Archive

Nov 27, 2018
Leaving C++03: compiler compatibility so far
Nov 13, 2018
QuantLib notebook: using curves with different day count conventions
Nov 7, 2018
QuantLib notebook: discount margin calculation
Oct 30, 2018
Leaving C++03: more STL classes
Oct 24, 2018
QuantLib notebook: a glitch in forward rates
Oct 17, 2018
Leaving C++03: a recap
Oct 9, 2018
QuantLib notebook: more mischievous conventions
Oct 3, 2018
A quick look at the QuantLib 1.14 release
Sep 27, 2018
QuantLib notebook: mischievous bond conventions
Sep 18, 2018
QuantLib notebook: building irregular bonds
Sep 4, 2018
QuantLib notebook: pricing on a range of days
Aug 27, 2018
The QuantLib Python Cookbook is almost done
Aug 7, 2018
Leaving C++03: tooling, part 2
Jul 3, 2018
Leaving C++03: tooling, part 1
Jun 18, 2018
Leaving C++03: deprecated standard features
May 29, 2018
A quick look at the QuantLib 1.13 release
May 8, 2018
QuantLib notebook: dangerous day-count conventions
May 2, 2018
Leaving C++03: automation, part 3
Apr 24, 2018
Leaving C++03: automation, part 2
Apr 17, 2018
Leaving C++03: automation, part 1
Apr 10, 2018
Leaving C++03: standard smart pointers
Apr 4, 2018
Leaving C++03: an experiment
Mar 20, 2018
The benefits of procrastination
Feb 14, 2018
A quick look at the QuantLib 1.12 release
Feb 8, 2018
QuantLib notebook: rho for the Black process
Dec 20, 2017
The slides from QLUM17 are available
Dec 6, 2017
Screencast: my talk at the QuantLib user meeting 2017
Oct 25, 2017
A quick look at the QuantLib 1.11 release
Oct 11, 2017
A look back at the Implementing QuantLib series
Oct 4, 2017
Odds and ends: the Visitor pattern
Sep 27, 2017
Odds and ends: the Singleton pattern
Sep 20, 2017
Odds and ends: the Observer pattern
Sep 13, 2017
Odds and ends: disposable objects
Sep 6, 2017
Odds and ends: linear algebra
Aug 30, 2017
Odds and ends: statistics
Aug 23, 2017
Odds and ends: solvers and optimizers
Jul 11, 2017
QuantLib notebook: par and indexed coupons
May 23, 2017
Odds and ends: exercises and payoffs
May 18, 2017
A quick look at the QuantLib 1.10 release
May 11, 2017
More tools: Travis CI, Codacy, and Codecov
Apr 26, 2017
A visual history of QuantLib
Apr 12, 2017
Chapter 8, part 13: finite-difference schemes and solvers
Mar 7, 2017
Chapter 8, part 12: initial, boundary, and step conditions
Feb 7, 2017
Test coverage in QuantLib
Feb 1, 2017
Numerical Greeks
Dec 22, 2016
'Tis the season
Dec 13, 2016
Report from the QuantLib user meeting in Düsseldorf
Dec 9, 2016
Chapter 8, part 11: Black-Scholes finite-difference operators
Dec 1, 2016
Chapter 8, part 6.5: time-dependent operators
Nov 15, 2016
A quick look at the QuantLib 1.9 release
Nov 3, 2016
QuantLib notebook: market quotes
Oct 13, 2016
Odds and ends: market quotes
Oct 5, 2016
Chapter 8, part 10: basic finite-difference operators
Sep 27, 2016
QuantLib and SWIG
Sep 20, 2016
Chapter 8, part 9 of n: finite-difference iterators
Sep 13, 2016
Chapter 8, part 8 of n: finite-difference meshers
Sep 6, 2016
Chapter 8, part 7 of n: the new finite-difference framework
Jul 28, 2016
Report from the QuantLib user meeting in London
Jul 19, 2016
Translating QuantLib Python examples to C++
Jul 14, 2016
The ABCD of Interest Rate Basis Spreads
Jun 15, 2016
The QuantLib Python Cookbook is available
Jun 2, 2016
PSA: QuantLib User Meeting in London
May 25, 2016
A quick look at the QuantLib 1.8 release
May 18, 2016
New blog engine, old URL
Mar 17, 2016
QuantLib notebook: interest-rate sensitivities
Dec 17, 2015
Christmas break
Dec 10, 2015
Screencast: my talk at the QuantLib user meeting 2015
Dec 3, 2015
Report from the QuantLib user meeting in Düsseldorf
Nov 26, 2015
A quick look at the QuantLib 1.7 release
Nov 19, 2015
Chapter 8, part 6 of n: example, American option
Nov 12, 2015
Upcoming: QuantLib User Meeting 2015
Sep 29, 2015
QuantLib notebook: term structures and reference dates
Aug 24, 2015
Chapter 8, part 5 of n: finite-difference models
Jul 27, 2015
Chapter 8, part 4 of n: step conditions
Jul 20, 2015
MoneyScience Hangout available on YouTube
Jul 13, 2015
Chapter 8, part 3 of n: boundary conditions
Jul 6, 2015
PSA: Google Hangout
Jun 29, 2015
A quick look at the QuantLib 1.6 release
Jun 22, 2015
Chapter 8, part 2 of n: evolution schemes
Jun 15, 2015
Chapter 8, part 1 of n: the finite-differences framework.
