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In this chapter, we explore a range of interest rate models and fixed-income derivative pricing techniques, with a strong focus on practical implementation using QuantLib and C++23. We begin with the Cox–Ingersoll–Ross (CIR) model, a widely used short-rate model that ensures non-negative interest rates, and examine its applications in zero-coupon bond pricing and yield curve construction.

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Advanced Fixed Income and Credit Default Swap (CDS) Using QuantLib

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  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

In this chapter, we explore a range of interest rate models and fixed-income derivative pricing techniques, with a strong focus on practical implementation using QuantLib and C++23. We begin with the Cox–Ingersoll–Ross (CIR) model, a widely used short-rate model that ensures non-negative interest rates, and examine its applications in zero-coupon bond pricing and yield curve construction.