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IPython notebooks – a Swiss Army Knife for Quants | A blog about quantitative finance and programming by Matthias Groncki

A blog about quantitative finance and programming by Matthias Groncki

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IPython notebooks – a Swiss Army Knife for Quants | A blog about quantitative finance and programming by Matthias Groncki | ipythonquant.wordpress.com Reviews

https://ipythonquant.wordpress.com

A blog about quantitative finance and programming by Matthias Groncki

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Links | IPython notebooks – a Swiss Army Knife for Quants

https://ipythonquant.wordpress.com/links

IPython notebooks – a Swiss Army Knife for Quants. A blog about quantitative finance and programming by Matthias Groncki. Some useful links for starting with Python programming (including tutorials about numpy, scipy and pandas):. Https:/ wiki.python.org/moin/BeginnersGuide. Https:/ scipy-lectures.github.io. Http:/ wiki.scipy.org/Tentative NumPy Tutorial. Http:/ pandas.pydata.org/pandas-docs/stable/tutorials.html. Some useful links about quantitative finance:. QuantLib : http:/ www.quantlib.org. Create a...

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Exposure Simulation Part III / CVA for Bermudan Swaptions | IPython notebooks – a Swiss Army Knife for Quants

https://ipythonquant.wordpress.com/2016/06/26/exposure-simulation-part-iii-cva-for-bermudan-swaptions

IPython notebooks – a Swiss Army Knife for Quants. A blog about quantitative finance and programming by Matthias Groncki. Exposure Simulation Part III / CVA for Bermudan Swaptions. By Dr Antonov et al. . We assume that the value of a derivate and the default probability of the counterpart are independent (no wrong-way risk). For our example our netting set consists of only one Bermudan swaption (but it can be easily extended). For simplicity we assume a flat yield termstructure. We calculated the CVA of ...

3

A brief introduction to the QuantLib in Python… | IPython notebooks – a Swiss Army Knife for Quants

https://ipythonquant.wordpress.com/2015/04/04/a-brief-introduction-to-the-quantlib-in-python

IPython notebooks – a Swiss Army Knife for Quants. A blog about quantitative finance and programming by Matthias Groncki. A brief introduction to the QuantLib in Python…. There are existing interfaces to different language like Python, Ruby, Java and more via swig. In the following I will describe how to build the QuantLib for Python. For windows you can find pre-build executables of the QuantLib at Christoph Gohlke’s website. And build the library and the python package yourself. To build QuantLib from ...

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Hello World! | IPython notebooks – a Swiss Army Knife for Quants

https://ipythonquant.wordpress.com/2015/04/04/hello-world

IPython notebooks – a Swiss Army Knife for Quants. A blog about quantitative finance and programming by Matthias Groncki. This is my first entry. I will write in my new blog about using Python in the field of Quantitative Finance. I want to provide some examples how Python and other open source tools like QuantLib ( www.quantlib.org. Can be used for pricing and/or risk calculations. I plan to make all samples downloadable as IPython notebooks from my repository at GitHub. Leave a Reply Cancel reply.

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Matthias Groncki | IPython notebooks – a Swiss Army Knife for Quants

https://ipythonquant.wordpress.com/author/mgroncki

IPython notebooks – a Swiss Army Knife for Quants. A blog about quantitative finance and programming by Matthias Groncki. Exposure Simulation Part III / CVA for Bermudan Swaptions. By Dr Antonov et al. . We assume that the value of a derivate and the default probability of the counterpart are independent (no wrong-way risk). For our example our netting set consists of only one Bermudan swaption (but it can be easily extended). For simplicity we assume a flat yield termstructure. We calculated the CVA of ...

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QuantLib Documentation

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A free/open-source library for quantitative finance. Head to our download. Page to get the latest official release, or check out the latest development version from our git. Repository. QuantLib is also available in other languages. In several formats from a number of sources. You can also read our Installation instructions. To get QuantLib working on your computer. If you need to ask a question, subscribe to our mailing list. And check if it was already answered. Or post it to our patch manager. Has mad...

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IPython notebooks – a Swiss Army Knife for Quants | A blog about quantitative finance and programming by Matthias Groncki

IPython notebooks – a Swiss Army Knife for Quants. A blog about quantitative finance and programming by Matthias Groncki. Exposure Simulation Part III / CVA for Bermudan Swaptions. By Dr Antonov et al. . We assume that the value of a derivate and the default probability of the counterpart are independent (no wrong-way risk). For our example our netting set consists of only one Bermudan swaption (but it can be easily extended). For simplicity we assume a flat yield termstructure. We calculated the CVA of ...

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