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Implementing QuantLib's Blog

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Odds and ends: exercises and payoffs

May 23, 2017 Comments (0)

Welcome back. In this post, some more content from Implementing QuantLib: a short section from the appendix, looking at the Exercise and Payoff classes.

A quick look at the QuantLib 1.10 release

May 18, 2017 Comments (0)

Hello, dear readers. It must be release season. Besides QuantLib 1.10, released a couple of days ago (this post being the usual look at a few statistics), this month saw a number of other releases and milestones.

More tools: Travis CI, Codacy, and Codecov

May 11, 2017 Comments (0)

Welcome back. After my previous post on Gource, another post on cool tools I started using with QuantLib: Travis CI, Codacy, and Codecov.

A visual history of QuantLib

April 26, 2017 Comments (0)

Greetings. A couple of weeks ago, I came across an interesting tool called Gource. Fair warning: my colleagues and I instantly lost every last bit of productivity for the day as we ran it over our repositories.

Chapter 8, part 13: finite-difference schemes and solvers

April 12, 2017 Comments (0)

Welcome back. Spring is well underway, and my young colleagues’ fancy lightly turns to the dating apps on their phones. I’m married with children, so I finished my series on the new finite-difference framework instead.

Chapter 8, part 12: initial, boundary, and step conditions

March 7, 2017 Comments (0)

Hello everybody. This week, I finally continue the series of posts on the new finite-difference framework. It seems we’re on the home stretch.

Test coverage in QuantLib

February 7, 2017 Comments (0)

Welcome back. I don’t think I ever mentioned that test-coverage information for QuantLib is available. It was produced by the awesome Peter Caspers (you read his blog, right?) and it can be accessed from http://quantlib.org/coverage/. What do I think of the results? Glad you asked.

Numerical Greeks

February 1, 2017 Comments (0)

Happy new year, folks. I think that includes the year of the Rooster, too. A public service announcement before I get into the main subject of this post: we have dates for the next Introduction to QuantLib Development course. It will be in London from March 13th to 15th, and more information is at this link. And now, what you came here for: a critique of numerical Greeks in QuantLib.

'Tis the season

December 22, 2016 Comments (0)

Just a short post to wish a merry Christmas to those who celebrate it and happy holidays to all.

Report from the QuantLib user meeting in Düsseldorf

December 13, 2016 Comments (0)

Hello everybody. Last week, we had a QuantLib user meeting in Düsseldorf, thanks to the sponsorship of IKB (which also provided the venue), d-fine and Quaternion. This post collects the brief notes I took during those two days.