金融计算库Python食谱 QuantLib_Python_Cookbook ，Luigi Ballabio and Goutham Balaraman.pdf

TweetThisBook! Please help Luigi Ballabio and Goutham Balaraman by spreading the word about this book on Twitter! The suggested hashtag for this book is #quantlib. Find out what other people are saying about the book by clicking on this link to search for this hashtag on Twitter: #quantlib AlsoBy LuigiBallabio Implementing QuantLib 欢迎加入非盈利Python编程学习交流QQ群783462347，群里免费提供500+本Python书籍！ Contents Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1. Quantlib Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2. Instruments and pricing engines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 3. Numerical Greeks calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 4. Market quotes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 Interest-rate curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 5. Term structures and their reference dates . . . . . . . . . . . . . . . . . . . . . . . . . 36 6. EONIA curve bootstrapping . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 7. Euribor curve bootstrapping . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 8. Constructing Yield Curve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81 9. Implied term structures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 10. Interest-rate sensitivities via zero spread . . . . . . . . . . . . . . . . . . . . . . . . . 97 11. A glitch in forward-rate curves . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104 Interest-rate models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110 12. Simulating Interest Rates using Hull White Model . . . . . . . . . . . . . . . . . . . . 111 13. Thoughts on the Convergen