QuantLib Python Cookbook
QuantLib Python Cookbook
About the Book
The posts and screencasts use Jupyter 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 also includes 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.
- A note on Python and C++
- Code conventions used in this book
- 1. QuantLib basics
- 2. Instruments and pricing engines
- 3. Numerical Greeks calculation
- 4. Market quotes
- 5. Term structures and their reference dates
- 6. Pricing over a range of days
- 7. A note on random numbers and dimensionality
- 8. EONIA curve bootstrapping
- 9. Euribor curve bootstrapping
- 10. Constructing a yield curve
- 11. Dangerous day-count conventions
- 12. Implied term structures
- 13. Interest-rate sensitivities via zero spread
- 14. A glitch in forward-rate curves
- 15. Simulating interest rates using Hull White model
- 16. Thoughts on the convergence of Hull-White model Monte Carlo simulations
- 17. Short interest rate model calibration
- 18. Par versus indexed coupons
- 19. Modeling interest rate swaps using QuantLib
- 20. Caps and floors
- 21. Valuing European option using the Heston model
- 22. Volatility smile and Heston model calibration
- 23. Heston model parameter calibration in QuantLib Python & SciPy
- 24. Valuing European and American options
- 25. Valuing options on commodity futures using the Black formula
- 26. Defining rho for the Black process
- 27. Using curves with different day-count conventions
- 28. Modeling fixed rate bonds
- 29. Building irregular bonds
- 30. Valuation of bonds with credit spreads
- 31. Modeling callable bonds
- 32. Discount margin calculation
- 33. Duration of floating-rate bonds
- 34. Treasury futures contracts
- 35. Mischievous pricing conventions
- 36. More mischievous conventions
- Translating QuantLib Python examples to C++
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