This week, the second of two screencasts from my presentation at the QuantLib Forum back in 2011 (the first one is in last post). In this one, I show how to use market quotes to bootstrap an additional credit spread over a given risk-free curve.
In other news, last Thursday I released QuantLib 1.4—but you know that already if you follow me, or if you’re subscribed to the QuantLib mailing list. Anyway: the official announcement is kind of impersonal, but here I wanted to say that I appreciate enormously the work of all the contributors to this release (they’re mentioned in the list of changes; I hope I didn’t forget anybody). Almost all I did was curating their contributions—a work really made easier by moving our repository to GitHub.
There are still a couple of places for my Introduction to QuantLib course (March 24th to 26th in London): click here if you’re thinking of registering.
Oh, and one last thing. What with the course and everything, I’ll have a busy month or two ahead, so I don’t think I’ll be posting weekly for a while. Your lives will continue just fine, I’m sure.