartoin. However, the MultipleResetsLeg
> has a fixed number of resets per coupon while in real case, the number of
> resets is not fixed. It could be 12-14 resets per coupon due to the
> convention and calendar.
>
> In C++, we could build the swap from scratch but not sure if we can do
> that in python, since some api is not exposed.
>
> Could anyone help me with the issue. Thanks.
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

It looks like you're not using QuantLib 1.41 (the release you find at <
https://github.com/lballabio/QuantLib/releases/tag/v1.41> but a checkout of
the git repository, which is more recent than 1.41 and removed a few
deprecated classes.  If that's the case, you also need a checkout of the
git repository for QuantLib-SWIG.

Luigi


On Wed, Mar 11, 2026 at 12:38 PM Chirag Desai <chi...@ya...>
wrote:

> Hi
>
> I have been trying to build the Python wheel as advised on
>
> https://www.quantlib.org/install/windows-python.shtml
>
> I used latest Quantlib 1.41 and Quantlib-SWIG 1.41 as well.
>
> 1) I set up the environment variables
>
> [image: Inline image]
>
> 2) This works fine
> [image: Inline image]
>
> 3) I get an error message which I have attached in Error.txt but its along
> the line of incompatible Quantlib /SWIG versions as some of the below have
> been deprecated.
>
> C:\local\QuantLib-SWIG-1.41\Python>python -m build --wheel --no-isolation
>
> [image: Inline image]
> Any help pls ?
> Thank you
> Chirag
>
>
>
>
>
>

Hi 
I have been trying to build the Python wheel as advised on 
https://www.quantlib.org/install/windows-python.shtml 
I used latest Quantlib 1.41 and Quantlib-SWIG 1.41 as well.
1) I set up the environment variables 


2) This works fine 

3) I get an error message which I have attached in Error.txt but its along the line of incompatible Quantlib /SWIG versions as some of the below have been deprecated.
C:\local\QuantLib-SWIG-1.41\Python>python -m build --wheel --no-isolation


Any help pls ?Thank you Chirag

As I and Peter wrote earlier, you do not need native OIS support to 
price a Bermudan OIS option. You can use the QuantLib type 
VanillaSwaption. It references an underlying ibor swap with a fixed 
maturity date. If you need an OIS underlying, you can equivalently use 
a VanillaSwap that references a custom ibor of which the tenor equals 
the period of the fixed leg of the OIS. Then you will get the exact same 
price.

