1) open any project go to View->Property Manager 2) pick up any project and choose DEBUG/RELEASE wi32/win64 configuration -> Microsoft.Cpp.Win32.user file choose VC++ directories and add desired Include and Lib dirs to appropriate section (in this case boost dirs) Microsoft.Cpp.Win32.user…
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Hedge accounting
Hedge accounting for Corporates IFRS 13 defines the standards for fair-value measurements of derivatives used in hedge accounting. From 1 jan 2013 fair-value calculations must include Credit Valuation Adjustments (CVA and DVA valuations adjustments) to account for nonperformance risk. IFRS…
amortizing interest rate swap valuation example quantib python
Example of valuation of amortizing interest rate swap in Python with quantlib module for quantlib excel version see Amortizing interest rate swap valuation excel quantlib addin First , Install QuantLib package for python (use guide here ) to run the…
Derivatives CVA calculation example Monte-Carlo with python
Here we’ll show an example of code for CVA calculation (credit valuation adjustment) using python and Quantlib with simple Monte-Carlo method with portfolio consisting just of a single interest rate swap.It’s easy to generalize code to include more financial instruments…
Black Scholes calculator online with dividends
Black Scholes calculator online price of Call option and Option’s delta and gamma introduce inputs in yellow cells: dividend yield (all cash dividends divided by spot) excel : Advanced Black Scholes calculator Advanced Black-Scholes online calculator takes real market interest…
how to value Credit Default Swap default leg and default probabilities
how to value CDS (credit default swap) default leg with following time structure: 0—-t1—–t2—-t3—–t4—–….—T Suppose that default (at time ) can only occur at discrete times t1,t2,t3,.. and Qi=survival probability until time $$t_i$$ then $$ \tau – time of default…
finance c++ programming course [part 5] – basket options with monte carlo c++
Part 5 c++ finance course Monte-Carlo c++ – basket options Objective – price basket options based on this you’ll be able to price Autocallable, Himalaya, Spread and similar basket options Basket option Here let’s see how to price an option…
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finance c++ programming course [part 4] – Monte Carlo c++ Path-dependent payoffs
Part 4 c++ finance course Monte-Carlo c++ – Path-dependent payoffs Objective – price asian option with c++ – price lookback option here we’ll show how to extend previous programs to price path dependent payoffs Asian Option lets start with asian…
Posted in quant finance coding course
finance c++ programming course [part 3] – Monte Carlo c++
Part 3 c++ finance course Monte-Carlo c++ Objective – generate random numbers – Calculate Call option with Monte – Carlo – intro to std::vector here we’ll see how to use containers in C++ in many books on c++ you’ll see…
Posted in quant finance coding course
finance c++ programming course [part 2] – numerical integration Black Scholes
part 2 black scholes via numerical integration finance c++ course objective – calculate Call option in Black Scholes model using c++ C++ and QuantLib have many types of variables in quant finance most useful types are: double – to store…
Posted in quant finance coding course