Implementing QuantLib by Luigi Ballabio [Leanpub PDF/iPad/Kindle]
Implementing QuantLib
Implementing QuantLib
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Implementing QuantLib

This book is 85% complete

Last updated on 2016-01-25

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.

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 http://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 1.8.

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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