On 3/9/2026 4:18 AM, Rich Amaya via QuantLib-users wrote:
> Hi Peter and Daniel,
>
> Thanks for the clarification Peter. I’ve opened a GitHub issue to 
> track adding native OIS support to the FD Bermudan swaption engines.
>
> Best,
> Rich
>
>> On Mar 8, 2026, at 1:23 PM, Peter Caspers <pca...@gm...> wrote:
>>
>> Hi Rich and Daniel,
>>
>> Apologies, I misunderstood the trade terms - I thought we were 
>> talking about a swaption exercising into an underlying swap with 
>> constant maturity measured from the respective exercise date!
>>
>> Thanks for clarifying.
>>
>> Best
>> Peter
>>
>> On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma...> wrote:
>>
>>     Hi Daniel,
>>
>>     As Peter says, QuantLib doesn’t have a Bermudan swaption with an
>>     OIS underlying. However, you can use a VanillaSwap as a proxy for
>>     the underlying and price it with the existing Bermudan
>>     infrastructure.
>>
>>     The existing QuantLib examples are actually the co-terminal case
>>     you need - a single swap with a fixed maturity date, with
>>     exercise dates at each fixed coupon accrual start. When exercised
>>     at a later date, only the remaining coupons contribute to the
>>     payoff, so the effective swap tenor is shorter while the maturity
>>     date stays the same. See
>>     Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward)
>>     and test-suite/bermudanswaption.cpp.
>>
>>     The setup is: create a VanillaSwap with your fixed maturity date,
>>     build a BermudanExercise from the fixed leg accrual start dates
>>     (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine.
>>
>>     Under a one-factor Hull-White model with a single forwarding
>>     curve, this VanillaSwap proxy is exact - the compound of daily
>>     overnight forwards equals the period forward rate on the same
>>     curve, so VanillaSwap and OIS floating legs produce identical NPVs.
>>
>>     *_References_*
>>     - Brigo & Mercurio, “Interest Rate Model — Theory and Practice”
>>     (Ch. 3 for HW model, tree-based pricing)
>>     - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch.
>>     31-32 for short-rate models and trinomial trees)
>>
>>     I hope that helps!
>>
>>     Best,
>>     Rich
>>
>>
>>>     On Mar 8, 2026, at 6:53 AM, Daniel Lobo
>>>     <dan...@gm...> wrote:
>>>
>>>     Hi Peter,
>>>
>>>     Thanks for your response.
>>>
>>>     Do you know if there is any online resource available to get
>>>     guidance
>>>     on this pricing and if QuantLib has any pipeline to implement this
>>>     Instrument?
>>>
>>>     BR,
>>>
>>>     On Sun, 8 Mar 2026 at 00:15, Peter Caspers
>>>     <pca...@gm...> wrote:
>>>>
>>>>     Hi Daniel,
>>>>
>>>>     I don't think we have this variant of a Bermudan swaption in
>>>>     QuantLib.
>>>>
>>>>     Best
>>>>     Peter
>>>>
>>>>
>>>>     On Sat, 7 Mar 2026 at 09:55, Daniel Lobo
>>>>     <dan...@gm...> wrote:
>>>>>
>>>>>     Hi,
>>>>>
>>>>>     I need to price a Bermudian type swaption which has multiple
>>>>>     maturity
>>>>>     dates (total number 5) however underlying swap is OIS, which has a
>>>>>     fixed maturity date.
>>>>>
>>>>>     I found some swaption examples, where underlying swap has only
>>>>>     fixed
>>>>>     maturity term, not fixed maturity date. Therefore in my case,
>>>>>     at eah
>>>>>     exercise date, underlying swap's maturity term is lesser.
>>>>>
>>>>>     Can you please point if there any such quantlib implementation or
>>>>>     example to price such swaption based on hull white model?
>>>>>
>>>>>
>>>>>     _______________________________________________
>>>>>     QuantLib-users mailing list
>>>>>     Qua...@li...
>>>>>     https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>>
>>>     _______________________________________________
>>>     QuantLib-users mailing list
>>>     Qua...@li...
>>>     https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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Hi Peter and Daniel,

Thanks for the clarification Peter. I’ve opened a GitHub issue to track adding native OIS support to the FD Bermudan swaption engines.

Best,
Rich

> On Mar 8, 2026, at 1:23 PM, Peter Caspers <pca...@gm...> wrote:
> 
> Hi Rich and Daniel,
> 
> Apologies, I misunderstood the trade terms - I thought we were talking about a swaption exercising into an underlying swap with constant maturity measured from the respective exercise date!
> 
> Thanks for clarifying.
> 
> Best
> Peter
> 
> On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma... <mailto:ric...@ma...>> wrote:
>> Hi Daniel,
>> 
>> As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS underlying. However, you can use a VanillaSwap as a proxy for the underlying and price it with the existing Bermudan infrastructure.
>> 
>> The existing QuantLib examples are actually the co-terminal case you need - a single swap with a fixed maturity date, with exercise dates at each fixed coupon accrual start. When exercised at a later date, only the remaining coupons contribute to the payoff, so the effective swap tenor is shorter while the maturity date stays the same. See Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and test-suite/bermudanswaption.cpp.
>> 
>> The setup is: create a VanillaSwap with your fixed maturity date, build a BermudanExercise from the fixed leg accrual start dates (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine.
>> 
>> Under a one-factor Hull-White model with a single forwarding curve, this VanillaSwap proxy is exact - the compound of daily overnight forwards equals the period forward rate on the same curve, so VanillaSwap and OIS floating legs produce identical NPVs.
>> 
>> References
>> - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for HW model, tree-based pricing)
>> - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for short-rate models and trinomial trees)
>> 
>> I hope that helps!
>> 
>> Best,
>> Rich
>> 
>> 
>>> On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm... <mailto:dan...@gm...>> wrote:
>>> 
>>> Hi Peter,
>>> 
>>> Thanks for your response.
>>> 
>>> Do you know if there is any online resource available to get guidance
>>> on this pricing and if QuantLib has any pipeline to implement this
>>> Instrument?
>>> 
>>> BR,
>>> 
>>> On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm... <mailto:pca...@gm...>> wrote:
>>>> 
>>>> Hi Daniel,
>>>> 
>>>> I don't think we have this variant of a Bermudan swaption in QuantLib.
>>>> 
>>>> Best
>>>> Peter
>>>> 
>>>> 
>>>> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm... <mailto:dan...@gm...>> wrote:
>>>>> 
>>>>> Hi,
>>>>> 
>>>>> I need to price a Bermudian type swaption which has multiple maturity
>>>>> dates (total number 5) however underlying swap is OIS, which has a
>>>>> fixed maturity date.
>>>>> 
>>>>> I found some swaption examples, where underlying swap has only fixed
>>>>> maturity term, not fixed maturity date. Therefore in my case, at eah
>>>>> exercise date, underlying swap's maturity term is lesser.
>>>>> 
>>>>> Can you please point if there any such quantlib implementation or
>>>>> example to price such swaption based on hull white model?
>>>>> 
>>>>> 
>>>>> _______________________________________________
>>>>> QuantLib-users mailing list
>>>>> Qua...@li... <mailto:Qua...@li...>
>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>> 
>>> 
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li... <mailto:Qua...@li...>
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> 

