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Introduction to QuantLib Development with Luigi Ballabio

Owner: MoneyScience

Day 1—Overall Design
The Instrument class
• Interface and rationale / Tracking market changes: the Quote class / Responding to market changes / Examples
Pricing engines
• Shortcomings of the original Instrument class / The PricingEngine class / Examples / Exercises
Term structures
• The TermStructure class / Yield term structures / Curve bootstrap/ Examples / Exercises

 

Day 2—The Monte Carlo Framework
Path generation
• Random-number generation / The StochasticProcess class / Implementing a stochastic process / Path generation / Examples / Exercises
Path pricers
• The PathPricer class / Implementing a path pricer / Possible extensions / Exercises
Putting it all together
• Monte Carlo traits / Monte Carlo simulations / Implementing a Monte Carlo engine / Examples / Exercises

 

Day 3—The Tree Framework
Pricing on a lattice
• The Lattice class / The DiscretizedAsset class / Their interplay/ Examples
Tree-based lattices
• The Tree class / Binomial and trinomial trees/ Tree-based lattices / Short-rate models
Tree-based engines
• Implementing a discretized asset / Choosing a tree-based model / Calibration / Examples / Ex-ercises

About(1-column,description,interests);Agenda(1-column,agenda,event-details);Activity(1-column,activity);Updates(1-column,blog);Registration(1-column,file);Location(1-column,map);Discussion(1-column,bookmarks,discussion);hidden(2-column,admin_tags,polls,);

December 02, 2019

December 04, 2019

£1800 (exc VAT)

London, TBA

Description:

This is an intensive, practical course for Financial Market Participants.

10% 'Early Bird' Discount Available before November 1.

Group Discounts Available

The goal of this three-day intensive hands-on course is to take a birds-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin.

What do you learn?

 

  • The overall design of the QuantLib library
  • The rationale of its design and implementation
  • The correct use of the main classes in the library
  • The design and use of some of its framework, such as the tree and Monte Carlo frameworks

 

About the Speaker

Luigi Ballabio is senior quantitative developer at StatPro Italia srl, part of StatPro Ltd. He's one of the founders, administrators and lead developers of the QuantLib project. He holds a Ph.D. In Applied Nuclear Physics from the University of Uppsala.

Registration Form (pdf) Enquiry Form



Brief description: The goal of this three-day intensive hands-on course is to take a birds-eye look at the design of the QuantLib library as well as its rationale. This is an intensive, practical course for financial market participants.

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Sep 24 2019 12:01
Introduction to QuantLib Development with Luigi Ballabio wrote a new blog post titledImplementing QuantLib is now available in Chinese

A bit of news: thanks to Ruilong Xu, Implementing QuantLib is now available from Leanpub in a Chinese translation.

Sep 24 2019 12:01
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Sep 10 2019 12:01
Introduction to QuantLib Development with Luigi Ballabio wrote a new blog post titledA quick look at the QuantLib 1.16 release

Here is a quick look at some statistics for QuantLib 1.16, released at the beginning of this week.

Sep 10 2019 12:01
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Sep 10 2019 12:01
Introduction to QuantLib Development with Luigi Ballabio wrote a new blog post titledA quick look at the QuantLib 1.15 release

Last week I’ve released QuantLib 1.15. As usual, here’s a quick look at some statistics.

Sep 10 2019 12:01
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Sep 10 2019 12:01
Introduction to QuantLib Development with Luigi Ballabio wrote a new blog post titledIntroductory training on QuantLib in Python

It’s been a long time since I last posted on this blog, and one of the reasons (apart from Christmas, work and life in general) is that I’ve been busy preparing material for an on-site training on QuantLib in Python.

Sep 10 2019 12:01
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Sep 10 2019 12:01
Introduction to QuantLib Development with Luigi Ballabio wrote a new blog post titledLeaving C++03: compiler compatibility so far

In this post, a quick check: with what compilers does our current C++11 branch work?

Sep 10 2019 12:01
 

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