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QuantLib Python Cookbook: Hands-On Quantitative Finance in Python

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Author(s): Goutham Balaraman, Luigi Ballabio

Language: English

Table of Contents
Basics
Quantlib Basics
Instruments and pricing engines
Numerical Greeks calculation
Market quotes
Interest-rate curves
Term structures and their reference dates
EONIA curve bootstrapping
Euribor curve bootstrapping
Constructing Yield Curve
Implied term structures
Interest-rate sensitivities via zero spread
A glitch in forward-rate curves
Interest-rate models
Simulating Interest Rates using Hull White Model
Thoughts on the Convergence of Hull-White Model Monte-Carlo Simulations
Short Interest Rate Model Calibration
Par versus indexed coupons
Caps and Floors
Equity models
Valuing European Option Using the Heston Model
Valuing European and American Options
Valuing Options on Commodity Futures Using The Black Formula
Defining rho for the Black process
Bonds
Modeling Fixed Rate Bonds
Modeling Callable Bonds
Duration of floating-rate bonds
Treasury Futures Contract
Mischievous pricing conventions
More mischievous conventions
Appendix
Translating QuantLib Python examples to C++