Given the complexity of over-the-counter derivatives and structured products, al-
most all of derivatives pricing today is based on numerical methods. While large fi-
nancial institutions typically have their own team of developers who maintain state-
of-the-art financial libraries, till a few years ago none of that sophistication was avail-
able for use in teaching and research. For the last decade„ there is now a reliable
C++ open-source library available called QuantLib. This note introduces QuantLib
for pricing derivatives and documents our experience using QuantLib in our course
on Computational Finance at the Indian Institute of Management Ahmedabad. The
fact that it is also available (and extendable) in Python has allowed us to harness the
power of C++ with the ease of iPython notebooks in the classroom as well as for stu-
dent's projects.