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Financial Modeling with Mathematica and QuantLib
Author

Thomas Weber
Organization: Weber & Partner GbR
Conference

Wolfram Technology Conference 2011
Conference location

Champaign, Illinois, USA
Description

QuantLib is a widely recognized open source library for computational finance. With the new interface from Mathematica to QuantLib, the more than one thousand functions, instruments, curves, and so on from QuantLib are easily accessible to Mathematica users, allowing unprecedented financial modeling and computation in combination with the power of Mathematica. The talk demonstrates this with several examples, including curve building and calibration of CMS.
Subject

*Mathematica Technology
URL

http://www.wolfram.com/events/technology-conference-2011
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FinancialModelingWithMathematicaAndQuantLib.cdf (429.6 KB) - CDF Document
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FinancialModelingWithMathematicaAndQuantLib.nb (428.9 KB) - Mathematica Notebook