QuantLib Python Cookbook

Table of Contents
A note on Python and C++
Code conventions used in this book
Basics
	QuantLib basics
	Instruments and pricing engines
	Numerical Greeks calculation
	Market quotes
	Term structures and their reference dates
	Pricing over a range of days
	A note on random numbers and dimensionality
Interest-rate curves
	EONIA curve bootstrapping
	Euribor curve bootstrapping
	Constructing a yield curve
	Dangerous day-count conventions
	Implied term structures
	Interest-rate sensitivities via zero spread
	A glitch in forward-rate curves
Interest-rate models
	Simulating interest rates using Hull White model
	Thoughts on the convergence of Hull-White model Monte Carlo simulations
	Short interest rate model calibration
	Par versus indexed coupons
	Modeling interest rate swaps using QuantLib
	Caps and floors
Equity models
	Valuing European option using the Heston model
	Volatility smile and Heston model calibration
	Heston model parameter calibration in QuantLib Python & SciPy
	Valuing European and American options
	Valuing options on commodity futures using the Black formula
	Defining rho for the Black process
	Using curves with different day-count conventions
Bonds
	Modeling fixed rate bonds
	Building irregular bonds
	Valuation of bonds with credit spreads
	Modeling callable bonds
	Discount margin calculation
	Duration of floating-rate bonds
	Treasury futures contracts
	Mischievous pricing conventions
	More mischievous conventions
Appendix
	Translating QuantLib Python examples to C++