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---
layout: default
title: QuantLib Documentation
---
<h1 class="center">Official QuantLib Documentation</h1>
<ul>
<li>The <strong>QuantLib reference manual</strong> [<a href=
"reference/">HTML</a>] is available on this site.
</li>
</ul>
<h1 class="center">Other information</h1>
<h2 class="center">Reference</h2>
<ul>
<li>David Duarte provides <strong>a reference to the QuantLib-Python module</strong>
at <a href="https://quantlib-python-docs.readthedocs.io/">https://quantlib-python-docs.readthedocs.io/</a>.
It's a work in progress: contributions are welcome through pull requests.</li>
</ul>
<h2 class="center">Books</h2>
<ul>
<li>Luigi Ballabio, <strong>Implementing QuantLib</strong><br>
Available as a paperback from <a href="https://getbook.at/implementingquantlib">Amazon</a>
or an ebook from <a href="https://leanpub.com/implementingquantlib/">Leanpub</a>
(also in a <a href="https://leanpub.com/implementingquantlib-cn">Chinese translation</a>
by Xu Ruilong and a <a href="https://leanpub.com/implementingquantlib-jp">Japanese one</a>
by Aki Sakashita).<br>
Drafts were posted on <a href="http://implementingquantlib.com/">the accompanying blog</a>.
</li>
<li>Goutham Balaraman and Luigi Ballabio, <strong>QuantLib Python Cookbook</strong><br>
Available as an ebook from <a href="https://leanpub.com/quantlibpythoncookbook/">Leanpub</a>.
</li>
<li>Vasily Nekrasov, <strong>Notes on Getting Started with QuantLib</strong> (unfinished)<br>
Available from <a href="http://www.yetanotherquant.com/">his web site</a>.
</li>
</ul>
<h2 class="center">Videos</h2>
<ul>
<li><strong>The QuantLib Notebooks</strong>
is <a href="https://www.youtube.com/playlist?list=PLu_PrO8j6XAvOAlZND9WUPwTHY_GYhJVr">a
series of screencasts</a> by Luigi Ballabio, using Jupyter notebooks to
demonstrate features of the QuantLib library.</li>
<li><strong>Introduction to QuantLib</strong> is
another <a href="https://www.youtube.com/user/eefelix/videos">series
of screencasts</a> by Felix Lee, covering installation and usage of
the library.</li>
<li>A
different <a href="https://www.youtube.com/playlist?list=PLvXg_ZPrPUfqSFEsI9baI8vP2agnLHCwD">series
of screencasts</a>, also called <strong>Introduction to
QuantLib</strong>, is published by Carol Zheng.</li>
<li>A <a href="https://www.youtube.com/playlist?list=PLldfZfhVsBfnmCOjbUrWghhfCBwTM2NXv">series
of videos in Vietnamese</a>, <strong>QuantLib cho Python</strong>, is also available.</li>
</ul>
<h2 class="center">Talks</h2>
<ul>
<li><strong>Introduction to QuantLib</strong>
is <a href="http://bit.ly/2fjfmiU">a talk by Robert Hardy</a> for Skills Matter
that introduces QuantLib and QuantLibXL and gives a few examples of
their use.</li>
<li><strong>Introduction to QuantLib and Using QuantLib
Programmatically</strong> is <a href="http://bit.ly/2fiVzhc">a talk by
Bojan Nikolic</a> for Skills Matter that shows examples of using QuantLib
from other languages.</li>
<li><strong>A Short Introduction to QuantLib</strong>
is <a href="https://thalesians.com/aiovg_videos/luigi-ballabio-a-short-introduction-to-quantlib/">a
talk by Luigi Ballabio</a> for the Thalesians in which he describes
the core design of QuantLib through a few live examples of its usage.
