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| Fooling around with QuantLib | https://quantlib.wordpress.com/ |
| Adjoint Greeks | https://quantlib.wordpress.com/tag/adjoint-greeks/ |
| Automatic Differentiation | https://quantlib.wordpress.com/tag/automatic-differentiation/ |
| Backward Mode | https://quantlib.wordpress.com/tag/backward-mode/ |
| Bermudan Swaption | https://quantlib.wordpress.com/tag/bermudan-swaption/ |
| Black Formula | https://quantlib.wordpress.com/tag/black-formula/ |
| Bourianochevsky and Jarulamparabalam Formula | https://quantlib.wordpress.com/tag/bourianochevsky-and-jarulamparabalam-formula/ |
| Breeden-Litzenberger Theorem | https://quantlib.wordpress.com/tag/breeden-litzenberger-theorem/ |
| Brenner and Subrahmanyan Formula | https://quantlib.wordpress.com/tag/brenner-and-subrahmanyan-formula/ |
| Bucket Vegas | https://quantlib.wordpress.com/tag/bucket-vegas/ |
| Chambers-Nawalkha Formula | https://quantlib.wordpress.com/tag/chambers-nawalkha-formula/ |
| CMS | https://quantlib.wordpress.com/tag/cms/ |
| Delayed Payment | https://quantlib.wordpress.com/tag/delayed-payment/ |
| Exercise Probabilities | https://quantlib.wordpress.com/tag/exercise-probabilities/ |
| Forward Mode | https://quantlib.wordpress.com/tag/forward-mode/ |
| FX TARF | https://quantlib.wordpress.com/tag/fx-tarf/ |
| Generic Programming | https://quantlib.wordpress.com/tag/generic-programming/ |
| Greeks | https://quantlib.wordpress.com/tag/greeks/ |
| Gsr Model | https://quantlib.wordpress.com/tag/gsr-model/ |
| Hull White Model | https://quantlib.wordpress.com/tag/hull-white-model/ |
| Implied Volatility | https://quantlib.wordpress.com/tag/implied-volatility/ |
| In Arrears | https://quantlib.wordpress.com/tag/in-arrears/ |
| Laplace Interpolation | https://quantlib.wordpress.com/tag/laplace-interpolation/ |
| Lazy Object Pattern | https://quantlib.wordpress.com/tag/lazy-object-pattern/ |
| Libor | https://quantlib.wordpress.com/tag/libor/ |
| Local Lazy Object | https://quantlib.wordpress.com/tag/local-lazy-object/ |
| Local Observer | https://quantlib.wordpress.com/tag/local-observer/ |
| Luigi's Hat | https://quantlib.wordpress.com/tag/luigis-hat/ |
| Markov Functional Model | https://quantlib.wordpress.com/tag/markov-functional-model/ |
| Missing Values | https://quantlib.wordpress.com/tag/missing-values/ |
| Negative Fixing | https://quantlib.wordpress.com/tag/negative-fixing/ |
| Observer Pattern | https://quantlib.wordpress.com/tag/observer-pattern/ |
| OpenAD | https://quantlib.wordpress.com/tag/openad/ |
| Optimization | https://quantlib.wordpress.com/tag/optimization/ |
| Overloading | https://quantlib.wordpress.com/tag/overloading/ |
| Owen Scrambling | https://quantlib.wordpress.com/tag/owen-scrambling/ |
| Pippi Langstrumpf | https://quantlib.wordpress.com/tag/pippi-langstrumpf/ |
| Plain Vanilla Swap | https://quantlib.wordpress.com/tag/plain-vanilla-swap/ |
| Pricing Mesaure | https://quantlib.wordpress.com/tag/pricing-mesaure/ |
| Principal Component Analysis | https://quantlib.wordpress.com/tag/principal-component-analysis/ |
| Proxy Pricing | https://quantlib.wordpress.com/tag/proxy-pricing/ |
| QuantLib User Meeting 2015 | https://quantlib.wordpress.com/tag/quantlib-user-meeting-2015/ |
| Quasi Monte Carlo | https://quantlib.wordpress.com/tag/quasi-monte-carlo/ |
| Representative calibration basket | https://quantlib.wordpress.com/tag/representative-calibration-basket/ |
| SABR | https://quantlib.wordpress.com/tag/sabr/ |
| SFINAE | https://quantlib.wordpress.com/tag/sfinae/ |
| Shifted Lognormal Volatility | https://quantlib.wordpress.com/tag/shifted-lognormal-volatility/ |
| Shifted SABR | https://quantlib.wordpress.com/tag/shifted-sabr/ |
| Simulated Annealing | https://quantlib.wordpress.com/tag/simulated-annealing/ |
| Smile Dynamics | https://quantlib.wordpress.com/tag/smile-dynamics/ |
| Sobol | https://quantlib.wordpress.com/tag/sobol/ |
| Source Code Transformation | https://quantlib.wordpress.com/tag/source-code-transformation/ |
| Sticky Basispoint Volatility Delta | https://quantlib.wordpress.com/tag/sticky-basispoint-volatility-delta/ |
| Sticky Model Delta | https://quantlib.wordpress.com/tag/sticky-model-delta/ |
| Sticky Moneyness Delta | https://quantlib.wordpress.com/tag/sticky-moneyness-delta/ |
| Sticky Strike Delta | https://quantlib.wordpress.com/tag/sticky-strike-delta/ |
