Going to C++11
Going to C++11
Going to C++11

Last updated on 2018-10-26

About the Book

This is the diary of an experiment.

Over the course of 2018, I branched the code of the QuantLib library (an open-source library used for pricing financial instruments) and tried to start using C++11 features that we had, so far, avoided for compatibility with older compilers. A bit late to the party, I know, but financial institutions are not known for keeping abreast of the latest compiler releases.

Among the changes I applied were the use of new standard features instead of their Boost counterparts, the application of automated modernization rules with clang-tidy, and the setup of daily builds to ensure that the new code kept integrating the latest changes from the master branch (which remains the official one).

Not everything went according to plan. This book is the tale of what I did and of the problems I hit. Here's hoping that it can show you something useful for your own projects.

The contents of this book will be a revised version of the posts that appeared (and, as I write this, are still appearing) on my blog, Implementing QuantLib.

About the Author

Luigi Ballabio
Luigi Ballabio

Luigi Ballabio is Head of Quantitative Development at StatPro Italia, a Milan-based subsidiary of StatPro Group plc. He has worked at StatPro Italia since the company was founded (as RiskMap) in 2000, and focuses on the development of the pricing algorithms and models at the core of the StatPro Risk Service (SRS) providing data to its flagship Revolution product.

He is a co-founder, lead developer and administrator of QuantLib, an open-source project aiming at providing a comprehensive software framework for quantitative finance; he blogs about it at https://www.implementingquantlib.com. Well-known and appreciated among practitioners, the project started in late 2000 and reached a major milestone in February 2010 with the release of QuantLib 1.0; it has now released version 1.10, and will probably be beyond that by the time you read this.

Luigi holds a Ph.D. in applied nuclear physics from the University of Uppsala, Sweden. In his hometown near Milan, though, he is best known for playing the tenor saxophone in the local concert band—a fact that puts all of the above in a refreshing perspective.

He lives in Milan with his wife and four children.

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