This blog is moved to github.io.

Thanks for visiting my blog. You may also like the following projects I’m hosting on GitHub.


A real-time quantitative trading/backtesting platform in C#, supporting IB (full brokerage) and Google Finance (quote only). It adds R support through R.NET.


An Excel Add-in tool for pricing and risk management. It uses QuantLib as the pricing engine for interest rate products, CDS, equities, and commodities. Simulation engine extends QuantLib into applications such as PFEs and CVAs.

This post explains how to install the QLExtension project.

Here are some webpages I posted in the past.
01. Fixed Income
02. Options
03. Numerical Methods
04. Design Patterns and Generic Programming
05. Stochastic Calculus
06. LIBOR Rates
07. LIBOR Volatility
08. HJM Model
09. Hull-White Model
10. Two-Factor Model
11. Libor Market Model
12. SABR Model

This link presents automatically generated daily market report.

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