A Taste of QuantLib

What is it and what can it do for you? These columns will contain information, tips, tricks or advanced features that you might have missed so far.

Hello, and thanks for looking at this new feature of Wilmott Magazine.

Why don’t I skip the usual introductions — we can circle back to that later — and show you some code instead? Let’s see if you find something interesting in it. The full listing is in its own box; its comments
correspond to the subheadings of this column, so you can find your way around the code as I describe it. I’ll try to keep this a quick tour and show the forest rather than the trees; so I’ll gloss over, or completely
ignore, a lot of details. Here we go.


WILMOTT January 2023 - Ballabio