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c++
data
README
american_option.ipynb
american_option.py
basic_example.py
bonds.py
calibrate_heston.py
calibration_plot.py
download_libor_rates.py
heston_calibration.ipynb
make_zc.py
make_zero_coupon.py
process_SPX_options.py
settings_test.py
settings_with_QL_error.py
simulate_example.py
swap.py
test_process.py

README

QuantLib / Cython example: Construction of zero-coupon curves from FRB data

1) Download swap and deposit rate data from the Federal Reserve database:
www.federalreserve.gov/datadownload

2) Read the csv file and build a time series of deposit and swap rates

3) Use QuantLib to compute a zero-coupon curve for a given date

Calibration of Heston model on SPX option data
==============================================

1) process_SPX_options.py computes:
    - market implied forward, interest rate and dividend yield
    - implied market volatility (bid/ask)
    - quick delta
    - filters quotes to retain only the quotes with a QD between .2 and .8
    
2) calibrate_heston estimate the parameters by non-linear least-square 
    error computed on difference between market vol and model vol
    
3) calibration_plot displays fitted and market vols at selected expiries.





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