English | 2017 | 208 Pages | PDF | 10 MB
Quantitative finance in Python: a hands-on, interactive look at the QuantLib library through the use of IPython notebooks as working examples.
The book collects updated posts from Goutham’s blog and the transcripts of the screencasts that Luigi is publishing on YouTube.
The posts and screencasts use IPython notebooks to demonstrate the QuantLib library. Together, they provide a sort of cookbook that showcases features of the library by means of working examples and provides guidance to its use.
Among other content, the book will also include notebooks that reproduce the results from the often-cited Ametrano and Bianchetti paper, Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask.
If you’re interested in the architecture of QuantLib and want to know how to extend it, you might want to look at Implementing QuantLib, too.
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