Coding for Finance

Introduction to QuantLib Development

Introduction to QuantLib Development

Presented by: Luigi Ballabio

Intensive and practical, 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.

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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

Luigi Ballabio headshot

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

Cost: To Be Confirmed (inc. VAT)

3 days

Dates for this event have not yet been confirmed. Please complete the enquiry form to register your interest.

“I have had the chance to attend a 3-day course on QuantLib development by Luigi in London […]. He took us through the basics of QuantLib […] and then to more advanced topics. […] I highly recommend his trainings. […] His teaching is entertaining and challenging at the same time, with a very good mix of presentations, discussions and exercises (some of which are really tough, so better come prepared!)”

“I’ve been looking to investigate QuantLib for a long time, but the library is big and growing. The course Introduction to QuantLib by Luigi was the best entry point.”

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