Wednesday, May 1, 2019

Python-SciPy: Optimizing Smooth Libor Forward Curve

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In my previous post , I presented how to use Python SciPy Optimization package for solving zero-coupon rate term structure from a given set...
Tuesday, April 30, 2019

Python-SciPy: Solving Zero-Coupon Term Structure Using Optimization

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This post is presenting how to use Python SciPy Optimization package for solving out zero-coupon rate term structure from a given set of ze...
Friday, April 26, 2019

Python: Path Generator for Correlated Processes

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One reader was interested to know, how to simulate correlated asset paths by using just Python libraries, without using QuantLib. This blog ...
Monday, February 18, 2019

C#/Python: Creating Python Wrapper for C# Class by Using Python for .NET

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Interoperability is just amazing concept. Sometimes, instead re-inventing the wheel again for a new language, it might be easier to recycle ...
4 comments:
Sunday, February 10, 2019

C++/Python: Creating Python Wrapper for C++ Class by Using SWIG

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If the need sometimes arises, existing C++ libraries can be interfaced relatively easy to be used in Python by using SWIG wrapper. SWIG sta...
3 comments:
Tuesday, January 8, 2019

Python: Market Scenario Files Generator for Third-party Analytics Software

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Third-party analytics software usually requires specific set of market data for performing its calculations. In this post, I am publishing o...
Wednesday, December 26, 2018

QuantLib-Python: Multiprocessing Method Wrapper

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In this post, I published a program for simulating term structure up to 30 years with daily time step, using Hull-White one-factor model. T...
Monday, December 17, 2018

QuantLib-Python: Exposure Simulation

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This Python program is using QuantLib library tools for simulating exposures for one selected Bloomberg vanilla benchmark swap transaction....
1 comment: