/QuantLibPython

QuantLib Python Implementation

Primary LanguageJupyter NotebookGNU General Public License v3.0GPL-3.0

QuantLibPython

  • In this repository, we will provide several examples to implement the functions from QuantLib-Python package
  • Code is written in Jupyter and Spyder (Anaconda environment).

Version

  • Pre-built QuantLib installed from brew. Version 1.13
  • Pre-built Boost installed from brew. Version 1.68
  • Pre-built Python-QuantLib from pip. Version 1.14

Examples from QuantLib

  • I will try to convert all example from C++ written by Luigi Ballabio into Python environment

List of examples

  • Date, Calendar, Schedule
  • Plain Vanilla option (Analytical Black Scholes, Heston Model)

Reference

  • Ballabio, Luigi. "Implementing QuantLib." (2005).
  • Ametrano, Ferdinando, et al. "QuantLib: A free/open-source library for quantitative finance." (2018).