Cookbook#
This is a collection of more detailed examples and explanations that don’t necessarily fall into any one category.
Interest Rate Curve Building
- Replicating the Single Currency Curve in Pricing and Trading Interest Rate Derivatives
- Building a Conventional Par Tenor Based SOFR Curve
- Solving Curves with a Dependency Chain
- How to Handle Turns in Rateslib
- Comparing Curve Building and Instrument Pricing with QuantLib
- Constructing Curves from (CC) Zero Rates
- Multicurve Framework Construction
- Brazil’s Bus252 Convention and Curve Calibration
- Building Custom Curves (Nelson-Siegel)
Credit Curve Building
FX Volatility Surface Building
Instrument Pricing
- Understanding and Customising FixedRateBond Conventions
- Using Curves with an Index and Inflation Instruments
- Inflation Indexes and Curves 2 (Quantlib comparison)
- Pricing IBOR Interpolated Stub Periods
- Working with Fixings
- Valuing Historical Swaps at Today’s Date
- Valuing Spot Swaps at Future Dates
- Applying Amortization to Instruments
- Configuring Cross-Currency Swaps - is it USDCAD or CADUSD?
Risk Sensitivity Analysis
- Building a Risk Framework Including STIR Convexity Adjustments
- Exploring Bond Basis and Bond Futures DV01
- Bond Future CTD Multi-Scenario Analysis
- What are Exogenous Variables and Exogenous Sensitivities?
- Another Example of an Exogenous Variable (SABR’s Beta)
- Fixings Exposures and Reset Ladders
- MultiCsaCurves have discontinuous derivatives