By - Luigi Ballabio
Quantitative finance in C++: An inside look at the architecture of the QuantLib library
This book is a report on the design and implementation of QuantLib, alike in spirit—but, hopefully, with less frightening results—to the “How I did it” book prominently featured in Mel Brooks’ Young Frankenstein (in this case, of course, it would be “how we did it”). If you are, or want to be, a QuantLib user, you will find here useful information on the design of the library that might not be readily apparent when reading the code. If you’re working in quantitative finance, even if not using QuantLib, you can still read it as a field report on the design of a financial library. You will find that it covers issues that you might also face, as well as some possible solutions and their rationale. Based on your constraints, it is possible—even likely—that you will choose other solutions; but you might profit from this discussion just the same.The book is primarily aimed at users wanting to extend the library with their own instruments or models; if you desire to do so, the description of the available class hierarchies and frameworks will provide you with information about the hooks you need to integrate your code with QuantLib and take advantage of its facilities. If you’re not this kind of user, don’t give up on the book yet; you can find useful information too. However, you might want to look at the QuantLib Python Cookbook instead; it’s available in all electronic formats from Leanpub.
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.
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.- More about Luigi Ballabio