lballabio

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• Lookback and fixingdays

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  Difficulty 5/5 Over a week Newbie friendliness 12/100

  lballabio/QuantLib#3002 · Opened Nov 1, 2026

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• NaN quotes/rates are accepted by FlatForward and ZeroCurve and propagate silently to bond NPV (while an empty SimpleQuote raises)

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  Difficulty 3/5 1-2 days Newbie friendliness 55/100

  lballabio/QuantLib#2995 · 5 comments · Opened Oct 31, 2026

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• SABRInterpolation calibrates silently on negative input volatilities

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  Difficulty 2/5 1-3 hours Newbie friendliness 78/100

  lballabio/QuantLib#2990 · Opened Oct 31, 2026

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• DateGeneration::Zero with endOfMonth = true crashes with 'year outside valid range'

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  Difficulty 1/5 Under an hour Newbie friendliness 82/100

  lballabio/QuantLib#2988 · Opened Oct 31, 2026

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• Suggestion: named handles

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  Difficulty 4/5 3-5 days Newbie friendliness 45/100

  lballabio/QuantLib#2977 · 4 comments · 3 reactions · Opened Oct 30, 2026

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• GeneralizedBlackScholesProcess::expectation() is missing the variance term

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  Difficulty 2/5 1-3 hours Newbie friendliness 35/100

  lballabio/QuantLib#2951 · Opened Oct 25, 2026

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• [Bug] DateGeneration::Backward resets cycle day-of-month when nextToLastDate is clamped by February (e.g. Aug 30 -> Feb 28)

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  Difficulty 4/5 3-5 days Newbie friendliness 52/100

  lballabio/QuantLib#2937 · 3 comments · Opened Oct 22, 2026

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• `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

  May be free again @ogsui claimed this 14 days ago, and no pull request is open. Open

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  Difficulty 4/5 3-5 days Newbie friendliness 47/100

  lballabio/QuantLib#2867 · 8 comments · Opened Oct 8, 2026

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• Brazilian rates: CDI swap fixed-leg convention, DI1 futures and calendar tests

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  Difficulty 5/5 Over a week Newbie friendliness 35/100

  lballabio/QuantLib#2863 · 1 comment · 1 reaction · Opened Oct 8, 2026

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• Python WebAssembly Pyoxide Build

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  Difficulty 5/5 Over a week Newbie friendliness 30/100

  lballabio/QuantLib-SWIG#926 · 2 comments · Opened Sep 20, 2026

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• Add Rough Bergomi stochastic volatility process

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  Difficulty 5/5 Over a week Newbie friendliness 35/100

  lballabio/QuantLib#2760 · 9 comments · Opened Sep 1, 2026

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• Feature Request: Add MakeXCcyBasisSwap (or MakeCrossCurrencySwap) helper class

  May be free again @dakshbtc claimed this 88 days ago, and no pull request is open. Open

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  Difficulty 5/5 Over a week Newbie friendliness 35/100

  lballabio/QuantLib#2717 · 5 comments · Opened Aug 7, 2026

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• Exploration: suggestions for AI-assisted coding

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  Difficulty 5/5 Over a week Newbie friendliness 35/100

  lballabio/QuantLib#2497 · 8 comments · Opened Mar 23, 2026

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• MultipleResetsSwap instrument and rate helper

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  Difficulty 5/5 Over a week Newbie friendliness 20/100

  lballabio/QuantLib#2138 · 7 comments · Opened Jan 16, 2025

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• Applying spreads to forward rates

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  Difficulty 5/5 Over a week Newbie friendliness 30/100

  lballabio/QuantLib#2122 · 4 comments · Opened Dec 14, 2024

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• Python QuantLib==1.3.4 issues DeprecationWarning on import

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  Difficulty 3/5 1-2 days Newbie friendliness 35/100

  lballabio/QuantLib-SWIG#647 · 11 comments · Opened May 13, 2024

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• Optimization in Python

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  Difficulty 5/5 Over a week Newbie friendliness 20/100

  lballabio/QuantLib-SWIG#645 · 1 comment · Opened Apr 23, 2024

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• backward start swap helper needed

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  Difficulty 5/5 Over a week Newbie friendliness 25/100

  lballabio/QuantLib#1941 · 5 comments · Opened Apr 6, 2024

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• Swap floating leg basis-point sensitivity includes coupons based on cashflow date - should it be fixing date?

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  Difficulty 5/5 Over a week Newbie friendliness 25/100

  lballabio/QuantLib#1779 · 16 comments · Opened Aug 31, 2023

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• Pricing Bonds with face values other than $100

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  Difficulty 4/5 3-5 days Newbie friendliness 35/100

  lballabio/QuantLib#1768 · 4 comments · Opened Aug 15, 2023

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• "Fast Valuation of Seasoned OIS Swaps"

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  Difficulty 4/5 3-5 days Newbie friendliness 35/100

  lballabio/QuantLib#1653 · 6 comments · 1 reaction · Opened May 3, 2023

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• modeling CDX with Quantlib

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  Difficulty 5/5 Over a week Newbie friendliness 15/100

  lballabio/QuantLib-SWIG#480 · 3 comments · Opened Jul 28, 2022

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• The market convention in Canada is to quote a money market equivalent yield on bonds that are in their last coupon period

