Quantitative Finance
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David Duarte

  • Head of Trading Room at Portuguese Debt Management Office
  • Lecturer of Computational Finance and Financial Derivatives (Data Science for Finance Course)

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  • Lisbon, Portugal
  • Member for 2 years, 6 months
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21 Negative price of oil Apr 21 '20
9 Forecasting non-maturity deposits with machine learning Jan 11
6 Can we think of Overnight Index Swaps as short-term IRS? Jun 28 '20
6 Bootstrap with QuantLib: Fair Swap or zero NPV Jun 30 '20
6 Why are Interest Rate Swaps not valued using Monte Carlo Simulations? Feb 20 '20
5 Derivation of Swap rate formula Feb 24 '20
5 QuantLib returns slightly different bondYield when backtested Feb 12 '20
5 FX Forward rate agreement valuation in quantlib Jun 24 '20
5 QuantLib Python: why is the NPV different? NPV(0.1,[0,110]) should be 100, not 99.53 Feb 6
5 SABR Model Pricing Engine in Python QuantLib Sep 4 '20
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