Thursday, April 13, 2023

QuantLib-Python: Monte Carlo Valuation for Power Reverse Dual-Currency Note (PRDC)

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PRDC note Essentially, PRDC note can be thought as taking a leveraged position on FX forward curve. Floating coupon rate is a function of FX...
Friday, March 20, 2020

Python: implementing Strategy design pattern without class hierarchy

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The essence of Strategy  design pattern is to enable algorithm selection to happen at run-time. Assume we would have the following two simpl...
2 comments:
Saturday, March 14, 2020

Python: Implementing Flexible Logging Mechanism

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This post is presenting a way to implement flexible logging mechanism for Python program. However, just for the sake of being curious, I hav...
Saturday, March 7, 2020

Python: Implementing Factory Method Design Pattern

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Ideally, program should be closed for modifications, but open for extensions and hard-coded stuff should be avoided like plague. This is the...
2 comments:
Monday, March 2, 2020

Python: Simulating Exposures Using Multiprocessing Pool

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This post is presenting a scheme for simulating exposures for European call option on a non-dividend-paying stock by using Multiprocessing.P...
Thursday, November 28, 2019

QuantLib-Python: Heston Monte Carlo Valuation for Autocallable Memory Coupon Note

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In the spirit of the previous post , I was woodshedding an implementation for valuing Autocallable Memory Coupon note by using libraries ava...
3 comments:
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: