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.
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
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.
- 1. Introduction
2. Financial instruments and pricing engines
- 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
- 2.1 The
3. Term structures
- 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
- 3.1 The
4. Cash flows and coupons
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
- 4.1 The
5. Parameterized models and calibration
- 5.1.1 Example: the Heston model
- 5.2 Parameters
- 5.3.1 Example: the Heston model, continued
- 5.1 The
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
- 6.1 Path generation
7. The tree framework
- 7.1.1 Example: discretized bonds
- 7.1.2 Example: discretized option
7.2 Trees and tree-based lattices
- 7.2.2 Binomial and trinomial trees
- 7.2.1 The
7.3 Tree-based engines
- 7.3.1 Example: callable fixed-rate bonds
- 7.1 The
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
- 8.1.6 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
- 8.1 The old framework
- 9. Conclusion
A. Odds and ends
- Basic types
- Dates and periods
- Day-count conventions
- Market quotes
- Interest rates
- Exercises and payoffs
- One-dimensional solvers
- Linear algebra
- Global settings
- Smart pointers and handles
- Error reporting
- Disposable objects
- The Observer pattern
- The Singleton pattern
- The Visitor pattern
- B. Code conventions
- QuantLib license
The Leanpub 45-day 100% Happiness Guarantee
Within 45 days of purchase you can get a 100% refund on any Leanpub purchase, in two clicks.
See full terms
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), EPUB (for phones and tablets) and MOBI (for 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.
C++ Best PracticesJason Turner
Level up your C++, get the tools working for you, eliminate common problems, and move on to more exciting things!
Functional Design and ArchitectureAlexander Granin
Software Design in Functional Programming, Design Patterns and Practices, Methodologies and Application Architectures. How to build real software in Haskell with less efforts and low risks. The first complete source of knowledge.
OpenIntro StatisticsDavid Diez, Christopher Barr, Mine Cetinkaya-Rundel, and OpenIntro
A complete foundation for Statistics, also serving as a foundation for Data Science.
Leanpub revenue supports OpenIntro (US-based nonprofit) so we can provide free desk copies to teachers interested in using OpenIntro Statistics in the classroom and expand the project to support free textbooks in other subjects.
More resources: openintro.org.
Mastering STM32Carmine Noviello
With more than 600 microcontrollers, STM32 is probably the most complete ARM Cortex-M platform on the market. This book aims to be the first guide around that introduces the reader to this exciting MCU portfolio from ST Microelectronics and its official CubeHAL.
R Programming for Data ScienceRoger D. Peng
This book brings the fundamentals of R programming to you, using the same material developed as part of the industry-leading Johns Hopkins Data Science Specialization. The skills taught in this book will lay the foundation for you to begin your journey learning data science. Printed copies of this book are available through Lulu.
C++20 is the next big C++ standard after C++11. As C++11 did it, C++20 changes the way we program modern C++. This change is, in particular, due to the big four of C++20: ranges, coroutines, concepts, and modules.
Atomic KotlinBruce Eckel and Svetlana Isakova
For both beginning and experienced programmers! From the author of the multi-award-winning Thinking in C++ and Thinking in Java together with a member of the Kotlin language team comes a book that breaks the concepts into small, easy-to-digest "atoms," along with exercises supported by hints and solutions directly inside IntelliJ IDEA!
Invest In Digital Health - The Medical Futurist's GuideDr. Bertalan Mesko
Artificial Intelligence and Digital Health are booming. In this book, we explain why now it's a good time to invest in Digital Health and give recommendations on where to invest by looking at the top 24 technological trends we find the most promising.
I am a Software Engineer and I am in ChargeAlexis Monville and Michael Doyle
I am a Software Engineer and I am in Charge is a real-world, practical book that helps you increase your impact and satisfaction at work no matter who you work with.
In the book, we will follow Sandrine, a fictional character who learns to think in a new way enabling her to take a different course of action.
The Hundred-Page Machine Learning BookAndriy Burkov
Everything you really need to know in Machine Learning in a hundred pages.
Software Architecture for Developers: Volumes 1 & 2 - Technical leadership and communication
2 Books"Software Architecture for Developers" is a practical and pragmatic guide to modern, lightweight software architecture, specifically aimed at developers. You'll learn:The essence of software architecture.Why the software architecture role should include coding, coaching and collaboration.The things that you really need to think about before...
The Future of Digital Health
6 BooksWe put together the most popular books from The Medical Futurist to provide a clear picture about the major trends shaping the future of medicine and healthcare. Digital health technologies, artificial intelligence, the future of 20 medical specialties, big pharma, data privacy and how technology giants such as Amazon or Google want to conquer...
Cisco CCNA 200-301 Complet
4 BooksCe lot comprend les quatre volumes du guide préparation à l'examen de certification Cisco CCNA 200-301.
CCDE Practical Studies (All labs)
3 BooksCCDE lab
"The C++ Standard Library" and "Concurrency with Modern C++"
2 BooksGet my books "The C++ Standard Library" and "Concurrency with Modern C++" in a bundle. The first book gives you the details you should know about the C++ standard library; the second one dives deeper into concurrency with modern C++. In sum, you get more than 600 pages full of modern C++ and about 250 source files presenting the standard library...
Modern Management Made Easy
3 BooksRead all three Modern Management Made Easy books. Learn to manage yourself, lead and serve others, and lead the organization.
2 BooksUnveil the power of Ansible and Vagrant with this bundle at a special price. You'll have everything you need to get started with Vagrant - learn the basics and how to create your virtual development environments, using Ansible as provisioner! About Vagrant Cookbook Vagrant Cookbook is a complete guide to get started with Vagrant and create your...
Abandon Your Job - Leaving the Rat Race with Python
8 BooksNow, get all the great Python and Freelancing books from finxter.com in one single bundle!Coffee Break Python - All Python BasicsCoffee Break Python Workbook - Practice the basics of PythonCoffee Break Python Mastery Workouts - Practice advanced Python conceptsCoffee Break Python Slicing - All about SlicingCoffee Break Python NumPy - Get started...
Programming with Ease
3 BooksAlle drei Bände der Serie Programming with Ease in einem Paket. Darin findest du alles, was ich dir zu den wichtigsten Phasen der Softwareentwicklung im Hinblick auf Clean Code Development für langfristig hohe Produktivität sagen kann.Im Band Slicing findest du die Anforderungsanalyse im Rahmen eines iterativ-inkrementellen Vorgehensmodells aus...
The Python Craftsman
3 BooksThe Python Craftsman series comprises The Python Apprentice, The Python Journeyman, and The Python Master. The first book is primarily suitable for for programmers with some experience of programming in another language. If you don't have any experience with programming this book may be a bit daunting. You'll be learning not just a programming...