Implementing QuantLib
Implementing QuantLib
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.
About the Author
Reader Testimonials
Roland Lichters
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.
Table of Contents
- 1. Introduction
-
2. Financial instruments and pricing engines
-
2.1 The
Instrumentclass- 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 The
TermStructureclass- 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
-
4.1 The
CashFlowclass -
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 The
CalibrationHelperclass- 5.1.1 Example: the Heston model
- 5.2 Parameters
-
5.3 The
CalibratedModelclass- 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 The
LatticeandDiscretizedAssetclasses- 7.1.1 Example: discretized bonds
- 7.1.2 Example: discretized option
-
7.2 Trees and tree-based lattices
-
7.2.1 The
Treeclass template - 7.2.2 Binomial and trinomial trees
-
7.2.3 The
TreeLatticeclass template
-
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
-
8.1.5 The
FiniteDifferenceModelclass - 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
-
Date calculations
- Dates and periods
- Calendars
- Day-count conventions
- Schedules
-
Finance-related classes
- Market quotes
- Interest rates
- Indexes
- Exercises and payoffs
-
Math-related classes
- Interpolations
- One-dimensional solvers
- Optimizers
- Statistics
- Linear algebra
- Global settings
-
Utilities
- Smart pointers and handles
- Error reporting
- Disposable objects
-
Design patterns
- The Observer pattern
- The Singleton pattern
- The Visitor pattern
- B. Code conventions
- QuantLib license
- Bibliography
- Notes
Other books by this author
The Leanpub 60-day 100% Happiness Guarantee
Within 60 days of purchase you can get a 100% refund on any Leanpub purchase, in two clicks.
See full terms
Do Well. Do Good.
Authors have earned$12,151,660writing, 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) and EPUB (for phones, tablets and 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
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.
- #2
CCIE Service Provider Version 4 Written and Lab Exam Comprehensive Guide
Nicholas RussoThe service provider landscape has changed rapidly over the past several years. Networking vendors are continuing to propose new standards, techniques, and procedures for overcoming new challenges while concurrently reducing costs and delivering new services. Cisco has recently updated the CCIE Service Provider track to reflect these changes; this book represents the author's personal journey in achieving that certification.
- #3
CCIE SP v5.0
Łukasz Bromirski, Piotr Jablonski, and Nicholas RussoAre you striving to prepare to and pass CCIE SP lab exam? Take the opportunity and get this workbook! With the attached initial cfg files you will prepare yourself for the CCIE SP exam as well as learn SP technologies applicable to all kinds of today modern networks! This workbook covers blueprint topics and provides challenging examples.
- #4
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.
- #5
C++20 - The Complete Guide
Nicolai M. JosuttisAll new language and library features of C++20 (for those who know previous C++ versions).
The book presents all new language and library features of C++20. Learn how this impacts day-to-day programming, to benefit in practice, to combine new features, and to avoid all new traps.
Buy early, pay less, free updates.
Other books:
- #6
Windows 11 Field Guide
Rafael Rivera and Paul ThurrottThe Windows 11 Field Guide is a full-length e-book about the latest version of Microsoft Windows, aimed at those users who will upgrade from Windows 10 or acquire Windows 11 with a new PC.
- #7
Production Haskell
Matt ParsonsAre you excited about Haskell, but don't know where to begin? Are you thrilled by the technical advantages, but worried about the unknown pitfalls? This book has you covered.
- #8
The PowerShell Scripting and Toolmaking Book
Don Jones and Jeff HicksLearn the patterns, practices, and details of PowerShell Scripting and Toolmaking from the industry's two most recognized experts on the subject.
- #9
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.
- #10
The Art of Functional Programming
Minh Quang Tran, PhDA master class on the fundamentals and principles of functional programming. It contains 20 programming challenges with detailed solutions and 44 quizzes with answers and explanations. Moreover, 84 diagrams graphically illustrate how concepts and techniques work. Two real-world use cases show how to apply functional programming in practice.
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... - #3
1500 QUIZ COMMENTATI (3 libri)
3 Books
Tre libri dei QUIZ MMG Commentati al prezzo di DUE! I QUIZ dei concorsi ufficiali di Medicina Generale relativi agli anni: 2000-2001-2003-2012-2013-2014-2015-2016-2017-2018-2019-2020-2021 +100 inediti Raccolti in unico bundle per aiutarvi nello studio e nella preparazione al concorso. All'interno di ogni libro i quiz sono stati suddivisi per... - #4
Pattern-Oriented Memory Forensics and Malware Detection
2 Books
This training bundle for security engineers and researchers, malware and memory forensics analysts includes two accelerated training courses for Windows memory dump analysis using WinDbg. It is also useful for technical support and escalation engineers who analyze memory dumps from complex software environments and need to check for possible... - #5
Growing Agile: The Complete Coach's Guide
7 Books
Growing Agile: Coach's Guide Series This bundle provides a collection of training and workshop plans for a variety of agile topics. The series is aimed at agile coaches, trainers and ScrumMasters who often find themselves needing to help teams understand agile concepts. Each book in the series provides the plans, slides, handouts and activity... - #9
Statistics - All Lee Baker's Books
10 Books
This bundle includes all of the statistics books that Lee Baker has published at LeanPub 13 Statistics Books*1 PlaceNo Hassle! All in both epub and mobi formats - perfect for all devices and screen sizes. --------------------------------------------------------- *The book listed as Getting Started With Statistics is a bundle of 4 books...
