Blog
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Coupons with multiple resets
This time, another notebook inspired by a question on the QuantLib mailing list.
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Schedules in QuantLib
This post was originally published in the March 2024 issue of Wilmott Magazine.
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Numerical Greeks
This post shows a short notebook on numerical Greeks.
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Holidays in QuantLib
Here’s another post that was originally published in Wilmott Magazine; this time, in its January 2024 issue.
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Different kinds of swaps
In this post, a notebook that I had written for a training a while ago and that I updated recently in response to some off-list questions.
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Inflation indexes and curves
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The Observer pattern in QuantLib
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Asset swaps
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Using QuantLib interactively
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The effect of today's fixing on bootstrapping
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Assessing duration risk in QuantLib
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The Black-Scholes model in QuantLib
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Handling dependencies in QuantLib
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Cross-currency swaps
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A QuantLib-Python companion for the Ametrano-Bianchetti paper
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Payment-in-kind bonds
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The code from my Wilmott articles is now available
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A QuantLib series on Wilmott magazine
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Other QuantLib blogs
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LIBOR fallback calculation
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Oh, bother: email subscription is being turned off
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Leaving C++03: for real this time
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A few news items
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QuantLib in 2020 and beyond
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Implementing QuantLib is now available in Japanese
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QuantLib in the last decade
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Implementing QuantLib is now available in Chinese
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A quick look at the QuantLib 1.16 release
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A quick look at the QuantLib 1.15 release
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Introductory training on QuantLib in Python
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Leaving C++03: compiler compatibility so far
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QuantLib notebook: using curves with different day count conventions
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QuantLib notebook: discount margin calculation
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Leaving C++03: more STL classes
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QuantLib notebook: a glitch in forward rates
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Leaving C++03: a recap
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QuantLib notebook: more mischievous conventions
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A quick look at the QuantLib 1.14 release
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QuantLib notebook: mischievous bond conventions
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QuantLib notebook: building irregular bonds
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QuantLib notebook: pricing on a range of days
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The QuantLib Python Cookbook is almost done
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Leaving C++03: tooling, part 2
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Leaving C++03: tooling, part 1
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Leaving C++03: deprecated standard features
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A quick look at the QuantLib 1.13 release
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QuantLib notebook: dangerous day-count conventions
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Leaving C++03: automation, part 3
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Leaving C++03: automation, part 2
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Leaving C++03: automation, part 1
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Leaving C++03: standard smart pointers
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Leaving C++03: an experiment
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The benefits of procrastination
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A quick look at the QuantLib 1.12 release
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QuantLib notebook: rho for the Black process
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The slides from QLUM17 are available
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Screencast: my talk at the QuantLib user meeting 2017
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A quick look at the QuantLib 1.11 release
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A look back at the Implementing QuantLib series
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Odds and ends: the Visitor pattern
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Odds and ends: the Singleton pattern
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Odds and ends: the Observer pattern
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Odds and ends: disposable objects
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Odds and ends: linear algebra
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Odds and ends: statistics
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Odds and ends: solvers and optimizers
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QuantLib notebook: par and indexed coupons
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Odds and ends: exercises and payoffs
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A quick look at the QuantLib 1.10 release
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More tools: Travis CI, Codacy, and Codecov
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A visual history of QuantLib
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Chapter 8, part 13: finite-difference schemes and solvers
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Chapter 8, part 12: initial, boundary, and step conditions
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Test coverage in QuantLib
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Numerical Greeks
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'Tis the season
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Report from the QuantLib user meeting in Düsseldorf
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Chapter 8, part 11: Black-Scholes finite-difference operators
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Chapter 8, part 6.5: time-dependent operators
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A quick look at the QuantLib 1.9 release
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QuantLib notebook: market quotes
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Odds and ends: market quotes
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Chapter 8, part 10: basic finite-difference operators
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QuantLib and SWIG
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Chapter 8, part 9 of n: finite-difference iterators
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Chapter 8, part 8 of n: finite-difference meshers
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Chapter 8, part 7 of n: the new finite-difference framework
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Report from the QuantLib user meeting in London
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Translating QuantLib Python examples to C++
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The ABCD of Interest Rate Basis Spreads
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The QuantLib Python Cookbook is available
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PSA: QuantLib User Meeting in London
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A quick look at the QuantLib 1.8 release
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New blog engine, old URL
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QuantLib notebook: interest-rate sensitivities
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Christmas break
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Screencast: my talk at the QuantLib user meeting 2015
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Report from the QuantLib user meeting in Düsseldorf
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A quick look at the QuantLib 1.7 release
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Chapter 8, part 6 of n: example, American option
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Upcoming: QuantLib User Meeting 2015
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QuantLib notebook: term structures and reference dates
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Chapter 8, part 5 of n: finite-difference models
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Chapter 8, part 4 of n: step conditions
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MoneyScience Hangout available on YouTube
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Chapter 8, part 3 of n: boundary conditions
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PSA: Google Hangout
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A quick look at the QuantLib 1.6 release
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Chapter 8, part 2 of n: evolution schemes
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Chapter 8, part 1 of n: the finite-differences framework.
