Official QuantLib Documentation
- QuantLib reference manual [HTML]
The reference manual is also available for offline reading from the
SourceForge
download
page.
Other information
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)
Books
- Implementing QuantLib (in progress) [web page]
Ballabio, L.
Press
- Four years of open source financial models [PDF]
Wilmott Magazine (September 2004)
