Hello. Nice to see you again.

Not a lot of content in the post proper this time—but that’s because this post points to a number of improvements in A QuantLib Guide, where the actual content is.

Of course, if you want to receive this kind of updates, subscribing to my Substack is a good idea. And if you find A QuantLib Guide useful and want to support the effort, you can do so by buying a PDF version on Leanpub. Don’t worry about its being a work in progress; you’ll have free access to new versions any time the book is updated.

And now, as Leporello said, il catalogo è questo:

  • there’s a new short notebook on the common interface of interest-rate term structures, showing a few ways you can use them regardless of the way they’re modeled;

  • the notebook on curve bootstrapping has a new bit on checking the correctness of the bootstrap, as well as a new section on adding jumps;

  • the notebook on vanilla bonds has more details on the difference between the dirtyPrice and NPV methods;

  • the notebook on different kinds of swaps now also shows the MakeOIS utility, as well as the new optional parameters recently added to OIS such as lookback days and lockout days;

  • and finally, the notebook on numerical Greeks now has a comparison with analytic Greeks, in a case where they’re available.

I’ll leave you to it now. Enjoy!