Implementing QuantLib
Training Books Archive About

Archive

  • Jan 14, 2022

    Other QuantLib blogs

  • Oct 16, 2021

    LIBOR fallback calculation

  • Apr 19, 2021

    Oh, bother: email subscription is being turned off

  • Feb 10, 2021

    Leaving C++03: for real this time

  • Oct 30, 2020

    A few news items

  • Feb 19, 2020

    QuantLib in 2020 and beyond

  • Feb 10, 2020

    Implementing QuantLib is now available in Japanese

  • Jan 23, 2020

    QuantLib in the last decade

  • Sep 16, 2019

    Implementing QuantLib is now available in Chinese

  • Aug 9, 2019

    A quick look at the QuantLib 1.16 release

  • Feb 26, 2019

    A quick look at the QuantLib 1.15 release

  • Feb 19, 2019

    Introductory training on QuantLib in Python

  • 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

Check out my books:

Luigi Ballabio is one of the administrators and lead developers of the QuantLib project. Also husband, father of four, ex-physicist, and amateur musician.

Follow:  

The posts on this blog are my own and don't represent my employer's positions, strategies, or opinions. What did you think?

Copyright 2013-2022 Luigi Ballabio. Social icons by Martz90. Powered by Jekyll.