| Tag Dispatching | https://quantlib.wordpress.com/tag/tag-dispatching/ |
| Templates | https://quantlib.wordpress.com/tag/templates/ |
| Test Coverage | https://quantlib.wordpress.com/tag/test-coverage/ |
| Volatility Smile | https://quantlib.wordpress.com/tag/volatility-smile/ |
| Where Do You Start | https://quantlib.wordpress.com/tag/where-do-you-start/ |
| XVA | https://quantlib.wordpress.com/tag/xva/ |
| ZABR | https://quantlib.wordpress.com/tag/zabr/ |
| February 2024 | https://quantlib.wordpress.com/2024/02/ |
| June 2016 | https://quantlib.wordpress.com/2016/06/ |
| December 2015 | https://quantlib.wordpress.com/2015/12/ |
| November 2015 | https://quantlib.wordpress.com/2015/11/ |
| October 2015 | https://quantlib.wordpress.com/2015/10/ |
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| January 2015 | https://quantlib.wordpress.com/2015/01/ |
| December 2014 | https://quantlib.wordpress.com/2014/12/ |
| Follow Fooling around with QuantLib on WordPress.com | https://quantlib.wordpress.com |
| Scrambled Sobol Sequences | https://quantlib.wordpress.com/2024/02/03/scrambled-sobol-sequences/ |
| February 3, 2024 | https://quantlib.wordpress.com/2024/02/03/scrambled-sobol-sequences/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Owen Scrambling | https://quantlib.wordpress.com/tag/owen-scrambling/ |
| Quasi Monte Carlo | https://quantlib.wordpress.com/tag/quasi-monte-carlo/ |
| Sobol | https://quantlib.wordpress.com/tag/sobol/ |
| Leave a comment | https://quantlib.wordpress.com/2024/02/03/scrambled-sobol-sequences/#respond |
| implementation | https://github.com/lballabio/QuantLib/blob/master/ql/math/randomnumbers/burley2020sobolrsg.hpp |
| test | https://github.com/lballabio/QuantLib/blob/master/test-suite/lowdiscrepancysequences.cpp#L1074 |
| OpenSourceRiskEngine | https://github.com/OpenSourceRisk/Engine |
| this example. | https://github.com/OpenSourceRisk/Engine/blob/master/Examples/Example_56/Input/simulation.xml#L6 |
| https://quantlib.wordpress.com/wp-content/uploads/2024/02/burley.png |
| Scrambled Sobol Sequences | https://quantlib.wordpress.com/2024/02/03/scrambled-sobol-sequences/ |
| Test Coverage | https://quantlib.wordpress.com/2016/06/29/test-coverage/ |
| June 29, 2016June 30, 2016 | https://quantlib.wordpress.com/2016/06/29/test-coverage/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Test Coverage | https://quantlib.wordpress.com/tag/test-coverage/ |
| Leave a comment | https://quantlib.wordpress.com/2016/06/29/test-coverage/#respond |
| provided | http://quantlib.org/coverage/ |
| lcov / gcov | http://ltp.sourceforge.net/coverage/lcov.php |
| Test Coverage | https://quantlib.wordpress.com/2016/06/29/test-coverage/ |
| QuantLib User Meeting 2015 | https://quantlib.wordpress.com/2015/12/06/quantlib-user-meeting-2015/ |
| December 6, 2015December 6, 2015 | https://quantlib.wordpress.com/2015/12/06/quantlib-user-meeting-2015/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Automatic Differentiation | https://quantlib.wordpress.com/tag/automatic-differentiation/ |
| Luigi's Hat | https://quantlib.wordpress.com/tag/luigis-hat/ |
| Negative Fixing | https://quantlib.wordpress.com/tag/negative-fixing/ |
| QuantLib User Meeting 2015 | https://quantlib.wordpress.com/tag/quantlib-user-meeting-2015/ |
| Leave a comment | https://quantlib.wordpress.com/2015/12/06/quantlib-user-meeting-2015/#respond |
| event’s site | http://quantlib.org/qlum15.shtml |
| here | http://www.implementingquantlib.com/2015/12/report-from-quantlib-user-meeting-in.html |
| https://quantlib.wordpress.com/wp-content/uploads/2015/12/luigis_hat2.png |
| QuantLib User Meeting 2015 | https://quantlib.wordpress.com/2015/12/06/quantlib-user-meeting-2015/ |
| Laplace Interpolation | https://quantlib.wordpress.com/2015/11/21/laplace-interpolation/ |
| November 21, 2015 | https://quantlib.wordpress.com/2015/11/21/laplace-interpolation/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Laplace Interpolation | https://quantlib.wordpress.com/tag/laplace-interpolation/ |
| Missing Values | https://quantlib.wordpress.com/tag/missing-values/ |
| Leave a comment | https://quantlib.wordpress.com/2015/11/21/laplace-interpolation/#respond |
| Here | https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/experimental/math/laplaceinterpolation.hpp |
| BiCGStab | https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/math/matrixutilities/bicgstab.hpp |
