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Discovering new tools for implementing numerical stuff is refreshing. This time, I wanted to present my calibration implementation for SABR ...

A couple of years ago I published post on Ho-Lee short interest rate model calibration using Microsoft Solver Foundation (MSF). Solver is s...

Managing configurations within any non-trivial program can easily turn to be a tricky issue. One might have a lot of different types of conf...

Optimization for Libor forward curve has been presented in  this blog post. This time, we will adjust the presented optimization procedure ...

In order to value fixed income derivatives cash flows, relevant forward rates and discount factors have to be defined from bootstrapped zero...