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This is one of the most basic uses of QuantLib: pricing a European option using the Black-Scholes-Merton model. #include <ql/quantlib.hpp> #include <iostream> using namespace QuantLib; int main() { // ...
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In recent years, I’ve been working on implementing treasury systems for banks, mostly dealing with derivatives and risk management. I first used QuantLib over a decade ago when I was still at a bank, ...
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