quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] RE: Announcing QuantLib: a open-source library for quantitative finance

[Gilbert P. <gi...@ci...>]

Hi Fernando,
I have read all the information on your web site and it looks really very
interesting. I also accessed the sourceForge site for QuantLib and looked at
all the available info. Furthermore I signed up with the dev and the user
mailing list. I have quite a few suggestions and also some questions, but I
need to look a bit more in detail at the source code and include files to
understand the logic you employed. Some very preliminary suggestions are

	- Include IMSL and NAG analytics interfaces. This will give the user the
possibility to access the most robust mathematical routines written under
the sun.

	- Estmiation and calibration methods such as maximum likelihood or
filtering

	- XMLing the structures is a great idea

	- A schedule class is very important, but I saw that you are already
working on that

	- I would suggest to add an ExchangeInstrument class, containing all the
exchange traded instruments for all instruments (futures, options, ...)
traded on an exchange

	- Add a <Quote> class that can be observed by objects such as yield curves
(for automatic live updates)

	- A class <StructuredNote> would be great, but I have a feeling that this
is highly non-trivial

	- Some other classes to think about and add are <Trade>, <Portfolio>,
<Flow>, <Index>, <Lattice> (sorry if I should have put something here that
has already been implemented)

	- A function parser would be excellent to have. That way, you can let users
input for instance more complicated cash flow patterns (for instance in
leveraged floaters, but in many other situations more)

	- An interface to MatLab is certainly a good idea, but can you distribute
applications written in QuantLib and using MatLab for graphical output to
users that don't have MatLab installed? If yes great, if no, we should look
for graphic freeware.

These are my some, as of yet unorganised thoughts to the topic. I will have
a look at the code over the weekend.

Best regards,

Gilbert

[Quantlib-dev] QuantLib goals

[Ferdinando A. <fer...@am...>]

Hi everybody,

welcome to all the new subscribers.

I would like to receive feedback about the goals selected for QuantLib 1.0
I want to strip the goals down to an acceptable minimum in order to have as 
soon as possible a release that can be used by end-user.

Let's start with few selected issues.

1 Platforms to be supported (OS + compiler)
We already support Windows32 + Borland 5.5 and MacOS + CodeWarrior.
Bernd is working on GNU/Linux + gcc (anyone willing to help?)
Windows 32 + Visual Studio is supported, but the resulting lib doesn't work 
correctly: the american_with_dividends.py test fails. Any help on this area 
is welcome since Visual Studio is almost a de facto standard in Win32

2 Executable implementations
This is very important since to have many executable implementation will 
enlarge the user base.
2.1 porting to the Microsoft application world (VB and Excel): to do (as 
COM or Excel add-in)
2.2 Matlab extension: to do
2.3 Python module: done

3  Generic Tools
3.1 date/time module: half done. Luigi is working to a date schedule class. 
This should go hand in hand with a payment schedule class
3.2 one-dimensional solver: done
3.3 one-dimensional optimizer: to do. This may use the interface of the 
one-dimensional solver
3.4 multi-dimensional solver and optimizer: to do
3.5 PDE module: done
3.6 statistical module: done
3.7 Montecarlo module: Marco is working on that

4 Financial Tools
It is very important to receive as soon as possible feedback on the 
Instrument interface (Include/instrument.h), since that is the base class.
We designed a tentative Stock financial instrument 
(Include\Instruments\stock.h).
We will propose shortly deposit, FRA, futures, swaps financial instrument 
interface

Any takers?
Comments?

ciao -- Nando

Re: [Quantlib-dev] (no subject)

[Ferdinando A. <fer...@am...>]

Hi Sakti

>I am looking for some Info on Interest derivative Modelling. Please furnish
>with any info, if possible
QuantLib-dev is for development of the QuantLib library.
A better place for your question would be QuantLib-users 
(http://lists.sourceforge.net/mailman/listinfo/quantlib-users) or any of 
the available Internet forum/list (see 
http://www.ametrano.net/quant/quant.html)

I can suggest a few books:
Hull, White, Hull-White On Derivatives (p20)
Jarrow, Modelling Fixed Income Securities and Interest Rate Options
Rebonato, Interest-Rate Option Models (Second Edition)
Rebonato, Volatility
Clewlow, Strickland, Implementing Derivatives Models

ciao -- Nando

[Quantlib-dev] (no subject)

[Sakti Swarup-OP <sak...@if...>]

Hi Collegaues,

I am looking for some Info on Interest derivative Modelling. Please furnish
with any info, if possible
Yours Sincerely,
Sakti

[Quantlib-dev] Fwd: [Quantlib-users] Introducing the Montecarlo engine

[Ferdinando A. <fer...@am...>]

Marco posted on quantlib-users this morning.
I am forwarding his message to quantlib-dev since I noticed that some 
people subscribed quantlib-dev but didn't subscribe quantlib-users.
My suggestion is that everybody interested in QuantLib development should 
subscribe to quantlib-users too, since general discussion will be on 
quantlib-users.

