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, 3 months
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19 Negative price of oil Apr 21
6 Why are Interest Rate Swaps not valued using Monte Carlo Simulations? Feb 20
6 Bootstrap with QuantLib: Fair Swap or zero NPV Jun 30
6 Can we think of Overnight Index Swaps as short-term IRS? Jun 28
5 FX Forward rate agreement valuation in quantlib Jun 24
5 SABR Model Pricing Engine in Python QuantLib Sep 4
5 Bootstrapping OIS curve Sep 29
5 Derivation of Swap rate formula Feb 24
5 QuantLib returns slightly different bondYield when backtested Feb 12
4 Why do I get this difference when simulating geometric Brownian motion? Jan 21
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