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