Here I present a proof of concept for running QuantLib functions in AWS Lambda. AWS Lambda offers an exciting way to leverage distributed computing without worrying about infrastructure or server provisioning, all you need to do is upload your Lambda function and trigger it using one of the supported triggers. It automatically scales to the […]
In my previous post, we saw how to submit a Pyspark job to AWS EMR cluster. In this post, I will go over the setup of the cluster. Before we start with the cluster, we must have a certificate keypair (.pem file) and a security group setup in AWS. There are many resources available online […]
Counterparty risk is the risk that a party to an OTC derivatives contract may fail to perform on its contractual obligations, causing losses to the other party. Credit exposure is the actual loss in the event of a counterparty default. Some of the ways to reduce counterparty risk : Netting: Offset positive and negative contract […]
Pricing an interest rate swap involves bootstrapping a blended curve of different instruments based on their maturities and market liquidity. Usually cash deposits, Eurodollar futures are used at the short end and market swap rates are used at the long end. I discuss construction of such a blended swap curve using Python and Global Optimization approach.