Hi Rich and Daniel,

Apologies, I misunderstood the trade terms - I thought we were talking
about a swaption exercising into an underlying swap with constant maturity
measured from the respective exercise date!

Thanks for clarifying.

Best
Peter

On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma...> wrote:

> Hi Daniel,
>
> As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS
> underlying. However, you can use a VanillaSwap as a proxy for the
> underlying and price it with the existing Bermudan infrastructure.
>
> The existing QuantLib examples are actually the co-terminal case you need
> - a single swap with a fixed maturity date, with exercise dates at each
> fixed coupon accrual start. When exercised at a later date, only the
> remaining coupons contribute to the payoff, so the effective swap tenor is
> shorter while the maturity date stays the same. See
> Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and
> test-suite/bermudanswaption.cpp.
>
> The setup is: create a VanillaSwap with your fixed maturity date, build a
> BermudanExercise from the fixed leg accrual start dates (your 5 exercise
> dates), and price with FdHullWhiteSwaptionEngine.
>
> Under a one-factor Hull-White model with a single forwarding curve, this
> VanillaSwap proxy is exact - the compound of daily overnight forwards
> equals the period forward rate on the same curve, so VanillaSwap and OIS
> floating legs produce identical NPVs.
>
> *References*
> - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for
> HW model, tree-based pricing)
> - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for
> short-rate models and trinomial trees)
>
> I hope that helps!
>
> Best,
> Rich
>
>
> On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm...> wrote:
>
> Hi Peter,
>
> Thanks for your response.
>
> Do you know if there is any online resource available to get guidance
> on this pricing and if QuantLib has any pipeline to implement this
> Instrument?
>
> BR,
>
> On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote:
>
>
> Hi Daniel,
>
> I don't think we have this variant of a Bermudan swaption in QuantLib.
>
> Best
> Peter
>
>
> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote:
>
>
> Hi,
>
> I need to price a Bermudian type swaption which has multiple maturity
> dates (total number 5) however underlying swap is OIS, which has a
> fixed maturity date.
>
> I found some swaption examples, where underlying swap has only fixed
> maturity term, not fixed maturity date. Therefore in my case, at eah
> exercise date, underlying swap's maturity term is lesser.
>
> Can you please point if there any such quantlib implementation or
> example to price such swaption based on hull white model?
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>

Hi Daniel,

As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS underlying. However, you can use a VanillaSwap as a proxy for the underlying and price it with the existing Bermudan infrastructure.

The existing QuantLib examples are actually the co-terminal case you need - a single swap with a fixed maturity date, with exercise dates at each fixed coupon accrual start. When exercised at a later date, only the remaining coupons contribute to the payoff, so the effective swap tenor is shorter while the maturity date stays the same. See Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and test-suite/bermudanswaption.cpp.

The setup is: create a VanillaSwap with your fixed maturity date, build a BermudanExercise from the fixed leg accrual start dates (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine.

Under a one-factor Hull-White model with a single forwarding curve, this VanillaSwap proxy is exact - the compound of daily overnight forwards equals the period forward rate on the same curve, so VanillaSwap and OIS floating legs produce identical NPVs.

References
- Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for HW model, tree-based pricing)
- Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for short-rate models and trinomial trees)

I hope that helps!