ciao -- Nando

>X-From_: qua...@li...  Wed Dec 13 02:59:05 2000
>Date: Wed, 13 Dec 2000 12:00:36 +0000
>To: qua...@li...
>From: Marco Marchioro <Ma...@Ma...>
>Subject: [Quantlib-users] Introducing the Montecarlo engine
>Sender: qua...@li...
>List-Id: QuantLib end-users discussion list 
><quantlib-users.lists.sourceforge.net>
>
>Dear quantlib-user,
>         I'm glad to announce that soon QuantLib will have its own 
> Montecarlo engine.
>I'm trying to develop something general, some kind of template class in 
>which the
>user has only to implement the pricing functions.
>I've been working on a preliminary version for a while and now it's almost 
>ready.
>Soon, most likely next week, I will be able to release the first 
>one-dimensional version.
>Before the end of the year I'd like to have something working in more 
>dimensions.
>Let me know if you want to help or if you already have some software.
>                 MarMar.

[Quantlib-dev] RE: Announcing QuantLib: a open-source library for quantitative finance

[Ferdinando A. <fer...@am...>]

>I will make sure the stuff compiles on GNU/Linux.
this would be great!

>We need a curve builder :-)
The yield curve base class is TermStructure (/Include/termstructure.h)
This is an almost pure interface class, stating the methods every 
TermStructure has to implement (zeroYield, discount, forward, etc.)
A curve builder has to produce an instance of a class derived from 
TermStructure.

Three abstract adapter classes are derived from TermStructure: 
ZeroYieldStructure, DiscountStructure, and ForwardRateStructure.
These classes might help, since by using them the curve builder only has to 
produce a zero yield curve OR a discount curve OR a forward curve.
This means that toy term structures are already available right now.
A curve builder with bootstrap on deposits is already there for a piecewise 
constant forward curve (Include\TermStructures\piecewiseconstantforwards.h 
and Sources\TermStructures\piecewiseconstantforwards.cpp).
We have also provided a simple example of flat constant forward 
(QuantLib/Include/TermStructures/piecewiseconstantforwards.h in the current 
cvs) for didactic purposes (to replicate Hull numerical examples, etc.)

Everyone can implement his favorite bootstrapping method and contribute it 
to QuantLib. I welcome any contribution.

Luigi and I are working on adding bootstrapping on swap rates. The design 
is quite clear already (piecewise constant forward, maybe later piecewise 
linear forward), but we need to implement swaps first - which will take a 
little time, especially since the whole date/payment schedule must be designed.
A strong point of the builder we're working on (and a strong point of 
QuantLib as a whole) will be the fact that it uses the actual QuantLib 
financial instruments (deposit, futures, FRA, swap) in the bootstrapping 
procedure.
This should guarantee that the curve building will always reprice inputs 
exactly, whatever the evolution of QuantLib financial instruments will be.

Our work shouldn't stop anybody from providing different curve builders, 
since the date/payment schedule is a crucial point that will take a while. 
You know, the devil is in (boring) details.

>  Then the fun can start!
Yeah, and you can't imagine how excited I am!

Bernd, I would ask you to post your messages/comments on the quantlib-dev 
and/or quantlib-users mailing lists.
This will help to have a discussion going on, so that everybody may 
contribute. That's why I cc my reply to the lists

thank you

ciao -- Nando

[Quantlib-dev] Announcing QuantLib: a open-source library for quantitative finance

[Ferdinando A. <fer...@am...>]

The QuantLib project (http://quantlib.sourceforge.net/) is aimed to provide 
a comprehensive software framework for quantitative finance. The goal is to 
provide a standard free/open-source library to quantitative analysts and 
developers for modelling, trading, and risk management in real-life. The 
core library is written in C++ and currently exported as a Python module. 
Modules are planned for other scripting languages, Excel, MatLab, etc.

QuantLib plans to offer tools that are useful for both practical 
implementation, with features such as market conventions, solvers, PDEs, 
etc., and advanced modelling, e.g., exotic options and interest rate models.

QuantLib is for academics and practitioners. The project is in alpha 
status, not ready for end-users yet but the time is right for major 
contributions to the design and the code base.

Please consider joining one of the available mailing lists:
quantlib-announce 
http://lists.sourceforge.net/mailman/listinfo/quantlib-announce
quantlib-dev http://lists.sourceforge.net/mailman/listinfo/quantlib-dev
quantlib-users http://lists.sourceforge.net/mailman/listinfo/quantlib-users
quantlib-cvs http://lists.sourceforge.net/mailman/listinfo/quantlib-cvs

More details at the web site http://quantlib.sourceforge.net/

Ferdinando Ametrano (fer...@am...)
Luigi Ballabio (lui...@ri...)
Marco Marchioro (mar...@ri...)