Examples
Folders and files
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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" https://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.