Abstract: Given the complexity of over-the-counter derivatives and structured products, almost all derivatives pricing today is based on numerical methods. Large financial institutions typically have ...

I am here to ask a question about the QuantLib wrapper in Python. I would like to use the G2 class to have a Two-additive-factor Gaussian model and I would like to have the discount coupon of this ...

This is one of the most basic uses of QuantLib: pricing a European option using the Black-Scholes-Merton model. #include <ql/quantlib.hpp> #include <iostream> using namespace QuantLib; int main() { // ...

I am getting this error when I try to make python wrapper - successfully ./configure; python Python/setup.py wrap root@e79c3a4839ad:/workspace/QuantLib-SWIG-1.34 ...

The Windows version of the Python interpreter can be run from the command line the same way it’s run in other operating systems, by typing python or python3 at the prompt. But there’s a feature unique ...

The complexity of over-the-counter structured products warrants numerical methods to price derivatives. I have priced exotics using Excel VBA, Numerix and Bloomberg’s DLIB (BLAN). While these tools ...