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An IPython notebook server with QuantLib on Docker
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Odds and ends: interpolations
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QuantLib notebook: duration of a floating-rate bond
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Chapter 7, part 6 of 6: an example of tree-based engine
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Chapter 7, part 5 of 6: tree-based lattices
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Chapter 7, part 4 of 6: trinomial trees
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Chapter 7, part 3 of 6: binomial trees
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Chapter 7, part 2 of 6: examples of discretized assets
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Chapter 7, part 1 of 6: the tree framework
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Implementing QuantLib available from Leanpub
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QuantLib notebook: numerical Greeks calculation
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A quick look at the 1.5 release
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Odds and ends: global settings
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Odds and ends: indexes
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Report from the QuantLib user meeting in Düsseldorf
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Odds and ends: date calculations
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Announcement: QuantLib user meeting 2014
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QuantLib notebook: implied term structures
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Intermission: book update and summer schedule
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Chapter 6, part 8 of 8: example
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Chapter 6, part 7 of 8: Monte Carlo simulations
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Chapter 6, part 6 of 8: Monte Carlo models
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Chapter 6, part 5 of 8: path generators
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QuantLib notebook: random numbers
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Chapter 6, part 4 of 8: more processes
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Chapter 6, part 3 of 8: the Black-Scholes process
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Chapter 6, part 2 of n: stochastic processes
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Chapter 6, part 1 of n: random-number generation
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QuantLib notebooks
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Still on hiatus
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Screencast: term structures
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Screencast: instruments and pricing engines
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Chapter 4, part 5 of 5: cash-flow analysis
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Chapter 4, part 4 of 5: generating cash-flow sequences
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Chapter 4, part 3 of 5: coupon examples
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Chapter 4, part 2 of 5: floating-rate coupons
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Chapter 4, part 1 of 5: Cash flows and coupons
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Chapter 3, part 7 of 7; interest-rate volatilities
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Intermission: book update and holiday hiatus
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Odds and ends: error reporting
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The strange case of the changing implied term structure
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Chapter 3, part 6 of n: volatility term structures
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Screencast: my talk at the QuantLib User Meeting
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Report from the QuantLib User Meeting
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Intermission
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Interlude: code archaeology
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Chapter 3, part 5 of n: other term structures
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Odds and ends: interest rates
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Chapter 3, part 4 of n: adding z-spread to an interest-rate curve
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Chapter 3, part 3 of n: bootstrapping an interest-rate curve
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Chapter 3, part 2 of n: Yield term structures
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Chapter 3, part 1 of n: Term structures
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Odds and ends: basic types
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Intermission: LaTeX style file and some musings.
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Chapter 5, part 5 of 5: Model example
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Chapter 5, part 4 of 5: Models and calibration
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Chapter 5, part 3 of n: Model parameters
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Chapter 5, part 2 on n: Example
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Chapter 5, part 1 of n: Parameterized models and calibration
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Odds and ends: smart pointers and handles
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Chapter 2, part 4 of 4: Example
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Chapter 2, part 3 of 4: Pricing engines
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Chapter 2, part 2 of 4: Example
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Chapter 2, part 1 of 4: Financial instruments
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Interlude
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The Plan of the Book
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Introduction