Implementing QuantLib

Spread calculations

Thu, 19 Mar 2026 07:30:00 +0100

Here is another addition to A QuantLib Guide: a notebook on various spread calculations.

Some more improvements to "A QuantLib Guide"

Thu, 15 Jan 2026 07:30:00 +0100

Just a quick post to belatedly wish you a happy 2026 and to list a number of improvements in A QuantLib Guide.

Inflation bonds

Thu, 27 Nov 2025 07:30:00 +0100

Here is the latest addition to A QuantLib Guide: a notebook on inflation bonds.

Bonds and CDS curves

Thu, 30 Oct 2025 07:30:00 +0100

Following the notebook I posted a couple of months ago on default probability curves, here is another short one in which they are used for pricing bonds.

"Implementing QuantLib" as a paperback: five years later

Thu, 02 Oct 2025 07:30:00 +0200

Recently I realized that it’s already five years since I published my Implementing QuantLib book as a paperback on Amazon, effectively freezing it. Is it still up to date?

Default-probability curves

Thu, 04 Sep 2025 07:30:00 +0200

Here is the latest addition to A QuantLib Guide: a notebook on bootstrapping and using default-probability curves.

Cash-flow analysis

Thu, 07 Aug 2025 07:30:00 +0200

This time, I have a proper look at a bit of infrastructure that I’ve used in multiple notebooks before.

More improvements to "A QuantLib Guide"

Thu, 10 Jul 2025 07:30:00 +0200

This post follows in the footsteps of a similar one from a few months back. I’m hoping to establish a habit with this: periodic posts pointing out recent improvements in A QuantLib Guide.

Different approaches to numerical Theta

Thu, 19 Jun 2025 07:30:00 +0200

In a previous post on calculating numerical Greeks, I mentioned Theta rather quickly. This time, we dive in and look at the different ways to get it.

Cross-currency curve bootstrapping

Thu, 22 May 2025 07:30:00 +0200

In a previous post, I sketched how cross-currency swaps can be modeled in QuantLib but assumed that we already had the relevant curves. This time, we build them.