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QuantLib-Python: Transaction Builder
Even the fanciest restaurant needs to have dedicated staff to visit fresh market and peel potatoes, in order to have everything ready for head chef to prepare delicious late night dinners for us....
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QuantLib-Python: Path Generator Method for Uncorrelated and Correlated 1-D...
This Python program presents one compact method for simulating paths for the both uncorrelated and correlated stochastic processes.Thanks for reading my blog.-Mike%config IPCompleter.greedy = Truefrom...
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QuantLib-Python: Term Structure Simulation Using HW1F Model
This post is presenting Python program, which uses QuantLib tools for simulating yield term structure for the chosen one-factor interest rate model. Further comparison results are also showing, that...
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QuantLib-Python: Exposure Simulation
This Python program is using QuantLib library tools for simulating exposures for one selected Bloomberg vanilla benchmark swap transaction. Based on simulated exposures, the program will then calculate...
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QuantLib-Python: Multiprocessing Method Wrapper
In this post, I published a program for simulating term structure up to 30 years with daily time step, using Hull-White one-factor model. The resulting curve was able to replicate the given initial...
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Python: Market Scenario Files Generator for Third-party Analytics Software
Third-party analytics software usually requires specific set of market data for performing its calculations. In this post, I am publishing one of my utility Python programs for creating different types...
View ArticleC++/Python: Creating Python Wrapper for C++ Class by Using SWIG
If the need sometimes arises, existing C++ libraries can be interfaced relatively easy to be used in Python by using SWIG wrapper. SWIG stands for Simplified Wrapper and Interface Generatorand it is an...
View ArticleC#/Python: Creating Python Wrapper for C# Class by Using Python for .NET
Interoperability is just amazing concept. Sometimes, instead re-inventing the wheel again for a new language, it might be easier to recycle the old stuff. Creating Python wrapper for C++ program was...
View ArticlePython: Path Generator for Correlated Processes
One reader was interested to know, how to simulate correlated asset paths by using just Python libraries, without using QuantLib. This blog post is presenting the result of woodshedding this stuff. A...
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Python-SciPy: Solving Zero-Coupon Term Structure Using Optimization
This post is presenting how to use Python SciPy Optimization package for solving out zero-coupon rate term structure from a given set of zero-coupon bond prices. Needless to say, we do not need any...
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Python-SciPy: Optimizing Smooth Libor Forward Curve
In my previous post, I presented how to use Python SciPy Optimization package for solving zero-coupon rate term structure from a given set of zero-coupon bond prices numerically. In this post, the same...
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Python: using JSON file for increasing program configurability
As the experience tells us, wrong decisions in program design and life will usually bite back hard. In order to avoid the most obvious traps leading into horrific maintenance problems, we should always...
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Python: JSON serialization/deserialization
Previous story continues. This post will present one possible implementation for JSON serialization/deserialization. Class JsonHandler (technically just a wrapper for json.load and json.dump methods)...
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Python: creating QuantLib swap transactions using JSON deserialization
This time, I wanted to apply my JSON handler class for constructing QuantLib vanilla interest rate swap transaction instances from JSON files. The idea is to have several swap transaction JSON...
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QuantLib-Python: flexible construction scheme for piecewise yield term...
I consider QuantLib to be a fundamental pricing library, which can effectively handle valuations for pretty much any given type of security. If there is no existing implementation for an instrument...
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Python-QuantLib-SciPy: Optimizing Smooth Libor Forward Curve Revisited
One reader was making a remark, that my implementation for curve calibration scheme as presented in here, was not implemented by using QuantLib. As I was re-thinking my implementation, I suddenly...
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QuantLib-Python: Note on ForwardCurve Construction
In this post, we will construct QuantLib ForwardCurve instance and investigate the resulting term structure of discount factors. Python program and Excel can be downloaded from my GitHub page. First,...
View ArticleQuantLib-Python: Monte Carlo Valuation for Target Accrual Redemption Note
Out of curiosity, I wanted to create an implementation for interest rate Target Accrual Redemption Note (TARN) by using QuantLib-Python library. Now, as one might be aware, the availability of QuantLib...
View ArticleQuantLib-Python: Heston Monte Carlo Valuation for Autocallable Memory Coupon...
In the spirit of the previous post, I was woodshedding an implementation for valuing Autocallable Memory Coupon note by using libraries available in QuantLib-Python. These products are embedding a...
View ArticlePython: Simulating Exposures Using Multiprocessing Pool
This post is presenting a scheme for simulating exposures for European call option on a non-dividend-paying stock by using Multiprocessing.Pool class (note: in Linux). There are several different...
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Python: Implementing Factory Method Design Pattern
Ideally, program should be closed for modifications, but open for extensions and hard-coded stuff should be avoided like plague. This is the point, where Design Patterns are usually stepping into...
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Python: Implementing Flexible Logging Mechanism
This post is presenting a way to implement flexible logging mechanism for Python program. However, just for the sake of being curious, I have also implemented another logging mechanism by using...
View ArticlePython: implementing Strategy design pattern without class hierarchy
The essence of Strategy design pattern is to enable algorithm selection to happen at run-time. Assume we would have the following two simple functions in a source file. Note, that the content of these...
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QuantLib-Python: Monte Carlo Valuation for Power Reverse Dual-Currency Note...
PRDC noteEssentially, PRDC note can be thought as taking a leveraged position on FX forward curve. Floating coupon rate is a function of FX rates, usually defined as follows.Additional FX term (at t=0)...
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MoCaX: Using Chebyshev Tensors for Computational Bottlenecks in Risk...
Even this Machine Learning has been the hottest hype already for years, I have personally still had very vague understanding of how this thing could be applied in risk management domain. This post is...
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