Introduction to QuantLib. Part 3 (updated): Statistical tool and optimizer
In this tutorial, I will demonstrate how to use the tools from QuantLib, such as statistical tool or optimizer, to solve some finance problem like calculating a portfolio Value at Risk (VaR) by model building, or by extreme value theory.
The powerpoint in the video: https://drive.google.com/file/d/0B0wk...
Please also support the free calculator app that I wrote in the last Christmas holiday (2020). https://apps.apple.com/us/app/sfx-cal...
Currently the calculator app doesn't have any financial calculation function yet, but I'll consider to implement some financial calculation functions in the future using QuantLib.