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Long-distance running on bits
Wednesday, September 6, 2017
QuantLib : Hull-White one-factor model calibration
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Sometimes during the last year I published one post on simulating Hull-White interest rate paths using Quantlib. My conclusion was, that w...
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Sunday, September 3, 2017
QuantLib : another implementation for piecewise yield curve builder class
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Last year I published one possible implementation using Quantlib library for constructing piecewise yield curves. Within this second impl...
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...
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