Implementing QuantLib

Inflation bonds

Welcome, dear reader. Here is the latest addition to "A QuantLibGuide": a notebook on inflation bonds.

Nov 27 • Luigi Ballabio

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October 2025

Bonds and CDS curves

Hello again.  Here is a short notebook in which default-probability curves are used for pricing bonds.

Oct 30 • Luigi Ballabio

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"Implementing QuantLib" as a paperback: five years later

Recently I realized that it’s already five years since I published my Implementing QuantLib book as a paperback on Amazon, effectively freezing it. Is…

Oct 2 • Luigi Ballabio

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September 2025

Default-probability curves

Hello, dear reader.  Here is the latest addition to A QuantLib Guide: a notebook on bootstrapping and using default-probability curves.

Sep 4 • Luigi Ballabio

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August 2025

Cash-flow analysis

Welcome back. This time, I have a proper look at a bit of infrastructure that I’ve used in multiple notebooks before. How do we extract specific…

Aug 7 • Luigi Ballabio

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July 2025

More improvements to "A QuantLib Guide"

Welcome back. This post follows in the footsteps of a similar one from a few months back. I’m hoping to establish a habit with this: periodic posts…

Jul 10 • Luigi Ballabio

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June 2025

Different approaches to numerical Theta

Hello, dear reader. In a previous post on calculating numerical Greeks, I mentioned Theta rather quickly. This time, we dive in and look at the…

Jun 19 • Luigi Ballabio

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May 2025

Cross-currency curve bootstrapping

Hello again. In a previous post, I sketched how cross-currency swaps can be modeled in QuantLib but assumed that we already had the relevant curves…

May 22 • Luigi Ballabio

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April 2025

March 2025

February 2025

Coupons with multiple resets, revisited

Welcome back. My first post on this argument didn’t go as planned. Let’s revisit it, now that release 1.37 fixed the problem.

Feb 20 • Luigi Ballabio

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