构建 QuantLib
构建 QuantLib
深度探索量化金融 C++ 源代码
關於本書
本书是 Luigi Ballabio 所著《Implementing QuantLib》的中译本。
QuantLib 作为量化金融领域一个具有持久生命力的开源项目，无论是在业界还是学界都有着广泛的应用和影响力。正如项目的核心开发者 Luigi 所言，随着代码和用户数量的增长，缺乏文档说明的弊端开始显现。Luigi 正是为了解决这一问题而撰写了《Implementing QuantLib》一书。
本书详细阐述了 QuantLib 中几大最主要模块的宏观设计思路，以及某些核心功能的具体实现，同时谦逊地指出了当前实现中存在的一些缺陷和问题。通过阅读本书，你可以了解到 QuantLib 如何自上而下地模拟各种金融工具的行为，如何建模特定的金融概念（例如现金流和期限结构），如何为解决各类常见的金融工程计算问题（例如随机模拟、参数校准和有限差分）提供统一的框架，等等。需要注意的是，与《Numerical Recipes in C++》和《Monte Carlo Frameworks》等书不同，本书不会教授你如何使用 C++ 编写数值计算程序，也不涉及 QuantLib 的具体使用案例。
适合阅读本书的读者：
- 金融科技领域的软件工程师。无论你想要基于 QuantLib 做二次开发，或是单纯为 C++ 代码编写其他语言的接口，对项目中存在的若干主要模块、上千个类，以及当前实现中隐藏的某些缺陷有一个整体的把握显然是很有必要的。如果你要独立开发相似的算法库，QuantLib 的架构理念、具体算法实现，甚至是经验教训都能带来极大的帮助和启发。
- 想为 QuantLib 贡献代码的专业人士。阅读本书能帮助你深入理解自己感兴趣的模块，更好地把自己的想法融入到 QuantLib 的框架之中，进而编写出有“QuantLib 风味”的代码。
- 金融工程等相关专业的教师和学生。如果厌倦了讲义里脱离现实的 toy code，想见识一下书本外的广阔天地，恭喜你来对地方了。QuantLib 的源代码是一本立足现实的活教材，强烈建议你在阅读源代码的同时浏览本书的相关章节，否则会只见树木不见树林。
- 任何想要了解 QuantLib 人。
Table of Contents
- 声明
-
译后记
- 初心
- 收获
- 彩蛋
- 鸣谢
- 译序
- 1 导论
-
2 金融工具与定价引擎
-
2.1
Instrument类- 2.1.1 接口与需求
- 2.1.2 实现
- 2.1.3 示例：利率互换
- 2.1.4 未来的发展
-
2.2 定价引擎
- 2.2.1 示例：普通香草期权
-
2.1
-
3 期限结构
-
3.1
TermStructure类- 3.1.1 接口与需求
- 3.1.2 实现
-
3.2 利率期限结构
- 3.2.1 接口与实现
- 3.2.2 贴现因子、远期利率和零息利率曲线
- 3.2.3 示例：bootstrap 一个插值曲线
- 3.2.4 示例：向利率曲线添加 z-spread
-
3.3 其他期限结构
- 3.3.1 违约概率期限结构
- 3.3.2 通胀期限结构
- 3.3.3 波动率期限结构
- 3.3.4 股票波动率期限结构
- 3.3.5 利率波动率期限结构
-
3.1
-
4 现金流与票息
-
4.1
CashFlow类 -
4.2 票息
- 4.2.1 固定利率票息
- 4.2.2 浮动利率票息
- 4.2.3 示例：LIBOR 票息
- 4.2.4 示例：有 cap/floor 的票息
- 4.2.5 产生现金流序列
- 4.2.6 其他票息和将来的开发
-
4.3 现金流分析
- 4.3.1 示例：固息债
-
4.1
-
5 参数模型与校准
-
5.1
CalibrationHelper类- 5.1.1 示例：Heston 模型
- 5.2 参数
-
5.3
CalibratedModel类- 5.3.1 示例：Heston 模型（续）
-
5.1
-
6 蒙特卡罗框架
-
6.1 路径生成
- 6.1.1 随机数生成
- 6.1.2 随机过程
- 6.1.3 随机路径生成器
- 6.2 在路径上定价
-
6.3 整合
- 6.3.1 蒙特卡罗特性
- 6.3.2 蒙特卡罗模型
- 6.3.3 蒙特卡罗模拟
- 6.3.4 示例：一篮子期权
-
6.1 路径生成
-
7 树框架
-
7.1
Lattice和DiscretizedAsset类- 7.1.1 示例：离散债券
- 7.1.2 示例：离散期权
-
7.2 树和基于树的网格
-
7.2.1
Tree类模板 - 7.2.2 二叉树和三叉树
-
7.2.3
TreeLattice类模板
-
7.2.1
-
7.3 基于树的定价引擎
- 7.3.1 示例：可赎回固息债
-
7.1
-
8 有限差分框架
-
8.1 旧框架
- 8.1.1 微分算子
- 8.1.2 演化格式
- 8.1.3 边界条件
- 8.1.4 步骤条件
-
8.1.5
FiniteDifferenceModel类 - 8.1.6 示例：美式期权
- 8.1.7 时间依赖算子
-
8.2 新框架
- 8.2.1 网格器
- 8.2.2 算子
- 8.2.3 示例：Black-Scholes 算子
- 8.2.4 初始、边界和步骤条件
- 8.2.5 格式和求解器
-
8.1 旧框架
- 9 完结
-
附录 A：零碎的知识
- 基本类型
-
日期计算
- 日期与周期
- 日历
- 天数计算规则
- 时间表
-
金融相关类
- 市场报价
- 利率
- 指数
- 行权与支付
-
数学相关类
- 插值
- 一维求解器
- 优化器
- 统计
- 线性代数
- 全局配置
-
实用工具
- 智能指针与句柄
- 错误报告
-
Disposable对象
-
设计模式
- 观察者模式
- 单体模式
- 访问者模式
- 附录 B：编码约定
- QuantLib license
- 参考文献
- 備註
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