Derivatives Pricing using QuantLib: An Introduction

Jayanth Varma and Vineet Virmani

No WP2015-03-16, IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

Abstract: Given the complexity of over-the-counter derivatives and structured products, al- most all of derivatives pricing today is based on numerical methods. While large fi- nancial institutions typically have their own team of developers who maintain state- of-the-art financial libraries, till a few years ago none of that sophistication was avail- able for use in teaching and research. For the last decade„ there is now a reliable C++ open-source library available called QuantLib. This note introduces QuantLib for pricing derivatives and documents our experience using QuantLib in our course on Computational Finance at the Indian Institute of Management Ahmedabad. The fact that it is also available (and extendable) in Python has allowed us to harness the power of C++ with the ease of iPython notebooks in the classroom as well as for stu- dent’s projects.

Date: 2015-03-27
New Economics Papers: this item is included in nep-cmp and nep-ppm
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