April 2015

Computation / Derivatives / Financial / Fixed Income / VBA

Cross Currency Swap Pricing with 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

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 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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