Showing posts with label Monte Carlo Simulation. Show all posts
Showing posts with label Monte Carlo Simulation. Show all posts
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...
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:
Sunday, November 17, 2019

QuantLib-Python: Monte Carlo Valuation for Target Accrual Redemption Note

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Out of curiosity, I wanted to create an implementation for interest rate Target Accrual Redemption Note (TARN) by using QuantLib-Python libr...
1 comment:
Friday, April 26, 2019

Python: Path Generator for Correlated Processes

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One reader was interested to know, how to simulate correlated asset paths by using just Python libraries, without using QuantLib. This blog ...
Wednesday, December 26, 2018

QuantLib-Python: Multiprocessing Method Wrapper

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In this post, I published a program for simulating term structure up to 30 years with daily time step, using Hull-White one-factor model. T...
Monday, December 17, 2018

QuantLib-Python: Exposure Simulation

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This Python program is using QuantLib library tools for simulating exposures for one selected Bloomberg vanilla benchmark swap transaction....
1 comment: