Path
Long-distance running on bits
Saturday, January 23, 2016
QuantLib : Simulating HW1F paths using PathGenerator
›
Monte Carlo is bread and butter for so many purposes. Calculating payoffs for complex path-dependent products or simulating future exposures...
4 comments:
Thursday, January 7, 2016
QuantLib : Builder Class for PiecewiseYieldCurve
›
Selection of high-quality benchmark securities and bootstrapping of valuation curve is the bread and butter in valuing financial transaction...
2 comments:
Sunday, December 13, 2015
Implementing statistics gatherer design by using Boost library in C++
›
As a result of Monte Carlo simulation process, we get a lot of simulated values. After this, we usually want to calculate a set of desired s...
Sunday, August 23, 2015
Simulating Discount Factor and Forward Rate Curves using Monte Carlo in C#
›
The process of creating discount factor and forward rate curves with traditional bootstrapping algorithm was presented in the last post . In...
2 comments:
‹
›
Home
View web version
