[Quantlib-dev] Contributing to the project

[Pedro de N. N. <nas...@ya...>]

Hi there,

 

Let me briefly introduce myself: my name is Pedro Nassif, I am a
4-year-C++-experienced computer engineer + MBA working at a software
provider called SOPHIS (www.sophis.net) in the finance industry. My company
sells portfolio and risk management systems for banks and hedge funds. The
product has a toolkit framework by which users are able to extend the
application via C++ API. I am a consultant on that specific field: among
other things, I customize the application via C++, creating new pricing
models for instruments in a variety of asset classes, new risk
scenarios/stress tests and so on.

 

I read about Quantlib project on the net and in addition to finding it a
terrific idea, I feel like being able to contribute to it with my modest
experience and expertise.

I am particularly interested in fixed income and credit derivatives domains
even though my company is stronger in the equity derivative side.

I quickly went through your to-do list and as a starting point, doing the
greeks in the your montecarlo framework tempts me. 

 

Please let me know your thoughts,

 

Kind regards,

Pedro Nassif