The Ticket That Exploded

Table of Contents Basics Quantlib Basics Instruments and pricing engines Numerical Greeks calculation Market quotes Interest-rate curves Term structures and their reference dates EONIA curve bootstrapping Euribor curve bootstrapping Constructing Yield Curve Implied term structures Interest-rate sensitivities via zero spread A glitch in forward-rate curves Interest-rate models Simulating Interest Rates using Hull White Model Thoughts on the Convergence of Hull-White Model Monte-Carlo Simulations Short Interest Rate Model Calibration Par versus indexed coupons Caps and Floors Equity models Valuing European Option Using the Heston Model Valuing European and American Options Valuing Options on Commodity Futures Using The Black Formula Defining rho for the Black process Bonds Modeling Fixed Rate Bonds Modeling Callable Bonds Duration of floating-rate bonds Treasury Futures Contract Mischievous pricing conventions More mischievous conventions Appendix Translating QuantLib Python examples to C++