Re: [Quantlib-dev] Willing to contribute to Quantlib

[Luigi B. <lui...@gm...>]

Maxime,
     that's great.  Are you familiar with QuantLib already?  What
version-control tools does your team use?

Later,
    Luigi


On Fri, Jan 27, 2012 at 8:52 AM, Maxime Biette <bie...@gm...> wrote:
> Dear Quantlib community,
>
> I'm contacting you today to submit you a proposal related to QuantLib. I'm
> actually studying financial engineering in ECE Paris, Engineering School
> (in France).
>
> In the framework of my studies, I'm working on a one-year project consisting
> in developing a financial tool. I'm actively working with a team composed of
> six people.
> Since we look forward to broadcast it thanks to the OpenSource "pipe",
> and as QuantLib is well-known all over the world, my team would like
> to participate.
> Then we need your approval to take part.
>
> *Let me give you a short overview of the work in progress. It is based
> on Schwartz and Smith (2000) paper : Short-Term Variations and
> Long-Term Dynamics in Commodity Prices.*
> *Their research is aimed to describe the processes of commodity
> products with a two-factor model. Concerning our project, we want to
> implement efficiently their theory to price Crude Oil spot in the first
> place. Then the final aim is to predict the value of financial instruments
> from the
> spot : options, caps, floors, futures...*
>
>
> *The added-value is that no full implementation has been done so far in C++
> and other 'high level' languages. Hence it offers the opportunity to
> many users to make use of this approach. That may even be an add-on to
> their paper somehow (it allows people to check its performance). It is a
> very
> known paper so it is of interest to broadcast this tool.*
>
> (An optional goal is to build a handy GUI allowing many actions to the user:
> to display special statistics or characteristics, to allow an adaptive
> GUI... But that may not concern the QuantLib project actually)
> The implementation of the algorithm has already been made with MATLAB
> (especially for testing).
>
>
> I thank you for considering my request in advance.
>
> Kinds regards,
>
> --
> Maxime Biette
> +33607717007
>
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