C# Historical Dividend retrieval Today in SmileOfThales we will provide you some brief but useful C# code to retrieve historical cash dividend data in Excel (the whole code…
Read more...As we already discussed, financial institutions use more and more Credit Support Annex (CSA) to protect themselves against a potential default of their counterparties and more generally to…
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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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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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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…
Read more...When comparing to other vanilla derivatives, Cap and Floor pricing offers an additional complexity, as it does not involve a single volatility number. Indeed a Cap/Floor can be…
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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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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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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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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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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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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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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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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…
Read more...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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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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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…
Read more...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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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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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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