Introduction to QuantLib Development with Luigi Ballabio
Day 1—Overall Design Day 2—The Monte Carlo Framework
The Instrument class
• Interface and rationale / Tracking market changes: the Quote class / Responding to market changes / Examples
• Shortcomings of the original Instrument class / The PricingEngine class / Examples / Exercises
• The TermStructure class / Yield term structures / Curve bootstrap/ Examples / Exercises
• Random-number generation / The StochasticProcess class / Implementing a stochastic process / Path generation / Examples / Exercises
• 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
Pricing on a lattice
• The Lattice class / The DiscretizedAsset class / Their interplay/ Examples
• The Tree class / Binomial and trinomial trees/ Tree-based lattices / Short-rate models
• Implementing a discretized asset / Choosing a tree-based model / Calibration / Examples / Ex-ercises
Day 1—Overall Design
Day 2—The Monte Carlo Framework
December 02, 2019
December 04, 2019
£1800 (exc VAT)
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.
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.
A bit of news: thanks to Ruilong Xu, Implementing QuantLib is now available from Leanpub in a Chinese translation.
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In this post, a quick check: with what compilers does our current C++11 branch work?