[Quantlib-dev] Silverlight QuantLib Interest Rate Pricer online

[Toyin A. <toy...@ho...>]

Hello Luigi,


It's been a while since I last posted a message here.

 

I would firstly just like to say thanks to you guys as well as the guys at www.qlnet.org . Via both your professional frameworks, most of my time was spent on Silverlight integration issues rather than implementing a financial derivatives framework from scratch.

 

Because I have moved onto C# the last couple of years, Most of my work has been porting QuantLib C++ to C#.

 

Basically I have been looking at the Silverlight technology as a way for users to price derivatives with just a browser installed and to eliminate server costs at the same time.

 

You probably recall that I attempted this a few years ago via an ASP.NET version but this died very quickly because too many users hit the server and of course, it being hosted on one of those cheap ASP.NET hosting plans, did not really cater for a lot of people hitting it.

 

The service was to be free, but with the infrastructure needed to be hosted on several heavy duty server machine, the costs became a factor for me.

 

Now I have a Silverlight version. All number crunching is performed on the users machine, for now the silverlight application is hosted on Microsoft's server.

 

Please feel free to play with it and let me know of any comments and improvements that you think are needed.

 

It's a free service and currently you can strip yieldcurves, construct simple SABR volatility curves and price over 45 interest rate strategies including CMS Swaps, LIBOR and In-Arrears. You can also cap all these legs. Cashflows can be viewed and simple delta curve risk can be conducted against the chosen strategy..

 

You can also save copies of the pricers to your hard disk for printing or for reloading the data back into the pricer. The format are Excel 2003 XML spreadsheet files.

 

Of course the whole thing is powered by QuantLib (C# version) and any mispricing, bugs is down to me and not QuantLib, QLNet.

 

You do need the latest Silverlight runtime in order to play with it.

 

You can access the pricer at www.QuantTools.com/irpricer.htm

 

It's in beta at the moment and I need to provide user docs which will be coming soon.

 

I am looking to integrate more pricers/screens and so if anyone has any suggestions let me know.

 

Best Regards,

Toyin Akin.

 
 		 	   		  
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