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).