Blog
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2026-08-05
Historical simulation VaR by full revaluation
One day 99% VaR for a 100 swap SOFR book, computed the honest way, 250 full curve re-bootstraps and book revaluations through QuantLib, in 37 seconds on a desktop CPU. Methodology, results and the parallel scaling measurements.
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2026-08-03
Bootstrapping a SOFR curve in Quantra
Building a USD SOFR discount curve from OIS quotes, with a walk through every parameter of the curve and its helpers, and the same curve and a swap priced against it reproduced in the app, as a raw engine call and in QuantLib Python.
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2026-07-29
Calibrating a SABR volatility cube in Quantra
What SABR calibration is, why rates desks use it, how the Volatility Workbench fits a swaption smile, and the same calibration reproduced against the raw engine API and QuantLib Python, matching to twelve decimal places.
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2026-07-26
Bootstrapping yield curves in Quantra
The curve builder end to end, what the traits and interpolators mean in QuantLib terms, every instrument type you can add, and the same curve reproduced three ways, in the app, against the engine, and in 30 lines of QuantLib Python.