</li>
</ul>
<h2 class="center">Blogs</h2>
<ul>
<li>Useful QuantLib-related posts appear in a number of blogs:<br>
<strong>Klaus Spanderen's</strong> <a href="http://hpcquantlib.wordpress.com/">blog</a>;<br>
<strong>Peter Caspers's</strong> <a href="http://quantlib.wordpress.com/">blog</a>;<br>
<strong>Bojan Nikolic's</strong> <a href="http://www.bnikolic.co.uk/blog/">blog</a>;<br>
<strong>Édouard Tallent's</strong> <a href="http://quantcorner.wordpress.com/">blog</a>;<br>
<strong>Cogito Learning's</strong> <a href="http://cogitolearning.co.uk/?tag=quantlib-2">blog</a>;<br>
<strong>Mick Hittesdorf's</strong> <a href="http://mhittesdorf.wordpress.com/category/quantlib/">blog</a>;<br>
<strong>John Orford's</strong> <a href="http://johnorford.blogspot.com/">blog</a>;<br>
<strong>Luigi Ballabio's</strong> <a href="http://implementingquantlib.com/">blog</a>;<br>
<strong>Matthias Groncki's</strong> <a href="https://ipythonquant.wordpress.com/">blog</a> and the associated <a href="https://github.com/mgroncki/IPythonScripts">notebooks</a>.<br>
<strong>Goutham Balaraman's</strong> <a href="http://gouthamanbalaraman.com/blog/quantlib-python-tutorials-with-examples.html">blog</a>.<br>
<strong>Mikael Katajamäki's</strong> <a href="http://mikejuniperhill.blogspot.com/search/label/Quantlib%20library">blog</a>.<br>
<strong>Suhas Ghorpadkar's</strong> <a href="http://suhasghorp.com/?s=quantlib&submit=Search">blog</a>.<br>
<strong>The Python Lab</strong> <a href="https://thepythonlab.com/tag/quantlib/">blog</a> (in Spanish).<br>
<strong>Quant College</strong> <a href="https://quantcollege.net/tag/quantlib">blog</a> (in Japanese).<br>
<strong>Xu Ruilong's</strong> <a href="https://xuruilong100.github.io/tags/quantlib/">blog</a> (in Chinese) and the associated <a href="https://github.com/xuruilong100/QuantLibPythonExamples">code examples</a>.<br>
</li>
</ul>
<h2 class="center" id="qlws">Conference proceedings</h2>
<ul>
<li>The <strong id="qlum17"><a href="/qlum17.shtml">QuantLib User
Meeting 2017</a></strong> was held in Düsseldorf on November
30th, 2017, thanks to the sponsorship of
<a href="http://www.ikb.de/">IKB</a>,
<a href="http://www.quaternionrisk.com/">Quaternion</a> and
<a href="http://www.d-fine.com/">d-fine</a>.</li>
<li>The <strong id="qlum16l">QuantLib User Meetings 2016</strong> were
held in <a href="/qlum16london.shtml">London on July 12th, 2016</a>,
thanks to the sponsorship
of <a href="https://www.quaternion.com/">Quaternion</a>, and in
<a href="/qlum16dus.shtml">Düsseldorf on December 7th and 8th,
2016</a>, thanks to the sponsorship of
<a href="http://www.ikb.de/">IKB</a>,
<a href="http://www.quaternionrisk.com/">Quaternion</a> and
<a href="http://www.d-fine.com/">d-fine</a>.</li>
<li>The <strong id="qlum15"><a href="/qlum15.shtml">QuantLib User
Meeting 2015</a></strong> was held in Düsseldorf on November 30th
and December 1st, 2015, thanks to the sponsorship of
<a href="http://www.ikb.de/">IKB</a>
and <a href="http://www.compatibl.com/">CompatibL</a>.</li>
<li>The <strong id="qlws14"><a href="/qlws14.shtml">QuantLib User
Meeting 2014</a></strong> was held in Düsseldorf on December 4th
and 5th, 2014, thanks to the sponsorship of
<a href="http://www.ikb.de/">IKB</a>.</li>
<li>The <strong id="qlws13"><a href="/qlws13.shtml">QuantLib User
Meeting 2013</a></strong> was held in Düsseldorf on November 13th
and 14th, 2013, thanks to the sponsorship of
<a href="http://www.ikb.de/">IKB</a>,
<a href="http://www.quaternionrisk.com/">Quaternion</a> and
<a href="http://www.d-fine.com/">d-fine</a>.</li>
<li>The <strong><a href="/qlforum11.shtml">first QuantLib
forum</a></strong> was held in London on January 18th, 2011, thanks to
the sponsorship of <a href="http://www.statpro.com/">StatPro</a>.</li>
</ul>
<h2 class="center">Papers</h2>
<ul>
<li>A series of <strong>articles on QuantLib on <i>Wilmott
