Archive - Implementing QuantLib

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 •

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 •

April 2025

The global evaluation date

Welcome back. In this post, an initial look at a feature I always used in my examples but never really explained: the global evaluation date.

Apr 30 •

Some improvements to "A QuantLib Guide"

Hello. Nice to see you again.Not a lot of content in the post proper this time—but that’s because this post points to a number of improvements in A…

Apr 3 •

March 2025

The QuantLib ecosystem

Hello again! Today’s post was originally published in the November 2024 issue of Wilmott Magazine. In this article, I’ll widen my net and list a number…

Mar 13 •

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 •

January 2025

Adding a new cash flow to QuantLib, part II

Hello, dear reader. Today’s post was originally published in the September 2024 issue of Wilmott Magazine. So, where were we?

Jan 30 •

Adding a new cash flow to QuantLib, part I

Welcome back. Today’s post was originally published in the July 2024 issue of Wilmott Magazine. Is QuantLib’s reputation for over-engineering well…

Jan 9 •

December 2024

A new QuantLib book

Hello, dear reader. I didn’t initially plan for this to happen right before Christmas, but, well, here we are. I just published A QuantLib Guide. You’re…

Dec 19, 2024 •

November 2024

Pricing over a range of days

Hello again. In this post, another old notebook originally included in the QuantLib Python Cookbook and updated for publication here

Nov 28, 2024 •

Updating multiple market quotes

Hello, dear reader. Like a householder who brings out of his treasure what is new and what is old, I’m posting an updated version of a notebook whose…

Nov 7, 2024 •

October 2024

Cash flows and bonds in QuantLib

Welcome back! This post was originally published in the May 2024 issue of Wilmott Magazine. In it, we'll see how to build coupons, and with them a…

Oct 17, 2024 •

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