codefinance.training

Coding for Finance

Course Feature: In-Person

Financial Engineering in Interest Rates and FX – C++ Applications in Quantitative Finance

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This is a high-level quantitative finance short course. You’ll develop your knowledge of the most widely used models in the banking industry, particularly in relation to the interest rate and FX markets.

Learn from a highly experienced banking practitioner to prepare for the next steps in your finance career and develop your knowledge of the C++ programming language.

You’ll learn the most important concepts in financial engineering from an expert with over 12 years of experience in the banking industry. A solid grounding in quantitative finance and the ability to use C++ will allow you to take the next steps in your banking career.

The course is taught once a week on weekday evenings, allowing you to fit your learning in around other commitments.

Who is it for?

You’ll need some knowledge of financial engineering to join this course. Strong mathematical skills are a must. It’s the ideal way into roles such as quantitative analyst, market risk manager or market risk model methodology manager.

Introduction to QuantLib Development

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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
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