Blog

Cross-currency curve bootstrapping

In a previous post, I sketched how cross-currency swaps can be modeled in QuantLib but assumed that we already had the relevant curves. This time, we build them.

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The global evaluation date

In this post, an initial look at a feature I always used in my examples but never really explained: the global evaluation date.

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Some improvements to "A QuantLib Guide"

Not a lot of content in the post proper this time—but that’s because this post points to a number of improvements in A QuantLib Guide, where the actual content is.

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The QuantLib ecosystem

Today’s post was originally published in the November 2024 issue of Wilmott Magazine.

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Coupons with multiple resets, revisited

My first post on this argument didn’t go as planned and showed that we needed a change in the library. Let’s revisit it, now that release 1.37 fixed the problem.

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Adding a new cash flow to QuantLib, part II

Adding a new cash flow to QuantLib, part I

A new QuantLib book

Pricing over a range of days

Updating multiple market quotes

Cash flows and bonds in QuantLib

Coupons with multiple resets

Schedules in QuantLib

Numerical Greeks

Holidays in QuantLib

Different kinds of swaps

Inflation indexes and curves

The Observer pattern in QuantLib

Asset swaps

Using QuantLib interactively

The effect of today's fixing on bootstrapping

Assessing duration risk in QuantLib

The Black-Scholes model in QuantLib

Handling dependencies in QuantLib

Cross-currency swaps

A QuantLib-Python companion for the Ametrano-Bianchetti paper

Payment-in-kind bonds

The code from my Wilmott articles is now available

A QuantLib series on Wilmott magazine

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 day-count 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: finite-difference 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: Black-Scholes finite-difference operators

Chapter 8, part 6.5: time-dependent operators

A quick look at the QuantLib 1.9 release

QuantLib notebook: market quotes

Odds and ends: market quotes

Chapter 8, part 10: basic finite-difference operators

QuantLib and SWIG

Chapter 8, part 9 of n: finite-difference iterators

Chapter 8, part 8 of n: finite-difference meshers

Chapter 8, part 7 of n: the new finite-difference 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: interest-rate 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: finite-difference 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 finite-differences framework.

An IPython notebook server with QuantLib on Docker

Odds and ends: interpolations

QuantLib notebook: duration of a floating-rate bond

Chapter 7, part 6 of 6: an example of tree-based engine

Chapter 7, part 5 of 6: tree-based 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

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

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 Black-Scholes process

Chapter 6, part 2 of n: stochastic processes

Chapter 6, part 1 of n: random-number generation

QuantLib notebooks

Still on hiatus

Screencast: term structures

Screencast: instruments and pricing engines

Chapter 4, part 5 of 5: cash-flow analysis

Chapter 4, part 4 of 5: generating cash-flow sequences

Chapter 4, part 3 of 5: coupon examples

Chapter 4, part 2 of 5: floating-rate coupons

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

Chapter 3, part 7 of 7; interest-rate 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 z-spread to an interest-rate curve

Chapter 3, part 3 of n: bootstrapping an interest-rate 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