Implementing QuantLib

November 2025

Inflation bonds

Welcome, dear reader. Here is the latest addition to "A QuantLibGuide": a notebook on inflation bonds.

Nov 27, 2025 • Luigi Ballabio

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October 2025

Bonds and CDS curves

Hello again.  Here is a short notebook in which default-probability curves are used for pricing bonds.

Oct 30, 2025 • Luigi Ballabio

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"Implementing QuantLib" as a paperback: five years later

Recently I realized that it’s already five years since I published my Implementing QuantLib book as a paperback on Amazon, effectively freezing it. Is…

Oct 2, 2025 • Luigi Ballabio

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September 2025

Default-probability curves

Hello, dear reader.  Here is the latest addition to A QuantLib Guide: a notebook on bootstrapping and using default-probability curves.

Sep 4, 2025 • Luigi Ballabio

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August 2025

Cash-flow analysis

Welcome back. This time, I have a proper look at a bit of infrastructure that I’ve used in multiple notebooks before. How do we extract specific…

Aug 7, 2025 • Luigi Ballabio

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July 2025

More improvements to "A QuantLib Guide"

Welcome back. This post follows in the footsteps of a similar one from a few months back. I’m hoping to establish a habit with this: periodic posts…

Jul 10, 2025 • Luigi Ballabio

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June 2025

Different approaches to numerical Theta

Hello, dear reader. In a previous post on calculating numerical Greeks, I mentioned Theta rather quickly. This time, we dive in and look at the…

Jun 19, 2025 • Luigi Ballabio

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May 2025

Cross-currency curve bootstrapping

Hello again. In a previous post, I sketched how cross-currency swaps can be modeled in QuantLib but assumed that we already had the relevant curves…

May 22, 2025 • Luigi Ballabio

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April 2025

March 2025