QuantLib Python Cookbook
QuantLib Python Cookbook
QuantLib Python Cookbook

This book is 80% complete

Last updated on 2018-04-23

About the Book

The book collects updated posts from Goutham's blog and the transcripts of the screencasts that Luigi is publishing on YouTube.

The posts and screencasts use IPython notebooks to demonstrate the QuantLib library. Together, they provide a sort of cookbook that showcases features of the library by means of working examples and provides guidance to its use.

Among other content, the book will also include notebooks that reproduce the results from the often-cited Ametrano and Bianchetti paper, Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask.

If you're interested in the architecture of QuantLib and want to know how to extend it, you might want to look at Implementing QuantLib, too.

About the Authors

Luigi Ballabio
Luigi Ballabio

Luigi Ballabio is Head of Quantitative Development at StatPro Italia, a Milan-based subsidiary of StatPro Group plc. He has worked at StatPro Italia since the company was founded (as RiskMap) in 2000, and focuses on the development of the pricing algorithms and models at the core of the StatPro Risk Service (SRS) providing data to its flagship Revolution product.

He is a co-founder, lead developer and administrator of QuantLib, an open-source project aiming at providing a comprehensive software framework for quantitative finance; he blogs about it at https://www.implementingquantlib.com. Well-known and appreciated among practitioners, the project started in late 2000 and reached a major milestone in February 2010 with the release of QuantLib 1.0; it has now released version 1.10, and will probably be beyond that by the time you read this.

Luigi holds a Ph.D. in applied nuclear physics from the University of Uppsala, Sweden. In his hometown near Milan, though, he is best known for playing the tenor saxophone in the local concert band—a fact that puts all of the above in a refreshing perspective.

He lives in Milan with his wife and four children.

Goutham Balaraman
Goutham Balaraman

Goutham Balaraman is the VP for Financial Engineering at loanDepot. Prior to that he held positions at Numerix and 5 years as a Quantitative Researcher at Interactive Data, where he helped develop various financial models. He holds a Ph.D. in Theortical Atomic Physics from Georgia Institute of Technology, Atlanta, USA. 

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