Coding for Finance

Archives: Public Courses

Introduction to QuantLib Development

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