| here | https://github.com/pcaspers/quantlib/blob/master/QuantLib/Examples/laplaceinterpolation.cpp |
| script | https://github.com/pcaspers/quantlib/blob/master/QuantLib/Examples/laplaceinterpolation.gp |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_orig.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_random_20.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_random_20.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_random_50.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_random_50.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_random_80.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_random_80.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_random_90.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_random_90.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_random_90.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_random_90.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_stripecenter_10.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_stripecenter_10.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_stripecenter_20.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_stripecenter_20.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_stripecenter_50.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_stripecenter_50.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_striptop_10.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_striptop_10.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_striptop_20.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_striptop_20.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_des_striptop_50.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/11/laplace_rec_striptop_50.png |
| Laplace Interpolation | https://quantlib.wordpress.com/2015/11/21/laplace-interpolation/ |
| Adjoint Greeks VI – Source Code Transformation Pt. II | https://quantlib.wordpress.com/2015/10/31/adjoint-greeks-vi-source-code-transformation-pt-ii/ |
| October 31, 2015October 31, 2015 | https://quantlib.wordpress.com/2015/10/31/adjoint-greeks-vi-source-code-transformation-pt-ii/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Automatic Differentiation | https://quantlib.wordpress.com/tag/automatic-differentiation/ |
| Source Code Transformation | https://quantlib.wordpress.com/tag/source-code-transformation/ |
| Leave a comment | https://quantlib.wordpress.com/2015/10/31/adjoint-greeks-vi-source-code-transformation-pt-ii/#respond |
| QuantLib User Conference | http://quantlib.org/qlum15.shtml |
| https://github.com/pcaspers/quantlib/tree/adjoint | https://github.com/pcaspers/quantlib/tree/adjoint |
| https://quantlib.wordpress.com/2015/04/14/adjoint-greeks-iv-exotics | https://quantlib.wordpress.com/2015/04/14/adjoint-greeks-iv-exotics |
| posts | https://quantlib.wordpress.com/2015/09/25/adjoint-greeks-v-source-code-transformation/ |
| https://github.com/pcaspers/quantlib/tree/master/QuantLibOAD/lgm | https://github.com/pcaspers/quantlib/tree/master/QuantLibOAD/lgm |
| wrapper | https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/experimental/models/lgmswaptionengine_ad.hpp |
| post | https://quantlib.wordpress.com/2015/04/14/adjoint-greeks-iv-exotics/ |
| here | https://github.com/pcaspers/quantlib/blob/master/QuantLib/Examples/lgmswaption.cpp |
| Düsseldorf | http://quantlib.org/qlum15.shtml |
| Adjoint Greeks VI – Source Code Transformation Pt. II | https://quantlib.wordpress.com/2015/10/31/adjoint-greeks-vi-source-code-transformation-pt-ii/ |
| Dynamics II | https://quantlib.wordpress.com/2015/10/11/dynamics-ii/ |
| October 11, 2015October 12, 2015 | https://quantlib.wordpress.com/2015/10/11/dynamics-ii/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Principal Component Analysis | https://quantlib.wordpress.com/tag/principal-component-analysis/ |
| Smile Dynamics | https://quantlib.wordpress.com/tag/smile-dynamics/ |
| Leave a comment | https://quantlib.wordpress.com/2015/10/11/dynamics-ii/#respond |
| post on smile dynamics | https://quantlib.wordpress.com/2015/09/19/smile-dynamics-by-densities/ |
| last time | https://quantlib.wordpress.com/2015/09/19/smile-dynamics-by-densities/ |
| Dynamics II | https://quantlib.wordpress.com/2015/10/11/dynamics-ii/ |
| Adjoint Greeks V – Source Code Transformation | https://quantlib.wordpress.com/2015/09/25/adjoint-greeks-v-source-code-transformation/ |
