Official QuantLib Documentation
- QuantLib reference manual [HTML]
Other information
Unofficial wiki
- An unofficial QuantLib wiki is up at
http://quantlib.referata.com/.
Contributions are welcome.
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]
Blogs
- Useful QuantLib-related posts appeared in a few blogs, such as:
Klaus Spanderen's [blog]
Bojan Nikolic's [blog]
Édouard Tallent'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)