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Other QuantLib blogs

LIBOR fallback calculation

Oh, bother: email subscription is being turned off

Leaving C++03: for real this time

A few news items

QuantLib in 2020 and beyond

Implementing QuantLib is now available in Japanese

QuantLib in the last decade

Implementing QuantLib is now available in Chinese

A quick look at the QuantLib 1.16 release

A quick look at the QuantLib 1.15 release

Introductory training on QuantLib in Python

Leaving C++03: compiler compatibility so far

QuantLib notebook: using curves with different day count conventions

QuantLib notebook: discount margin calculation

Leaving C++03: more STL classes

QuantLib notebook: a glitch in forward rates

Leaving C++03: a recap

QuantLib notebook: more mischievous conventions

A quick look at the QuantLib 1.14 release

QuantLib notebook: mischievous bond conventions

QuantLib notebook: building irregular bonds

QuantLib notebook: pricing on a range of days

The QuantLib Python Cookbook is almost done

Leaving C++03: tooling, part 2

Leaving C++03: tooling, part 1

Leaving C++03: deprecated standard features

A quick look at the QuantLib 1.13 release

QuantLib notebook: dangerous daycount conventions

Leaving C++03: automation, part 3

Leaving C++03: automation, part 2

Leaving C++03: automation, part 1

Leaving C++03: standard smart pointers

Leaving C++03: an experiment

The benefits of procrastination

A quick look at the QuantLib 1.12 release

QuantLib notebook: rho for the Black process

The slides from QLUM17 are available

Screencast: my talk at the QuantLib user meeting 2017

A quick look at the QuantLib 1.11 release

A look back at the Implementing QuantLib series

Odds and ends: the Visitor pattern

Odds and ends: the Singleton pattern

Odds and ends: the Observer pattern

Odds and ends: disposable objects

Odds and ends: linear algebra

Odds and ends: statistics

Odds and ends: solvers and optimizers

QuantLib notebook: par and indexed coupons

Odds and ends: exercises and payoffs

A quick look at the QuantLib 1.10 release

More tools: Travis CI, Codacy, and Codecov

A visual history of QuantLib

Chapter 8, part 13: finitedifference schemes and solvers

Chapter 8, part 12: initial, boundary, and step conditions

Test coverage in QuantLib

Numerical Greeks

'Tis the season

Report from the QuantLib user meeting in Düsseldorf

Chapter 8, part 11: BlackScholes finitedifference operators

Chapter 8, part 6.5: timedependent operators

A quick look at the QuantLib 1.9 release

QuantLib notebook: market quotes

Odds and ends: market quotes

Chapter 8, part 10: basic finitedifference operators

QuantLib and SWIG

Chapter 8, part 9 of n: finitedifference iterators

Chapter 8, part 8 of n: finitedifference meshers

Chapter 8, part 7 of n: the new finitedifference framework

Report from the QuantLib user meeting in London

Translating QuantLib Python examples to C++

The ABCD of Interest Rate Basis Spreads

The QuantLib Python Cookbook is available

PSA: QuantLib User Meeting in London

A quick look at the QuantLib 1.8 release

New blog engine, old URL

QuantLib notebook: interestrate sensitivities

Christmas break

Screencast: my talk at the QuantLib user meeting 2015

Report from the QuantLib user meeting in Düsseldorf

A quick look at the QuantLib 1.7 release

Chapter 8, part 6 of n: example, American option

Upcoming: QuantLib User Meeting 2015

QuantLib notebook: term structures and reference dates

Chapter 8, part 5 of n: finitedifference models

Chapter 8, part 4 of n: step conditions

MoneyScience Hangout available on YouTube

Chapter 8, part 3 of n: boundary conditions

PSA: Google Hangout

A quick look at the QuantLib 1.6 release

Chapter 8, part 2 of n: evolution schemes

Chapter 8, part 1 of n: the finitedifferences framework.

An IPython notebook server with QuantLib on Docker

Odds and ends: interpolations

QuantLib notebook: duration of a floatingrate bond

Chapter 7, part 6 of 6: an example of treebased engine

Chapter 7, part 5 of 6: treebased lattices

Chapter 7, part 4 of 6: trinomial trees

Chapter 7, part 3 of 6: binomial trees

Chapter 7, part 2 of 6: examples of discretized assets

Chapter 7, part 1 of 6: the tree framework

Implementing QuantLib available from Leanpub

QuantLib notebook: numerical Greeks calculation

A quick look at the 1.5 release

Odds and ends: global settings

Quants Hub workshop available

Odds and ends: indexes

Report from the QuantLib user meeting in Düsseldorf

Odds and ends: date calculations

Announcement: QuantLib user meeting 2014

QuantLib notebook: implied term structures

Still on hiatus, and some news

Intermission: book update and summer schedule

Chapter 6, part 8 of 8: example

Chapter 6, part 7 of 8: Monte Carlo simulations

Chapter 6, part 6 of 8: Monte Carlo models

Chapter 6, part 5 of 8: path generators

QuantLib notebook: random numbers

Chapter 6, part 4 of 8: more processes

Chapter 6, part 3 of 8: the BlackScholes process

Chapter 6, part 2 of n: stochastic processes

Chapter 6, part 1 of n: randomnumber generation

QuantLib notebooks

Still on hiatus

Screencast: term structures

Screencast: instruments and pricing engines

Chapter 4, part 5 of 5: cashflow analysis

Chapter 4, part 4 of 5: generating cashflow sequences

Chapter 4, part 3 of 5: coupon examples

Chapter 4, part 2 of 5: floatingrate coupons

Chapter 4, part 1 of 5: Cash flows and coupons

Chapter 3, part 7 of 7; interestrate volatilities

Intermission: book update and holiday hiatus

Odds and ends: error reporting

The strange case of the changing implied term structure

Chapter 3, part 6 of n: volatility term structures

Screencast: my talk at the QuantLib User Meeting

Report from the QuantLib User Meeting

Intermission

Interlude: code archaeology

Chapter 3, part 5 of n: other term structures

Odds and ends: interest rates

Chapter 3, part 4 of n: adding zspread to an interestrate curve

Chapter 3, part 3 of n: bootstrapping an interestrate curve

Chapter 3, part 2 of n: Yield term structures

Chapter 3, part 1 of n: Term structures

Odds and ends: basic types

Intermission: LaTeX style file and some musings.

Chapter 5, part 5 of 5: Model example

Chapter 5, part 4 of 5: Models and calibration

Chapter 5, part 3 of n: Model parameters

Chapter 5, part 2 on n: Example

Chapter 5, part 1 of n: Parameterized models and calibration

Odds and ends: smart pointers and handles

Chapter 2, part 4 of 4: Example

Chapter 2, part 3 of 4: Pricing engines

Chapter 2, part 2 of 4: Example

Chapter 2, part 1 of 4: Financial instruments

Interlude

The Plan of the Book

Introduction