Monday, March 3, 2014

Screencast: term structures

Hello everybody.

This week, the second of two screencasts from my presentation at the QuantLib Forum back in 2011 (the first one is in last post). In this one, I show how to use market quotes to bootstrap an additional credit spread over a given risk-free curve.

In other news, last Thursday I released QuantLib 1.4—but you know that already if you follow me, or if you're subscribed to the QuantLib mailing list. Anyway: the official announcement is kind of impersonal, but here I wanted to say that I appreciate enormously the work of all the contributors to this release (they're mentioned in the list of changes; I hope I didn't forget anybody). Almost all I did was curating their contributions—a work really made easier by moving our repository to GitHub.

There are still a couple of places for my Introduction to QuantLib course (March 24th to 26th in London): click here if you're thinking of registering.

Oh, and one last thing. What with the course and everything, I'll have a busy month or two ahead, so I don't think I'll be posting weekly for a while. Your lives will continue just fine, I'm sure.

Follow me on Twitter if you want to be notified of new posts, or add me to your circles, or subscribe via RSS: the widgets for that are in the sidebar, at the top right of the page. Also, make sure to check my Training page.

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