Published February 27, 2026
| Version v0.4.0
Software
Open
PyQuantLib
Authors/Creators
Description
What's New
Instruments
- Callable bonds (CallableFixedRateBond, CallableZeroCouponBond) with OAS analytics
- Convertible bonds (zero-coupon, fixed-coupon, floating-rate) with BinomialConvertibleEngine
- Equity instruments (EquityIndex, EquityTotalReturnSwap)
- BondForward, NonstandardSwaption, FloatFloatSwaption
- Dividends (FixedDividend, FractionalDividend)
Exotic Options
- Lookback (4 variants: floating, fixed, partial floating, partial fixed)
- Cliquet, Compound, Simple/Complex Chooser
- Margrabe exchange options (European + American)
- Forward-start vanilla options
- Quanto vanilla options
Engines
- 4 lookback engines, cliquet, compound, 2 chooser, 2 Margrabe, 2 forward, quanto
- Callable bond engines (Tree + Black)
- BinomialConvertibleEngine (7 tree types)
Full changelog: https://github.com/quantales/pyquantlib/compare/v0.3.0...v0.4.0
Notes
If you use this software, please cite it using the metadata from this file.
Files
quantales/pyquantlib-v0.4.0.zip
Files
(1.3 MB)
| Name | Size | Download all |
|---|---|---|
|
md5:e04e1e274d3dc68d541b5d553e21a4d4
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1.3 MB | Preview Download |
Additional details
Related works
- Is supplement to
- Software: https://github.com/quantales/pyquantlib/tree/v0.4.0 (URL)
Software
- Repository URL
- https://github.com/quantales/pyquantlib