This week, I finally continue the series of posts on the new finite-difference framework. It seems we’re on the home stretch.
I don’t think I ever mentioned that test-coverage information for QuantLib is available. It was produced by the awesome Peter Caspers (you read his blog, right?) and it can be accessed from http://quantlib.org/coverage/.
What do I think of the results? Glad you asked.
Happy new year, folks. I think that includes the year of the Rooster, too.
A public service announcement before I get into the main subject of this post: we have dates for the next Introduction to QuantLib Development course. It will be in London from March 13th to 15th, and more information is at this link.
And now, what you came here for: a critique of numerical Greeks in QuantLib.
Just a short post to wish a merry Christmas to those who celebrate it and happy holidays to all.
Last week, we had a QuantLib user meeting in Düsseldorf, thanks to the sponsorship of IKB (which also provided the venue), d-fine and Quaternion. This post collects the brief notes I took during those two days.