Best,
Rich


> On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm...> wrote:
> 
> Hi Peter,
> 
> Thanks for your response.
> 
> Do you know if there is any online resource available to get guidance
> on this pricing and if QuantLib has any pipeline to implement this
> Instrument?
> 
> BR,
> 
> On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote:
>> 
>> Hi Daniel,
>> 
>> I don't think we have this variant of a Bermudan swaption in QuantLib.
>> 
>> Best
>> Peter
>> 
>> 
>> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote:
>>> 
>>> Hi,
>>> 
>>> I need to price a Bermudian type swaption which has multiple maturity
>>> dates (total number 5) however underlying swap is OIS, which has a
>>> fixed maturity date.
>>> 
>>> I found some swaption examples, where underlying swap has only fixed
>>> maturity term, not fixed maturity date. Therefore in my case, at eah
>>> exercise date, underlying swap's maturity term is lesser.
>>> 
>>> Can you please point if there any such quantlib implementation or
>>> example to price such swaption based on hull white model?
>>> 
>>> 
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

You can use the QuantLib type VanillaSwaption. It references an 
underlying ibor swap with a fixed maturity date. If you need an OIS 
underlying, you can use a custom ibor of which the tenor equals the 
period of the fixed leg of the OIS.

On 3/7/2026 7:45 PM, Peter Caspers wrote:
> Hi Daniel,
>
> I don't think we have this variant of a Bermudan swaption in QuantLib.
>
> Best
> Peter
>
>
> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote:
>
>     Hi,
>
>     I need to price a Bermudian type swaption which has multiple maturity
>     dates (total number 5) however underlying swap is OIS, which has a
>     fixed maturity date.
>
>     I found some swaption examples, where underlying swap has only fixed
>     maturity term, not fixed maturity date. Therefore in my case, at eah
>     exercise date, underlying swap's maturity term is lesser.
>
>     Can you please point if there any such quantlib implementation or
>     example to price such swaption based on hull white model?
>
>
>     _______________________________________________
>     QuantLib-users mailing list
>     Qua...@li...
>     https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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Hi Peter,

Thanks for your response.

Do you know if there is any online resource available to get guidance
on this pricing and if QuantLib has any pipeline to implement this
Instrument?

BR,

On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote:
>
> Hi Daniel,
>
> I don't think we have this variant of a Bermudan swaption in QuantLib.
>
> Best
> Peter
>
>
> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote:
>>
>> Hi,
>>
>> I need to price a Bermudian type swaption which has multiple maturity
>> dates (total number 5) however underlying swap is OIS, which has a
>> fixed maturity date.
>>
>> I found some swaption examples, where underlying swap has only fixed
>> maturity term, not fixed maturity date. Therefore in my case, at eah
>> exercise date, underlying swap's maturity term is lesser.
>>
>> Can you please point if there any such quantlib implementation or
>> example to price such swaption based on hull white model?
>>
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Hi Daniel,

I don't think we have this variant of a Bermudan swaption in QuantLib.

Best
Peter


On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote:

> Hi,
>
> I need to price a Bermudian type swaption which has multiple maturity
> dates (total number 5) however underlying swap is OIS, which has a
> fixed maturity date.
>
> I found some swaption examples, where underlying swap has only fixed
> maturity term, not fixed maturity date. Therefore in my case, at eah
> exercise date, underlying swap's maturity term is lesser.
>
> Can you please point if there any such quantlib implementation or
> example to price such swaption based on hull white model?
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Hi,

I need to price a Bermudian type swaption which has multiple maturity
dates (total number 5) however underlying swap is OIS, which has a
fixed maturity date.

I found some swaption examples, where underlying swap has only fixed
maturity term, not fixed maturity date. Therefore in my case, at eah
exercise date, underlying swap's maturity term is lesser.

Can you please point if there any such quantlib implementation or
example to price such swaption based on hull white model?

Hello Brian,
    they're called lockout days in our implementation.  The corresponding
method is withLockoutDays.

Hope this helps,
    Luigi


On Thu, Mar 5, 2026 at 11:48 AM Brian Smith <bri...@gm...>
wrote:

> Hi,
>
> I am using OvernightLeg constructor to create float leg for a OIS.
>
> Leg floatLeg = OvernightLeg(myschedule, rates)
> .withNotionals(notionals)
> .withSpreads(spread)
> .withRateCutoffDays(2)
>
> However above fails with error
>
> no member named 'withRateCutoffDays' in 'QuantLib::OvernightLeg'
>
> Could you please help with a fix to correctly pass rate cutoff days
> information
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>