Heston Model Calibration Using QuantLib Python and Scipy Optimize

July 31, 2016 by Goutham Balaraman

In this post we do a deep dive on calibration of Heston model using QuantLib Python and Scipy's Optimize package.

   quantlib   python   finance   scipy  

Valuing Bonds with Credit Spreads in QuantLib Python

July 26, 2016 by Goutham Balaraman

Provides an example of valuing bonds with credit spreads using QuantLib Python. This post walks through an example of shifting the yield term structure.

   quantlib   python   finance  

Announcing qtk for QuantLib Python

July 20, 2016 by Goutham Balaraman

Announcing qtk, a new interface to interact with QuantLib Python

   quantlib   python   finance  

QuantLib Python Notebooks On Docker

July 02, 2016 by Goutham Balaraman

Running QuantLib python notebooks on Docker

   python   finance   programming   quantlib  

Valuing Interest Rate Caps and Floors Using QuantLib Python

June 23, 2016 by Goutham Balaraman

A tutorial on valuing caps and floors using QuantLib Python.

   quantlib   python   finance  

QuantLib Python Cookbook Announcement

June 15, 2016 by Goutham Balaraman

Announcement of the "QuantLib Python Cookbook"

   quantlib   python   finance  

Modeling Volatility Smile and Heston Model Calibration Using QuantLib Python

May 19, 2016 by Goutham Balaraman

Provides an introduction to constructing implied volatility surface consistend with the smile observed in the market and calibrating Heston model using QuantLib Python.

   quantlib   python   finance  

Valuing Convertible Bonds Using QuantLib Python

March 16, 2016 by Goutham Balaraman

Provides an introduction to valuation of convertible bonds using QuantLib Python with a minimal example.

   quantlib   python   finance  

Understanding Interest Rate Risk

March 09, 2016 by Goutham Balaraman

Gives an introductory understanding of why different business units care about interest rate risk and how they can address it.

   hedging   finance   risk management  

An Introduction to the Fundamental Review of the Trading Book (FRTB)

February 19, 2016 by Goutham Balaraman

Gives an introduction to the proposals and changes introduced due to the Fundamental Review of the Trading Book (FRTB)

   regulation   finance