Welcome. I'm Luigi Ballabio, co-founder and administrator of the
open-source
QuantLib project.
I'm
also the author
of Implementing
QuantLib
and QuantLib
Python Cookbook, and I'm available for on-site training
in Europe.
Recent posts
-
Leaving C++03: compiler compatibility so far
In this post, a quick check: with what compilers does our current C++11 branch work?
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QuantLib notebook: using curves with different day count conventions
This week, the screencast of my last notebook from the QuantLib Python Cookbook—or, as you might say, my last excuse to publish a quick blog post.
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QuantLib notebook: discount margin calculation
This week, my next-to-last screencast of a notebook from the QuantLib Python Cookbook. It shows a technique which is used here to find the discount margin for a bond, but which can be made to work for any unknown value implied by a quoted price.
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Leaving C++03: more STL classes
A couple of posts ago, I mentioned that two new pull requests made it possible to use
std::functionandstd::bindin QuantLib instead of the corresponding classes from Boost. Here are a few more details. -
QuantLib notebook: a glitch in forward rates
This week, another screencast of a notebook from the QuantLib Python Cookbook. It’s one of the few videos I still have to publish; a couple more and I’ll be done with this series. Or this season—who knows?