Jun 1, 2015
An IPython notebook server with QuantLib on Docker
May 18, 2015
Odds and ends: interpolations
May 4, 2015
QuantLib notebook: duration of a floating-rate bond
Apr 27, 2015
Chapter 7, part 6 of 6: an example of tree-based engine
Apr 20, 2015
Chapter 7, part 5 of 6: tree-based lattices
Apr 13, 2015
Chapter 7, part 4 of 6: trinomial trees
Mar 30, 2015
Chapter 7, part 3 of 6: binomial trees
Mar 23, 2015
Chapter 7, part 2 of 6: examples of discretized assets
Mar 16, 2015
Chapter 7, part 1 of 6: the tree framework
Mar 9, 2015
Implementing QuantLib available from Leanpub
Mar 2, 2015
QuantLib notebook: numerical Greeks calculation
Feb 16, 2015
A quick look at the 1.5 release
Feb 9, 2015
Odds and ends: global settings
Jan 19, 2015
Quants Hub workshop available
Dec 15, 2014
Odds and ends: indexes
Dec 9, 2014
Report from the QuantLib user meeting in Düsseldorf
Nov 17, 2014
Odds and ends: date calculations
Oct 13, 2014
Announcement: QuantLib user meeting 2014
Oct 1, 2014
QuantLib notebook: implied term structures
Sep 11, 2014
Still on hiatus, and some news
Jul 14, 2014
Intermission: book update and summer schedule
Jul 7, 2014
Chapter 6, part 8 of 8: example
Jun 30, 2014
Chapter 6, part 7 of 8: Monte Carlo simulations
Jun 23, 2014
Chapter 6, part 6 of 8: Monte Carlo models
Jun 16, 2014
Chapter 6, part 5 of 8: path generators
Jun 9, 2014
QuantLib notebook: random numbers
Jun 2, 2014
Chapter 6, part 4 of 8: more processes
May 26, 2014
Chapter 6, part 3 of 8: the Black-Scholes process
May 19, 2014
Chapter 6, part 2 of n: stochastic processes
May 12, 2014
Chapter 6, part 1 of n: random-number generation
Apr 28, 2014
QuantLib notebooks
Apr 14, 2014
Still on hiatus
Mar 3, 2014
Screencast: term structures
Feb 24, 2014
Screencast: instruments and pricing engines
Feb 17, 2014
Chapter 4, part 5 of 5: cash-flow analysis
Feb 10, 2014
Chapter 4, part 4 of 5: generating cash-flow sequences
Feb 3, 2014
Chapter 4, part 3 of 5: coupon examples
Jan 27, 2014
Chapter 4, part 2 of 5: floating-rate coupons
Jan 20, 2014
Chapter 4, part 1 of 5: Cash flows and coupons
Jan 13, 2014
Chapter 3, part 7 of 7; interest-rate volatilities
Dec 23, 2013
Intermission: book update and holiday hiatus
Dec 16, 2013
Odds and ends: error reporting
Dec 9, 2013
The strange case of the changing implied term structure
Dec 2, 2013
Chapter 3, part 6 of n: volatility term structures
Nov 25, 2013
Screencast: my talk at the QuantLib User Meeting
Nov 18, 2013
Report from the QuantLib User Meeting
Nov 11, 2013
Intermission
Nov 4, 2013
Interlude: code archaeology
Oct 28, 2013
Chapter 3, part 5 of n: other term structures
Oct 21, 2013
Odds and ends: interest rates
Oct 14, 2013
Chapter 3, part 4 of n: adding z-spread to an interest-rate curve
Oct 7, 2013
Chapter 3, part 3 of n: bootstrapping an interest-rate curve
Sep 30, 2013
Chapter 3, part 2 of n: Yield term structures
Sep 23, 2013
Chapter 3, part 1 of n: Term structures
Sep 16, 2013
Odds and ends: basic types
Sep 9, 2013
Intermission: LaTeX style file and some musings.
Sep 2, 2013
Chapter 5, part 5 of 5: Model example
Aug 26, 2013
Chapter 5, part 4 of 5: Models and calibration
Aug 19, 2013
Chapter 5, part 3 of n: Model parameters
Aug 12, 2013
Chapter 5, part 2 on n: Example
Aug 5, 2013
Chapter 5, part 1 of n: Parameterized models and calibration
Jul 29, 2013
Odds and ends: smart pointers and handles
Jul 22, 2013
Chapter 2, part 4 of 4: Example
Jul 15, 2013
Chapter 2, part 3 of 4: Pricing engines
Jul 8, 2013
Chapter 2, part 2 of 4: Example
Jul 1, 2013
Chapter 2, part 1 of 4: Financial instruments
Jun 25, 2013
Interlude
Jun 17, 2013
The Plan of the Book
Jun 10, 2013
Introduction