| September 25, 2015 | https://quantlib.wordpress.com/2015/09/25/adjoint-greeks-v-source-code-transformation/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Automatic Differentiation | https://quantlib.wordpress.com/tag/automatic-differentiation/ |
| OpenAD | https://quantlib.wordpress.com/tag/openad/ |
| Source Code Transformation | https://quantlib.wordpress.com/tag/source-code-transformation/ |
| 3 Comments | https://quantlib.wordpress.com/2015/09/25/adjoint-greeks-v-source-code-transformation/#comments |
| post | https://quantlib.wordpress.com/2015/04/14/adjoint-greeks-iv-exotics/ |
| OpenAD/F | http://www.mcs.anl.gov/OpenAD/ |
| here | https://github.com/pcaspers/quantlib/tree/master/QuantLibOAD/simplelib |
| make file | https://github.com/pcaspers/quantlib/blob/master/QuantLibOAD/simplelib/Makefile |
| Adjoint Greeks V – Source Code Transformation | https://quantlib.wordpress.com/2015/09/25/adjoint-greeks-v-source-code-transformation/ |
| Smile Dynamics by Densities | https://quantlib.wordpress.com/2015/09/19/smile-dynamics-by-densities/ |
| September 19, 2015 | https://quantlib.wordpress.com/2015/09/19/smile-dynamics-by-densities/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Breeden-Litzenberger Theorem | https://quantlib.wordpress.com/tag/breeden-litzenberger-theorem/ |
| Smile Dynamics | https://quantlib.wordpress.com/tag/smile-dynamics/ |
| Sticky Basispoint Volatility Delta | https://quantlib.wordpress.com/tag/sticky-basispoint-volatility-delta/ |
| Sticky Model Delta | https://quantlib.wordpress.com/tag/sticky-model-delta/ |
| Sticky Moneyness Delta | https://quantlib.wordpress.com/tag/sticky-moneyness-delta/ |
| Sticky Strike Delta | https://quantlib.wordpress.com/tag/sticky-strike-delta/ |
| Volatility Smile | https://quantlib.wordpress.com/tag/volatility-smile/ |
| 1 Comment | https://quantlib.wordpress.com/2015/09/19/smile-dynamics-by-densities/#comments |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_1_1.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_1_2.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_2_01.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_2_11.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_2_21.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_2_32.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_2_4.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_3_0.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_3_1.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_3_2.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_3_31.png |
| https://quantlib.wordpress.com/wp-content/uploads/2015/09/dyn_3_4.png |
| Smile Dynamics by Densities | https://quantlib.wordpress.com/2015/09/19/smile-dynamics-by-densities/ |
| Supernatural Libor Coupons | https://quantlib.wordpress.com/2015/08/23/supernatural-libor-coupons/ |
| August 23, 2015August 24, 2015 | https://quantlib.wordpress.com/2015/08/23/supernatural-libor-coupons/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Delayed Payment | https://quantlib.wordpress.com/tag/delayed-payment/ |
| In Arrears | https://quantlib.wordpress.com/tag/in-arrears/ |
| Libor | https://quantlib.wordpress.com/tag/libor/ |
| Leave a comment | https://quantlib.wordpress.com/2015/08/23/supernatural-libor-coupons/#respond |
| here | http://ssrn.com/abstract=2170721 |
| here | https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/cashflows/couponpricer.cpp#L123-L150 |
| https://quantlib.wordpress.com/wp-content/uploads/2015/08/timing.png |
| Supernatural Libor Coupons | https://quantlib.wordpress.com/2015/08/23/supernatural-libor-coupons/ |
| Ultra Strong Typing | https://quantlib.wordpress.com/2015/08/16/ultra-strong-typing/ |
| August 16, 2015 | https://quantlib.wordpress.com/2015/08/16/ultra-strong-typing/ |
| Peter Caspers | https://quantlib.wordpress.com/author/petercaspers/ |
| Overloading | https://quantlib.wordpress.com/tag/overloading/ |
| SFINAE | https://quantlib.wordpress.com/tag/sfinae/ |
| 3 Comments | https://quantlib.wordpress.com/2015/08/16/ultra-strong-typing/#comments |
| post | https://quantlib.wordpress.com/2015/02/15/interlude-sfinae-tricks/ |
| Ultra Strong Typing | https://quantlib.wordpress.com/2015/08/16/ultra-strong-typing/ |
| ← Older posts | https://quantlib.wordpress.com/page/2/ |
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