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About the Book

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。

About the Authors

Luigi Ballabio’s avatar Luigi Ballabio

@lballabio

Luigi Ballabio is Head of Quantitative Development at the Milan office of Confluence Technologies, Inc. He has worked there since 2000, and focuses on the development of the pricing algorithms and models at the core of its 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 1.19, 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).

Ruilong Xu’s avatar Ruilong Xu

@xuruilong100

来自中国的量化分析师(Quant),主要研究领域包括:时间序列分析、宏观计量、金融工程计算方法等,擅长使用 R 与 Python(更偏爱 R),喜爱阅读、翻译、编码与写作。

  • 我的博客:https://www.cnblogs.com/xuruilong100/
  • 我的微信:xuruilong100

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