Goutham Balaraman · leanpub.com

A note on Python and C++

Code conventions used in this book

  1. IBasics

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

  1. IIInterest-rate curves

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

  1. IIIInterest-rate models

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

  1. IVEquity models

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

  1. VBonds

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

  1. Appendix

Translating QuantLib Python examples to C++

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