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This folder includes examples on how to use QuantLib.
Basket Losses
-------------
This example uses a default basket losses portfolio construction to mitigate risk
with additional models such as binomial model, Inhomogeneous model, and Random model.
BermudanSwaption
----------------
This example prices a few Bermudan swaptions using different short-rate
models calibrated to market swaptions.
Bonds
-----
This example shows how to set up a term structure and then price some
simple bonds. The last part is dedicated to peripheral computations
such as "Yield to Price" or "Price to Yield"
CallableBonds
-------------
This example prices a number of callable bonds and compares the
results to known good data.
CDS
---
This example bootstraps a default-probability curve over a number of
CDS and reprices them.
CVAIRS
------
This example reproduces Table 2 on page 11 of
A Formula for Interest Rate Swaps Valuation under
Counterparty Risk in presence of Netting Agreements.
ConvertibleBonds
----------------
This example evaluates convertible bond values.
DiscreteHedging
---------------
This is an example on using QuantLib Montecarlo framework.
It computes profit and loss of a discrete interval hedging strategy and compares
with the results of Derman & Kamal's (Goldman Sachs Equity Derivatives Research)
Research Note: "When You Cannot Hedge Continuously: The Corrections to
Black-Scholes"
http://www.ederman.com/emanuelderman/GSQSpapers/when_you_cannot_hedge.pdf
EquityOption
------------
This example calculates equity option values with a number of methods.
FRA
---
Forward-rate agreement valuation example.
FittedBondCurve
---------------
This example fits a discount curve over a set of bonds with a number
of methods.
Gaussian1dModels
----------------
This example calibrates models using Gaussian short rate (GSR) and
Markov Functional Model.
GlobalOptimizer
---------------
Examples showing how to use the global optimizers in QuantLib.
Latent Model
------------
This sample code shows basic usage of a Latent variable model.
Market Models
-------------
This example explores various market models' delta and vega computes.
Additional features include lower, upper bound, and standard error.
MulticurveBootstrapping
-----------------------
This example shows how to set up a term structure and then price a simple swap.
Replication
-----------
This example uses the CompositeInstrument class to build a static
replication of a down-and-out barrier option.
Repo
----
Fixed-coupon bond repo valuation example.
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