quantlib-dev

[Quantlib-dev] How can I get involved?

[Scotty42 <sco...@co...>]

Hello,

I am an out of work quant developer (more a senior developer who has come to
quantitative finance). While I am in am engaged in a career transition, I
would like to lend my skills to the QuantLib project. I am proficient at
C/C++, VB/VBA and database systems and I have worked on both cash &
derivatives based on interest rates, credit & commodities. I am not sure
where to start, but maybe I could work on bug fixes, refactoring/redesign,
extensions and/or creating samples and test suites. Please let me know how I
can become involved.

Regards,
Scott L. Robik
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Re: [Quantlib-dev] How can I get involved?

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

Hi Scott

welcome 'on board'

> Please let me know how I can become involved

I have a suggestion.

The InterestRateIndex::fixing method uses Index(TimeSeries)Manager to
look for historical fixings. The time series must have been provided
before in order to avoid a "missing fixing" run time exception. In my
current Excel environment this is the operational weakest point.

It would be nice to provide some SourceManager hook before the
exception for run-time queries to an ordered list of sources (DB,
Reuters, Bloomberg) in order to try to get the fixing from the sources
and extend the time series

Of course the hook should be elegant enough to factor all custom
settings, transcodings, configurations, etc in some easy to extend C++
code or XLM config file. QuantLib might ship with an empty code stub
and/or provide examples for Reuters / Bloomberg, SQLite, generic SQL
query, OTL

Even a SQLite refactoring of Index(TimeSeries)Manager would be interesting...

ciao -- Nando