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.
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.
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)
