/quant-snippets-python-c

quant finance snippets in python and c++ (maximum 200 lines)

Primary LanguageC++

quant-snippets-python-c

quantitative finance snippets

simple short self-contained derivatives pricing snippets in python and c++ (less than 200 lines of code) for educational purposes

for descriptions see http://www.pricederivatives.com/en some snippets use quantlib library http://www.quantlib.org

current quant snippets:

  • amortizing interest rate swap quantlib
  • credit valuation adjustment for swap with monte carlo
  • vanilla interest rate swap valuation quantlib
  • yield curve construction in quantlib
  • simple monte carlo for path-dependent option
  • simple example monte carlo basket option