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  Difficulty 5/5 Over a week Newbie friendliness 15/100

  lballabio/QuantLib#1430 · 9 comments · 1 reaction · Opened Jul 13, 2022

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• Matching Bloomberg's CDSO using quantlib CdsOption

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  Difficulty 4/5 3-5 days Newbie friendliness 24/100

  lballabio/QuantLib#1341 · 6 comments · Opened Apr 3, 2022

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• Interpolators unavailable

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  Difficulty 3/5 1-2 days Newbie friendliness 32/100

  lballabio/QuantLib-SWIG#387 · 2 comments · Opened Jun 4, 2021

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• SOFR observation lag

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  Difficulty 5/5 Over a week Newbie friendliness 25/100

  lballabio/QuantLib#1089 · 10 comments · Opened Apr 24, 2021

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• Implement LIBOR-fallback pricer for `IborCoupon`

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  Difficulty 5/5 Over a week Newbie friendliness 15/100

  lballabio/QuantLib#1075 · 9 comments · Opened Mar 16, 2021

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• Add rounding to coupons and accrued amounts

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  Difficulty 4/5 3-5 days Newbie friendliness 25/100

  lballabio/QuantLib#896 · 23 comments · Opened Aug 24, 2020

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• The cash flows of FloatingRateBond are different from my expectation

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  lballabio/QuantLib-SWIG#305 · 2 comments · Opened Aug 18, 2020

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• Callable bond further implementation

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  Difficulty 5/5 Over a week Newbie friendliness 35/100

  lballabio/QuantLib#837 · 14 comments · Opened Jun 16, 2020

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• CDS valuation for 2 historical dates (19 jun 2009 and 19 mar 2010)

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  Difficulty 4/5 3-5 days Newbie friendliness 38/100

  lballabio/QuantLib#798 · 1 comment · Opened Apr 14, 2020

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• An index derived from an overnight index (such as SOFR, SONIA or effective FF)

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  Difficulty 5/5 Over a week Newbie friendliness 25/100

  lballabio/QuantLib#773 · 1 reaction · Opened Feb 22, 2020

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• Basket Loss & LHP Loss Model

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  Difficulty 4/5 3-5 days Newbie friendliness 45/100

  lballabio/QuantLib#763 · 2 comments · Opened Jan 24, 2020

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• comp spot val calc in overnight index future missing comp from eval to ref date

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  Difficulty 3/5 1-2 days Newbie friendliness 54/100

  lballabio/QuantLib#755 · 2 comments · Opened Jan 10, 2020

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• review reference date adjustments in rate helpers

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  Difficulty 4/5 3-5 days Newbie friendliness 35/100

  lballabio/QuantLib#753 · 8 comments · Opened Dec 31, 2019

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• GaussJacobiPolynomial::beta throws 'can't compute b_k' for constructor-valid parameters

  Possibly taken @csarushan1729 claimed this today. Open

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  Difficulty 3/5 1-2 days Newbie friendliness 68/100

  lballabio/QuantLib#2991 · Opened Oct 31, 2026

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• ThirdWednesdayInclusive reported as 'unknown rule' in Schedule firstDate/nextToLastDate validation and catbond stubDate switch

  Possibly taken @saanvimundra claimed this 3 days ago. Open

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  Difficulty 3/5 1-2 days Newbie friendliness 72/100

  lballabio/QuantLib#2989 · 1 comment · Opened Oct 31, 2026

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• LagrangeInterpolation returns NaN when the first knot is at x = 0.0

  Possibly taken @flodrick claimed this 2 days ago. Open

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  Difficulty 2/5 1-3 hours Newbie friendliness 85/100

  lballabio/QuantLib#2987 · 2 comments · Opened Oct 31, 2026

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• AnalyticBarrierEngine drops a non-negligible term at low volatility and large carry (down-and-out put ~5% too high)

  Possibly taken @anveshachuri claimed this 3 days ago. Open

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  Difficulty 4/5 3-5 days Newbie friendliness 54/100

  lballabio/QuantLib#2969 · Opened Oct 29, 2026

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• EquityTotalReturnSwap: periodic resets and excess-return indices

  Possibly taken A pull request linked to this issue is open or already merged. Open

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  Difficulty 5/5 Over a week Newbie friendliness 35/100

  lballabio/QuantLib#2862 · 7 comments · Opened Oct 8, 2026

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• Suggestion: CalendarDays TimeUnit

  Possibly taken @jrile018 claimed this 33 days ago. Open

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  Difficulty 5/5 Over a week Newbie friendliness 25/100

  lballabio/QuantLib#2822 · 5 comments · Opened Sep 24, 2026

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• Question on fixing date used in notional adjustment of MtmCrossCurrencyBasisSwapRateHelper

  Possibly taken @marcin-rybacki claimed this 307 days ago. Open

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  Difficulty 4/5 3-5 days Newbie friendliness 25/100

  lballabio/QuantLib#2399 · 8 comments · Opened Dec 8, 2025

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• Using IMM-rolls swaps to build curves

  Possibly taken @snigdhachoppac claimed this 96 days ago. Open

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  Difficulty 4/5 3-5 days Newbie friendliness 35/100

  lballabio/QuantLib#1393 · 9 comments · Opened May 19, 2022

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