Quantlib

MaRDI QIDQ39469swMATHFDO

Official website http://quantlib.org/

Source code repository https://github.com/lballabio/QuantLib

Cited in

(4)

• Implied stopping rules for American basket options from Markovian projection
• QuantLib
• Simulation and evaluation of the distribution of interest rate risk
• Reducing transaction costs for interest rate risk hedging with stochastic programming

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