magazine</i></strong>
[<a href="https://www.implementingquantlib.com/p/tutorials.html">list/downloads</a>]<br>
Luigi Ballabio (2023)
</li>
<li><strong>Matching the Bloomberg Curve S45 with QuantLib</strong>
[<a href="https://ssrn.com/abstract=3640517">abstract/download</a>]<br>
Peter Caspers, Andrea Palermo (2020)</li>
<li><strong>Daily Spread Curves and Ester</strong>
[<a href="https://ssrn.com/abstract=3500090">abstract/download</a>]<br>
Peter Caspers (2019)</li>
<li><strong>Software Interoperability in Computational Finance, Part II: Applications to Derivatives Pricing in QuantLib, C++11, and C#</strong>
[<a href="https://doi.org/10.1002/wilm.10708">abstract/download</a>]<br>
Mikael Katajamäki, Daniel J. Duffy<br>
<i>Wilmott Magazine</i>, September 2018</li>
<li><strong>Software Interoperability in Computational Finance, Part I: Foundations for Applications Using C++11 and C# in the .NET Framework</strong>
[<a href="https://doi.org/10.1002/wilm.10692">abstract/download</a>]<br>
Daniel J. Duffy, Mikael Katajamäki<br>
<i>Wilmott Magazine</i>, July 2018</li>
<li><strong>Farmer's CMS Spread Option Formula for Negative Rates</strong>
[<a href="https://ssrn.com/abstract=2686998">abstract/download</a>]<br>
Peter Caspers (2015)</li>
<li><strong>Derivatives Pricing using QuantLib: An Introduction</strong><br>
Jayanth R. Varma, Vineet Virmani (2015)</li>
<li><strong>Accelerating Financial Applications on the GPU</strong>
[<a href="https://cavazos-lab.github.io/FinanceBench/resources/AcceleratingFinancialApplicationsOnTheGPU-paper.pdf">download</a>]<br>
Scott Grauer-Gray, William Killian, Robert Searles, John Cavazos<br>
In <i>Proceedings of the 6th Workshop on General Purpose Processor Using Graphics Processing Units, GPGPU-6,</i> ACM, 2013.</li>
<li><strong>Implementation of the ZABR Model</strong>
[<a href="https://ssrn.com/abstract=2692048">abstract/download</a>]<br>
Peter Caspers (2013)</li>
<li><strong>Markov Functional One Factor Interest Rate Model
Implementation in QuantLib</strong>
[<a href="https://ssrn.com/abstract=2183721">abstract/download</a>]<br>
Peter Caspers (2013)</li>
<li><strong>Everything You Always Wanted to Know About Multiple
Interest Rate Curve Bootstrapping but Were Afraid to Ask</strong>
[<a href="https://ssrn.com/abstract=2219548">abstract/download</a>]<br>
Ferdinando Ametrano, Marco Bianchetti (2013)</li>
<li><strong>Option Engine: A Grid-Enabled Software Package to Evaluate
Financial Options</strong> [<a href=
"https://www.hpcwire.com/2009/09/17/option_engine_a_grid-enabled_software_package_to_evaluate_financial_options/">HTML</a>]<br>
Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli<br>
HPCwire (September 2009)</li>
<li><strong>Bootstrapping the Illiquidity: Multiple Yield Curves
Construction for Market Coherent Forward Rates Estimation</strong>
[<a href= "https://ssrn.com/abstract=1371311">abstract</a>]<br>
Ferdinando Ametrano, Marco Bianchetti<br>
In <i>Modelling Interest Rates</i></a>, Fabio Mercurio, ed., Risk Books, Incisive Media, 2009.</li>
<li><strong>Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions</strong>
[<a href= "https://ssrn.com/abstract=1092665">abstract/download</a>]<br>
Ferdinando Ametrano, Mark S. Joshi<br>
<i>Quantitative Finance</i>, vol. 11 (4), pp.547-558, 2008</li>
<li><strong>Why Use QuantLib?</strong><br>
Firth, N.P. (2004)</li>
</ul>
<h2 class="center">Slides</h2>
<ul>
<li><strong>Dimitri Reiswich</strong> contributed the slides he used
during a course he taught, along with the corresponding code:<br>
<em>Boost introduction</em>
[<a href="slides/dima-boost-intro.pdf">PDF</a>]<br>
<em>QuantLib introduction, part I</em>
[<a href="slides/dima-ql-intro-1.pdf">PDF</a>]<br>
<em>QuantLib introduction, part II</em>
[<a href="slides/dima-ql-intro-2.pdf">PDF</a>]<br>
<em>code samples</em>
[<a href="slides/dima-code.zip">ZIP</a>]<br>
</li>
</ul>