Luigi Ballabio and Goutham Balaraman - QuantLib Python Cookbook
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- Book:QuantLib Python Cookbook
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This book is for sale at http://leanpub.com/quantlibpythoncookbook
This version was published on 2021-04-20
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This is a Leanpub book. Leanpub empowers authors and publishers with the Lean Publishing process. Lean Publishing is the act of publishing an in-progress ebook using lightweight tools and many iterations to get reader feedback, pivot until you have the right book and build traction once you do.
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The authors have used good faith effort in preparation of this book, but make no expressed or implied warranty of any kind and disclaim without limitation all responsibility for errors or omissions. No liability is assumed for incidental or consequential damages in connection with or arising out of the use of the information or programs contained herein. Use of the information and instructions in this book is at your own risk.
The cover image is in the public domain and available from the New York Public Library. The cover font is Open Sans Condensed, released by Steve Matteson under the Apache License version 2.0.
The choice of using the QuantLib Python bindings and Jupyterwas due to their interactivity, which make it easier to demonstratefeatures, and to the fact that the platform provides out of the boxexcellent modules like matplotlib for graphing and pandas for dataanalysis.
This choice might seem to leave C++ users out in the cold. However,its easy enough to translate the Python code shown here into thecorresponding C++ code. An example of such translation is shown inthe appendix.
The recipes in this cookbook are written as Jupyter notebooks, and follow their structure: blocks of explanatory text, like the one youre reading now, are mixed with cells containing Python code (inputs) and the results of executing it (outputs). The code and its outputif anyare marked by In [N] and Out [N], respectively, with N being the index of the cell. You can see an example in the computations below:
In[1]:deff(x,y):returnx+2*yIn[2]:a=4b=2f(a,b)Out[2]:8By default, Jupyter displays the result of the last instruction as the output of a cell, like it did above; however, print statements can display further results.
In[3]:print(a)print(b)print(f(b,a))Out[3]:4210Jupyter also knows a few specific data types, such as Pandas data frames, and displays them in a more readable way:
In[4]:importpandasaspdpd.DataFrame({'foo':[1,2,3],'bar':['a','b','c']})Out[4]:| foo | bar | |
|---|---|---|
| 0 | 1 | a |
| 1 | 2 | b |
| 2 | 3 | c |
The index of the cells shows the order of their execution. Jupyter doesnt constrain it; however, in all of the recipes of this book the cells were executed in sequential order as displayed. All cells are executed in the global Python scope; this means that, as we execute the code in the recipes, all variables, functions and classes defined in a cell are available to the ones that follow.
Notebooks can also include plots, as in the following cell:
In[5]:%matplotlibinlineimportnumpyasnpimportutilsf,ax=utils.plot(figsize=(10,2))ax.plot([0,0.25,0.5,0.75,1.0],np.random.random(5))Out[5]:[<matplotlib.lines.Line2Dat0x7fef5c24fda0>]
As you might have noted, the cell above also printed a textual representation of the object returned from the plot, since its the result of the last instruction in the cell. To prevent this, cells in the recipes might have a semicolon at the end, as in the next cell. This is just a quirk of the Jupyter display system, and it doesnt have any particular significance; Im mentioning it here just so that you dontt get confused by it.
In[6]:f,ax=utils.plot(figsize=(10,2))ax.plot([0,0.25,0.5,0.75,1.0],np.random.random(5));
Finally, the utils module that I imported above is a short module containing convenience functions, mostly related to plots, for the notebooks in this collection. Its not necessary to understand its implementation to follow the recipes, and therefore we wont cover it here; but if youre interested and want to look at it, its included in the zip archive that you can download from Leanpub if you purchased the book.
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