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
Leanpub 無條件、無風險的 100% 滿意保證
從付款之後的 45 天內，只要點個兩下，你就可以完成退書並且取回先前支付的全數金額。退書是採用人工作業，因此可能需要花幾天的時間才能完成整個程序。
See full terms.
Do Well. Do Good.
Authors have earned$10,623,269writing, publishing and selling on Leanpub, earning 80% royalties while saving up to 25 million pounds of CO2 and up to 46,000 trees.
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), 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.
Learn more about Leanpub's ebook formats and where to read them
Top Books
- #1
Jetpack Compose internals
Jorge CastilloJetpack Compose is the future of Android UI. Master how it works internally and become a more efficient developer with it. You'll also find it valuable if you are not an Android dev. This book provides all the details to understand how the Compose compiler & runtime work, and how to create a client library using them.
- #2
Functional Programming Made Easier
Charles ScalfaniA Functional Programming book from beginner to advanced without skipping a single step along the way.
In my 40 years of programming, I've felt that programming books always let me down, especially Functional Programming books. So, I wrote the book I wish I had 5 years ago.
Functional Programming will never be easy, but it can be easier.
- #3
Stratospheric
Tom Hombergs, Björn Wilmsmann, and Philip RiecksFrom Zero to Production with Spring Boot and AWS. All you need to know to get a Spring Boot application into production with AWS. No previous AWS knowledge required.
- #4
Thinking with Types
Sandy MaguireThis book aims to be the comprehensive manual for type-level programming. It's about getting you from here to there---from a competent Haskell programmer to one who convinces the compiler to do their work for them.
- #5
A Practical Guide to Testing in DevOps Japanese Edition
Katrina Clokie, Yuya Kazama, and Masanori KawaradaKatrina Clokieによる2017年8月発行の書籍『A Practical Guide to Testing in DevOps』の日本語翻訳版です。実装前や実装中でのテストだけでなく、本番環境でのテストについて、数多くの事例を用いて語られています。
- #6
Ansible for DevOps
Jeff GeerlingAnsible is a simple, but powerful, server and configuration management tool. Learn to use Ansible effectively, whether you manage one server—or thousands.
- #7
Continuous Delivery Pipelines
Dave FarleyThis practical handbook provides a step-by-step guide for you to get the best continuous delivery pipeline for your software.
- #8
Practical FP in Scala: A hands-on approach
Gabriel VolpeA practical book aimed for those familiar with functional programming in Scala who are yet not confident about architecting an application from scratch.
Together, we will develop a purely functional application using the best libraries in the Cats ecosystem, while learning about design patterns and best practices.
- #9
Algebra-Driven Design
Sandy MaguireA how-to field guide on building leak-free abstractions and algebraically designing real-world applications.
- #10
The Python Journeyman
Robert Smallshire, Austin Bingham, and Sixty NorthOne of Python's strengths is that it's approachable and easy to learn, so that almost anyone can learn to write a basic Python program. The Python Journeyman will take you beyond that, beyond the basics. We will lead you through some of the deeper aspects of Python, and give you the skills you need to write great Python programs.
Top Bundles
- #1
CCIE Service Provider Ultimate Study Bundle
2 Books
Piotr Jablonski, Lukasz Bromirski, and Nick Russo have joined forces to deliver the only CCIE Service Provider training resource you'll ever need. This bundle contains a detailed and challenging collection of workbook labs, plus an extensively detailed technical reference guide. All of us have earned the CCIE Service Provider certification... - #2
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... - #4
Retromat eBook Bundle for Agile Retrospectives
2 Books
If you facilitate retrospectives this bundle is for you: "Plans for Retrospectives" helps beginners learn the lay of the land with tried-and-true plans. Once you know your way around, "Run great agile retrospectives" contains all 135+ activities in Retromat for you to mix and match. - #6
9 Books-Bundle: Shut Up and Code!
9 Books
"Shut up and code." Laughter in the audience. The hacker had just plugged in his notebook and started sharing his screen to present his super-smart Python script. "Shut up and code" The letters written in a white literal coding font on black background was the hackers' home screen background mantra. At the time, I was a first-year computer... - #8
The Python Craftsman
3 Books
The 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...
