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Long-distance running on bits
Showing posts with label
Structured Products
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Showing posts with label
Structured Products
.
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...
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:
Wednesday, October 10, 2018
Wilmott : Software Interoperability in Computational Finance, Part II: Applications to Derivatives Pricing in C++11 and C#
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"With an anxiety that almost amounted to agony, I collected the instruments of life around me, that I might infuse a spark of being int...
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