C# / Computation / Equity / Financial / Misc

C# Historical dividend retrieval in Excel

CsharpDividendRetrieval

C# Historical Dividend retrieval Today in SmileOfThales we will provide you some brief but useful C# code (the whole code is available at the end of the article)…

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Cross Asset / Derivatives / Financial / Regulation

More in depth into collateral contracts

As we already discussed, financial institutions use more and more collateral contracts to protect themselves against a potential default of their counterparties and more generally to mitigate the…

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Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA swaption pricing – part 2

Swap NPV

As 2016 started, we wish you and your family a great year ahead. Happy New Year! This post is a continuation of our discussion on swap and VBA swaption pricing, and a conclusion…

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Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA Swap pricing, Part 1

Microsoft-visual-basic-Excel_VBA

VBA and Quant finance This article is actually a first part of an introductory course to VBA coding, given at Solvay School of Economics in Feb. 2014. The Excel…

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Computation / Cross Asset / Financial / Python

Plot Quandl data in Python

Quandl Python - Debt as % of GDP

Quandl is a platform that offers free and premium access to financial and economic data. On top of this the data export is supported by many languages and…

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Derivatives / Financial / Fixed Income

Cap & Floor pricing: stripping the basics

When comparing to other vanilla derivatives, Cap/Floor pricing offers an additional complexity, as it does not involve a single volatility number. Indeed a Cap/Floor can be broken down…

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Computation / Derivatives / Equity / Financial / VBA

VBA Break-even volatility skew computation

Break-even volatility surface for Arcelor-Mittal (MTP) for 31/01/2015 to 23/02/2015

Break-even Volatility skew In a future article we will introduce a methodology to compute the rolling average correlation smile of an index for a given tenor (say, 3-Month, 1-Year). To do so,…

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Computation / Derivatives / Financial / Python

Option greeks: formula proofs and python implementation – Part 3

Option pricing python inheritance

This article suggests another architectural approach to the one elaborated in part 2 of this series of articles dedicated to option pricing via Python. In the latter indeed, we…

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C# / Computation / Derivatives / Equity

Multithread pricing with QLNet

QuadCore

This article introduces two ways to perform parallel programming with a pricing library such as QLNet. First we get an idea of the time required to do sequentially a…

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Computation / Derivatives / Financial / Fixed Income / VBA

Cross Currency Swap Pricing with VBA

Microsoft-visual-basic-Excel_VBA

In a previous post we discussed the new paradigm of Swap pricing throughout the use of collateralization. We now propose a simple VBA code to price a Cross-Currency…

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Computation / Derivatives / Financial / Python

Option pricing with QuantLib Python

GreeksQL

In a previous article we presented how to build and install QuantLib so that it could be called in a Python script. Here we introduce how to use…

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Computation / Misc / Python

Build QuantLib for Python

Quantlib Python

I wanted to write this article to share my experience of Quantlib compilation for Python. And also it recapitulates some stages that I could forget if i had…

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Computation / Misc / Python

Python Unit Tests

Python Logo

Python Unit Tests This article covers briefly how you can run Python Unit Tests against a suite of analytics in Visual Studio 2010 with Python Tools for Visual Studio (PTVS). Visual…

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Computation / Derivatives / Equity / Financial / Python

Greeks: option sensitivies, formula proofs and Python scripts – Part 2

Options Greeks Python Vanna

Option greeks: formula proofs and python implementation – Part 2 This documents is the second part of a general overview of vanilla options partial sensitivities (option greeks). In a…

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C# / Computation / Misc

QLNet class names,QLNet class instantiation by class name

A generic way to instantiate QLNet derived classes In this article we present how you can: Make a Calendar QLNet class instantiation based on its name. Ex,  i want to…

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Computation / Python

3D plot in Python from text file data

EurSurface2

Python 3D Plot made simple, from text file data. This brief article introduces how you can plot a 3D chart in Python from data that you would store…

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C# / Computation / Misc

Interpolations in C#.Net with Alglib and Excel-DNA

Interp

Alglib interpolations in C#/Excel-Dna Some C# code again! Alglib is a cross-platform numerical analysis and data processing library and it proposes a free edition, very useful to perform operations on…

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C# / Computation / Financial / Fixed Income

Bond pricing in C# with QLNet and Excel-DNA

I had to perform some research on bond curves fitting methods recently, thus looking for a decent library to do some bond pricing (vanilla stuff: fixed coupon bonds …), and calibrate…

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Derivatives / Financial / Fixed Income

Multiple Curves: The new Paradigm of Swap Pricing, Part 2

EURSurface

Second part of our journey in the new Swap Curve construction framework. Tenor-Based Pricing Libor Fragmentation In the middle of the crisis we have seen a crucial change…

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Derivatives / Financial / Fixed Income

Multiple Curves: The new Paradigm of Swap pricing, Part 1

zc_curve_bootstrapping

Pretty much like in any Popperian scheme of trial and error, the Interest Rate Swap market has come to a new stage of its history. Since the theatric…

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