Category: Computation
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…
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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…
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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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Option greeks: formula proofs and python implementation. This documents is the first part of a general overview of vanilla options partial sensitivities (option greeks). Here we provide 1st…
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