Implementing QuantLib
$7.99
Minimum price
$29.99
Suggested price

Implementing QuantLib

About the Book

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.

Implementing QuantLib is also available as a paperback from your local Amazon store.

About the Author

Luigi Ballabio
Luigi Ballabio

Luigi Ballabio is a Distinguished Quantitative Developer at the Milan office of Confluence Technologies. He has worked there since 2000, and focuses on the development of the pricing algorithms and models at the core of their products.

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. 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 1.33, 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 baritone 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.

He can be found at https://www.implementingquantlib.com and is available for training on-site (in Europe and UK) or remote (anywhere).

Reader Testimonials

Roland Lichters
Roland Lichters

Co-founder and CTO of Quaternion Risk Management, co-author of “Modern Derivatives Pricing and Credit Exposure Analysis”

The co-founder of the QuantLib project guides the reader on a safe path through the jungle of this precious library’s design ideas and class hierarchies. This book thus unlocks the library to the novice, and it is full of insightful discussions that makes it surprising and enjoyable reading for the long-time QuantLib user. I would have benefitted a lot had this work been available when I started my own and initially bumpy journey of exploring and using QuantLib in 2001!

Daniel J. Duffy
Daniel J. Duffy

Author of “Financial Instrument Pricing Using C++” and “Introduction to C++ for Financial Engineers: An Object-Oriented Approach”

C++ is the gold standard for computational finance applications. Luigi has done a thorough job of integrating modern C++ and Design Patterns to a range of equity and fixed income pricing problems. I warmly recommend it to MSc and MFE students of finance who wish to learn how to use and to write structured code.

Table of Contents

  • 1. Introduction
  • 2. Financial instruments and pricing engines
    • 2.1 The Instrument class
      • 2.1.1 Interface and requirements
      • 2.1.2 Implementation
      • 2.1.3 Example: interest-rate swap
      • 2.1.4 Further developments
    • 2.2 Pricing engines
      • 2.2.1 Example: plain-vanilla option
  • 3. Term structures
    • 3.1 The TermStructure class
      • 3.1.1 Interface and requirements
      • 3.1.2 Implementation
    • 3.2 Interest-rate term structures
      • 3.2.1 Interface and implementation
      • 3.2.2 Discount, forward-rate, and zero-rate curves
      • 3.2.3 Example: bootstrapping an interpolated curve
      • 3.2.4 Example: adding z-spread to an interest-rate curve
    • 3.3 Other term structures
      • 3.3.1 Default-probability term structures
      • 3.3.2 Inflation term structures
      • 3.3.3 Volatility term structures
      • 3.3.4 Equity volatility structures
      • 3.3.5 Interest-rate volatility structures
  • 4. Cash flows and coupons
    • 4.1 The CashFlow class
    • 4.2 Interest-rate coupons
      • 4.2.1 Fixed-rate coupons
      • 4.2.2 Floating-rate coupons
      • 4.2.3 Example: LIBOR coupons
      • 4.2.4 Example: capped/floored coupons
      • 4.2.5 Generating cash-flow sequences
      • 4.2.6 Other coupons and further developments
    • 4.3 Cash-flow analysis
      • 4.3.1 Example: fixed-rate bonds
  • 5. Parameterized models and calibration
    • 5.1 The CalibrationHelper class
      • 5.1.1 Example: the Heston model
    • 5.2 Parameters
    • 5.3 The CalibratedModel class
      • 5.3.1 Example: the Heston model, continued
  • 6. The Monte Carlo framework
    • 6.1 Path generation
      • 6.1.1 Random-number generation
      • 6.1.2 Stochastic processes
      • 6.1.3 Random path generators
    • 6.2 Pricing on a path
    • 6.3 Putting it all together
      • 6.3.1 Monte Carlo traits
      • 6.3.2 The Monte Carlo model
      • 6.3.3 Monte Carlo simulations
      • 6.3.4 Example: basket option
  • 7. The tree framework
    • 7.1 The Lattice and DiscretizedAsset classes
      • 7.1.1 Example: discretized bonds
      • 7.1.2 Example: discretized option
    • 7.2 Trees and tree-based lattices
      • 7.2.1 The Tree class template
      • 7.2.2 Binomial and trinomial trees
      • 7.2.3 The TreeLattice class template
    • 7.3 Tree-based engines
      • 7.3.1 Example: callable fixed-rate bonds
  • 8. The finite-difference framework
    • 8.1 The old framework
      • 8.1.1 Differential operators
      • 8.1.2 Evolution schemes
      • 8.1.3 Boundary conditions
      • 8.1.4 Step conditions
      • 8.1.5 The FiniteDifferenceModel class
      • 8.1.6 Example: American option
      • 8.1.7 Time-dependent operators
    • 8.2 The new framework
      • 8.2.1 Meshers
      • 8.2.2 Operators
      • 8.2.3 Examples: Black-Scholes operators
      • 8.2.4 Initial, boundary, and step conditions
      • 8.2.5 Schemes and solvers
  • 9. Conclusion
  • A. Odds and ends
    • Basic types
    • Date calculations
      • Dates and periods
      • Calendars
      • Day-count conventions
      • Schedules
    • Finance-related classes
      • Market quotes
      • Interest rates
      • Indexes
      • Exercises and payoffs
    • Math-related classes
      • Interpolations
      • One-dimensional solvers
      • Optimizers
      • Statistics
      • Linear algebra
    • Global settings
    • Utilities
      • Smart pointers and handles
      • Error reporting
      • Disposable objects
    • Design patterns
      • The Observer pattern
      • The Singleton pattern
      • The Visitor pattern
  • B. Code conventions
  • QuantLib license
  • Bibliography
  • Notes

The Leanpub 60 Day 100% Happiness Guarantee

Within 60 days of purchase you can get a 100% refund on any Leanpub purchase, in two clicks.

Now, this is technically risky for us, since you'll have the book or course files either way. But we're so confident in our products and services, and in our authors and readers, that we're happy to offer a full money back guarantee for everything we sell.

You can only find out how good something is by trying it, and because of our 100% money back guarantee there's literally no risk to do so!

So, there's no reason not to click the Add to Cart button, is there?

See full terms...

80% Royalties. Earn $16 on a $20 book.

We pay 80% royalties. That's not a typo: you earn $16 on a $20 sale. If we sell 5000 non-refunded copies of your book or course for $20, you'll earn $80,000.

(Yes, some authors have already earned much more than that on Leanpub.)

In fact, authors have earnedover $13 millionwriting, publishing and selling on Leanpub.

Learn more about writing on Leanpub

Free Updates. DRM Free.

If you buy a Leanpub book, you get free updates for as long as the author updates the book! Many authors use Leanpub to publish their books in-progress, while they are writing them. All readers get free updates, regardless of when they bought the book or how much they paid (including free).

Most Leanpub books are available in PDF (for computers) and EPUB (for phones, tablets and Kindle). The formats that a book includes are shown at the top right corner of this page.

Finally, Leanpub books don't have any DRM copy-protection nonsense, so you can easily read them on any supported device.

Learn more about Leanpub's ebook formats and where to read them

Write and Publish on Leanpub

You can use Leanpub to easily write, publish and sell in-progress and completed ebooks and online courses!

Leanpub is a powerful platform for serious authors, combining a simple, elegant writing and publishing workflow with a store focused on selling in-progress ebooks.

Leanpub is a magical typewriter for authors: just write in plain text, and to publish your ebook, just click a button. (Or, if you are producing your ebook your own way, you can even upload your own PDF and/or EPUB files and then publish with one click!) It really is that easy.

Learn more about writing on Leanpub