Here is the screencast of a new QuantLib notebook (in case you’re new to this, the whole series in on both YouTube and Vimeo; choose the one that suits you best). In this one, I show how quotes can be used for the numerical calculation of Greeks.
And so that I don’t waste a good segue into self-promotion, this was also one of the notebooks that I used in the workshop I recorded for QuantsHub. I hear there’s a March sale going on, so this might be a good time to have a look.
That’s all for this week. Turn the video below to full screen, sit back and enjoy.