Tutorials and Examples
A QuantLib Guide
A QuantLib Guide includes some updated material from my previous books, as well as some later material I published on this blog or on Wilmott Magazine; the idea is to collect, update and present it all in a sequence that makes it suitable as a tutorial for someone approaching QuantLib or trying to get more fluent in its usage.
It’s a work in progress; please let me know if it goes in the right direction. I’ll be grateful for any corrections, suggestions or comments. And if you find this guide useful and want to support the effort, you can do so by buying a PDF version of this book on Leanpub. As usual on Leanpub, you’ll have free access to new versions when the book is updated.
Articles on Wilmott magazine
In this series of articles published on Wilmott magazine, I showcase some of the features of QuantLib. The articles will be available some time after publication in print, and include runnable code that you can download from this page. The code needs a working QuantLib installation.
- January 2023: A Taste of QuantLib (C++ code).
- March 2023: Handling dependencies in QuantLib (C++ code).
- May 2023: The Black-Scholes Model in QuantLib (C++ code).
- July 2023: Assessing duration risk with QuantLib (C++ code).
- September 2023: Using QuantLib Interactively (Python code, CSV data).
- November 2023: The Observer Pattern in QuantLib (C++ code).
- January 2024: Holidays in QuantLib (C++ code).
- March 2024: Schedules in QuantLib (C++ code).
- May 2024: Cash flows and bonds in QuantLib (C++ code).
- July 2024: Adding a new cash flow to QuantLib, part I (C++ code).
- September 2024: Adding a new cash flow to QuantLib, part II (C++ code).
- November 2024: The QuantLib ecosystem.
The QuantLib notebooks
In this series of screencasts, I go through a number of Jupyter notebooks (still called IPython notebooks at that time) that were eventually published in the QuantLib Python Cookbook. I suggest to watch them full-screen.