Monday, April 28, 2014

QuantLib notebooks

Hello everybody.

This week, I get to play with a neat new toy. I have known about IPython for a while, but until recently I hadn't realized that it also had a feature (the IPython Notebook) which turns the browser into an interactive computing environment that reminds one of Mathematica. By using it, one can mix text (including formulas), Python code and graphics to create an interactive document. Did I say it's neat? (And to give credit where it's due, I think the first time I saw an IPython notebook used as a presentation tool was in Michael von den Driesch's talk at the QuantLib User Meeting).

Anyway: below is a screencast of me going through a notebook (you might want to enlarge it; click on the four little arrows in the bottom right on the video). It uses the QuantLib Python bindings to showcase a few features of instruments and pricing engines; and there is more where this came from, so this could become a permanent feature of this blog. Let me know what you think of it.

In other news: we have a date for a new edition of my Introduction to QuantLib Development course, that is, September 22nd to 24th in London. I'll come back to it, but in the meantime, more information and a registration form are at this link.

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