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Long-distance running on bits
Wednesday, August 15, 2018
Wilmott : Software Interoperability in Computational Finance, Part I: Foundations for Applications Using C++11 and C# in the .NET Framework
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I have been granted an honor to publish our technical paper on Wilmott Quantitative Finance Journal with Daniel J. Duffy . The second p...
Tuesday, June 5, 2018
QuantLib : Dual-Curve Bootstrapping and Swap Valuation
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Implementing OIS curve bootstrapping in QuantLib was presented in my previous post . Story will continue. This post will present, how to im...
Sunday, June 3, 2018
QuantLib : Bootstrapping OIS curve
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As we all are aware, all collateralized derivative contracts must be valued by using dual-curve discounting, by using separate curves for ca...
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Friday, May 11, 2018
C++/CLI Interoperability : Using QuantLib in C#, part II
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This post is just a recap, which summarizes the content of two previous posts, published in here and here . It is presenting one possible ...
Saturday, April 28, 2018
C# : Building Transactions from XML files
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In my previous post , I presented the following Main program for creating just one set of transaction parameters for a zero-coupon bond, to ...
Sunday, April 22, 2018
C++/CLI Interoperability : Using QuantLib in C#
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Assume the following scenario : there is QuantLib program available, written in native C++ and you would like to use it from your C# progra...
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