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Long-distance running on bits
Friday, May 5, 2023
MoCaX: Using Chebyshev Tensors for Computational Bottlenecks in Risk Calculations
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Even this Machine Learning has been the hottest hype already for years, I have personally still had very vague understanding of how this thi...
1 comment:
Thursday, April 13, 2023
QuantLib-Python: Monte Carlo Valuation for Power Reverse Dual-Currency Note (PRDC)
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PRDC note Essentially, PRDC note can be thought as taking a leveraged position on FX forward curve. Floating coupon rate is a function of FX...
Friday, March 20, 2020
Python: implementing Strategy design pattern without class hierarchy
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The essence of Strategy design pattern is to enable algorithm selection to happen at run-time. Assume we would have the following two simpl...
2 comments:
Saturday, March 14, 2020
Python: Implementing Flexible Logging Mechanism
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This post is presenting a way to implement flexible logging mechanism for Python program. However, just for the sake of being curious, I hav...
Saturday, March 7, 2020
Python: Implementing Factory Method Design Pattern
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Ideally, program should be closed for modifications, but open for extensions and hard-coded stuff should be avoided like plague. This is the...
2 comments:
Monday, March 2, 2020
Python: Simulating Exposures Using Multiprocessing Pool
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This post is presenting a scheme for simulating exposures for European call option on a non-dividend-paying stock by using Multiprocessing.P...
Thursday, November 28, 2019
QuantLib-Python: Heston Monte Carlo Valuation for Autocallable Memory Coupon Note
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In the spirit of the previous post , I was woodshedding an implementation for valuing Autocallable Memory Coupon note by using libraries ava...
3 comments:
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