Quantlib

Published on
January 4, 2020
Local Volatility in PyQL
QuantLib
We discuss the use of the Local Volatility Surface in PyQL
Published on
January 4, 2020
Variance Swaps in PyQL
QuantLib
We review the Variance Swap replicating pricer in QuantLib and its implementation in PyQL
Published on
April 29, 2018
Simulating the Heston Process
Numerical-Methods QuantLib
We investigate different discretization schemes for the Heston Process, looking at issues of numerical bias and ease of implementation

Local Volatility in PyQL