Showing posts with label One-factor models. Show all posts
Showing posts with label One-factor models. Show all posts
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 ...
Tuesday, December 4, 2018

QuantLib-Python: Term Structure Simulation Using HW1F Model

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This post is presenting Python program, which uses QuantLib tools for simulating yield term structure for the chosen one-factor interest rat...
2 comments:
Sunday, December 2, 2018

QuantLib-Python: Path Generator Method for Uncorrelated and Correlated 1-D Stochastic Processes

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This Python program presents one compact method for simulating paths for the both uncorrelated and correlated stochastic processes. ...
3 comments:
Sunday, August 6, 2017

C++11 : modelling one-factor processes using functional programming paradigm

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There was an interesting technical article on July 2017 Wilmott magazine written by Daniel Duffy and Avi Palley. This multi-page article w...
Wednesday, July 26, 2017

AlgLib : Ho-Lee Calibration Using Levenberg-Marquardt algorithm in VBA

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Some time ago, I published one possible C# implementation for Ho-Lee one-factor model calibration scheme using AlgLib numerical libraries...
Saturday, January 7, 2017

C++11 : Multi-Threaded PathGenerator using PPL

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  FINAL DESTINATION The circle has been closed. This post is kind of an aggregation, based on the last four posts published on generat...