Official QuantLib Documentation

• The QuantLib reference manual [HTML] is available on this site.

Other information

Reference

• David Duarte provides a reference to the QuantLib-Python module at https://quantlib-python-docs.readthedocs.io/. It's a work in progress: contributions are welcome through pull requests.

Books

• Luigi Ballabio, Implementing QuantLib
  Available as a paperback from Amazon or an ebook from Leanpub (also in a Chinese translation by Xu Ruilong and a Japanese one by Aki Sakashita).
  Drafts were posted on the accompanying blog.
• Goutham Balaraman and Luigi Ballabio, QuantLib Python Cookbook
  Available as an ebook from Leanpub.
• Vasily Nekrasov, Notes on Getting Started with QuantLib (unfinished)
  Available from his web site.

Videos

• The QuantLib Notebooks is a series of screencasts by Luigi Ballabio, using Jupyter notebooks to demonstrate features of the QuantLib library.
• Introduction to QuantLib is another series of screencasts by Felix Lee, covering installation and usage of the library.
• A different series of screencasts, also called Introduction to QuantLib, is published by Carol Zheng.
• A series of videos in Vietnamese, QuantLib cho Python, is also available.

Talks

• Introduction to QuantLib is a talk by Robert Hardy for Skills Matter that introduces QuantLib and QuantLibXL and gives a few examples of their use.
• Introduction to QuantLib and Using QuantLib Programmatically is a talk by Bojan Nikolic for Skills Matter that shows examples of using QuantLib from other languages.
• A Short Introduction to QuantLib is a talk by Luigi Ballabio for the Thalesians in which he describes the core design of QuantLib through a few live examples of its usage.

Blogs

• Useful QuantLib-related posts appear in a number of blogs:
  Klaus Spanderen's blog;
  Peter Caspers's blog;
  Bojan Nikolic's blog;
  Édouard Tallent's blog;
  Cogito Learning's blog;
  Mick Hittesdorf's blog;
  John Orford's blog;
  Luigi Ballabio's blog;
  Matthias Groncki's blog and the associated notebooks.
  Goutham Balaraman's blog.
  Mikael Katajamäki's blog.
  Suhas Ghorpadkar's blog.
  The Python Lab blog (in Spanish).
  Quant College blog (in Japanese).
  Xu Ruilong's blog (in Chinese) and the associated code examples.
  

Conference proceedings

• The QuantLib User Meeting 2017 was held in Düsseldorf on November 30th, 2017, thanks to the sponsorship of IKB, Quaternion and d-fine.
• The QuantLib User Meetings 2016 were held in London on July 12th, 2016, thanks to the sponsorship of Quaternion, and in Düsseldorf on December 7th and 8th, 2016, thanks to the sponsorship of IKB, Quaternion and d-fine.
• The QuantLib User Meeting 2015 was held in Düsseldorf on November 30th and December 1st, 2015, thanks to the sponsorship of IKB and CompatibL.
• The QuantLib User Meeting 2014 was held in Düsseldorf on December 4th and 5th, 2014, thanks to the sponsorship of IKB.
• The QuantLib User Meeting 2013 was held in Düsseldorf on November 13th and 14th, 2013, thanks to the sponsorship of IKB, Quaternion and d-fine.
• The first QuantLib forum was held in London on January 18th, 2011, thanks to the sponsorship of StatPro.

Papers

• A series of articles on QuantLib on Wilmott magazine [list/downloads]
  Luigi Ballabio (2023)
• Matching the Bloomberg Curve S45 with QuantLib [abstract/download]
  Peter Caspers, Andrea Palermo (2020)
• Daily Spread Curves and Ester [abstract/download]
  Peter Caspers (2019)
• Software Interoperability in Computational Finance, Part II: Applications to Derivatives Pricing in QuantLib, C++11, and C# [abstract/download]
  Mikael Katajamäki, Daniel J. Duffy
  Wilmott Magazine, September 2018
• Software Interoperability in Computational Finance, Part I: Foundations for Applications Using C++11 and C# in the .NET Framework [abstract/download]
  Daniel J. Duffy, Mikael Katajamäki
  Wilmott Magazine, July 2018
• Farmer's CMS Spread Option Formula for Negative Rates [abstract/download]
  Peter Caspers (2015)
• Derivatives Pricing using QuantLib: An Introduction
  Jayanth R. Varma, Vineet Virmani (2015)
• Accelerating Financial Applications on the GPU [download]
  Scott Grauer-Gray, William Killian, Robert Searles, John Cavazos
  In Proceedings of the 6th Workshop on General Purpose Processor Using Graphics Processing Units, GPGPU-6, ACM, 2013.
• Implementation of the ZABR Model [abstract/download]
  Peter Caspers (2013)
• Markov Functional One Factor Interest Rate Model Implementation in QuantLib [abstract/download]
  Peter Caspers (2013)
• Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask [abstract/download]
  Ferdinando Ametrano, Marco Bianchetti (2013)
• 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
  Quantitative Finance, vol. 11 (4), pp.547-558, 2008
• Why Use QuantLib?
  Firth, N.P. (2004)

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]