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Long-distance running on bits
Sunday, November 17, 2019
QuantLib-Python: Monte Carlo Valuation for Target Accrual Redemption Note
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Out of curiosity, I wanted to create an implementation for interest rate Target Accrual Redemption Note (TARN) by using QuantLib-Python libr...
1 comment:
Wednesday, October 30, 2019
QuantLib-Python: Note on ForwardCurve Construction
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In this post, we will construct QuantLib ForwardCurve instance and investigate the resulting term structure of discount factors. Python prog...
2 comments:
Sunday, October 20, 2019
Python-QuantLib-SciPy: Optimizing Smooth Libor Forward Curve Revisited
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One reader was making a remark, that my implementation for curve calibration scheme as presented in here , was not implemented by using Quan...
Sunday, July 14, 2019
QuantLib-Python: flexible construction scheme for piecewise yield term structures
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I consider QuantLib to be a fundamental pricing library, which can effectively handle valuations for pretty much any given type of security...
1 comment:
Sunday, July 7, 2019
Python: creating QuantLib swap transactions using JSON deserialization
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This time, I wanted to apply my JSON handler class for constructing QuantLib vanilla interest rate swap transaction instances from JSON fi...
Friday, July 5, 2019
Python: JSON serialization/deserialization
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Previous story continues. This post will present one possible implementation for JSON serialization/deserialization. Class JsonHandler (te...
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