Hello everybody.

It’s been a while, which won’t be a surprise for the long-time readers of this blog. The excuses are many, and I won’t bother you with them except for one. The above is the title of the paper that me and Ferdinando Ametrano presented at the Quaternion-sponsored QuantLib User Meeting in London on July 12th; Paolo Mazzocchi is the other co-author, and we’ve been working on it on and off for some time now.

I have other things in the pipeline, among which are a proper report on the London user meeting and a post on how to translate into C++ the Python code in the QuantLib Python Cookbook, but I’ll need a bit of time for those. In the meantime, you can enjoy the slides for our presentation and peruse a number of other resources. They’re all accessible from the GitHub page for the paper (yes, you can have a GitHub repository for a paper). You’ll find there:

  • in the README, a link to a draft of the paper The ABCD of Interest Rate Basis Spreads available from SSRN;

  • in the excel folder, an Excel spreadsheet that reproduces its results, together with the QuantLibXL plugin used for the calculations;

  • in the notebook folder, a notebook reproducing the same results in Python, together with the corresponding input data (GitHub will render it statically if you view it from the web). There’s no compiled QuantLib module for that, but those of you using Docker can get a working notebook server including the module (but not the notebook; you’ll have to mount it) by executing

    docker pull lballabio/quantlib-notebook:tenorbasis

    and running the container;

  • and in the code folder, submodules pointing to the QuantLib, QuantLib-SWIG and QuantLibXL branches where the whole thing is implemented.

Just a reminder before leaving: the next edition of my Introduction to QuantLib Development course is on September 21st to 23rd in London (see my Training page if you’re not familiar with it). Details are at http://bit.ly/QuantLib-2016.

Here are the slides. See you next time.

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