Official QuantLib Documentation
- QuantLib reference manual [HTML]
The reference manual is also available for offline reading from the
SourceForge
download
page.
Other information
Books
- Implementing QuantLib (in progress) [web
page]
Ballabio, L.
The book has an accompanying
[blog].
Slides
- Dimitri Reiswich contributed the slides he used
during a course he taught, along with the corresponding code:
Boost introduction
[PDF]
QuantLib introduction, part I
[PDF]
QuantLib introduction, part II
[PDF]
code samples
[ZIP]
- Marco Marchioro has made available the slides for
his derivatives class at Milan University, in which he uses QuantLibXL
for teaching. They can be downloaded from the Advanced
Derivatives page on his
site, http://www.marchioro.org/,
along with the corresponding spreadsheets and additional material.
First QuantLib Forum
The first QuantLib forum was held in London on January 18th, 2011,
thanks to the sponsorship of StatPro.
- Slides of Ferdinando Ametrano's
presentation, Yield curves for forward Euribor estimation and
CSA-discounting, are available here [PDF].
- Slides of Marco Marchioro's
presentation, Risk simulations for a bond in QuantLibXL, are
available from the Conferences page on his
site, http://www.marchioro.org/,
along with the corresponding spreadsheet.
- A screencast of Luigi Ballabio's
presentation, Code Arbitrage: or, how to get features for free in
QuantLib, is available
at http://archive.org/details/FirstQuantlibForum.
- The brochure of the forum (just a historical curiosity by now) is
available [PDF].
Blogs
- Useful QuantLib-related posts appear in a few blogs, such as:
Klaus Spanderen's [blog]
Bojan Nikolic's [blog]
Édouard Tallent's [blog]
Cogito Learning's [blog]
Mick Hittesdorf's [blog]
Papers
- Option Engine: A Grid-Enabled Software Package to Evaluate
Financial Options [HTML]
Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
HPCwire (September 2009)
- Bootstrapping the Illiquidity: Multiple Yield Curves
Construction for Market Coherent Forward Rates Estimation
[abstract]
Ferdinando Ametrano, Marco Bianchetti
In Modelling
Interest Rates, Fabio Mercurio, ed., Risk Books, Incisive
Media, 2009.
- Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions
[abstract/download]
Ferdinando Ametrano, Mark S. Joshi (2008)
- Why Use QuantLib? [PDF]
Firth, N.P. (2004)
Press
- Four years of open source financial models [PDF]
Wilmott Magazine (September 2004)
