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
Authors have earned$9,664,887writing, 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
The Leanpub 45-day 100% Happiness Guarantee
Within 45 days of purchase you can get a 100% refund on any Leanpub purchase, in two clicks.
See full terms
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
El Manual del Manager
Keyvan Akbary, Félix López, and Álvaro Salazar¿Has deseado alguna vez el haber tenido una buena introducción al rol del Engineering Manager? En este libro aprenderás lo necesario para ejercer el rol de una manera efectiva: Expectativas y Responsabilidades del Rol, 1-1s, Ayudar a Crecer, Objetivos, Planes de Carrera, Cultura, Feedback, Contratación, Cultura de Producto y mucho más.
- #2
Functional Design and Architecture
Alexander GraninSoftware Design in Functional Programming, Design Patterns and Practices, Methodologies and Application Architectures. How to build real software in Haskell with less efforts and low risks. The first complete source of knowledge.
- #3
Ansible for Kubernetes
Jeff GeerlingAnsible is a powerful infrastructure automation tool. Kubernetes is a powerful application deployment platform. Learn how to use these tools to automate massively-scalable, highly-available infrastructure.
- #4
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.
- #5
CCIE SP v4.1 - Workbook
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.
- #6
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.
- #7
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.
- #8
C++ Best Practices
Jason TurnerLevel up your C++, get the tools working for you, eliminate common problems, and move on to more exciting things!
- #9
Tame your Work Flow
Steve Tendon and Daniel DoironDo you need a high performance enterprise governance approach improving management, execution and delivery while dealing with multiple projects/products, events, stakeholders and teams? Giving you better bottom line results, faster time to market, less work, better predictability, happier employees, and delighted clients? Then learn about TameFlow!
- #10
R Programming for Data Science
Roger D. PengThis book brings the fundamentals of R programming to you, using the same material developed as part of the industry-leading Johns Hopkins Data Science Specialization. The skills taught in this book will lay the foundation for you to begin your journey learning data science. Printed copies of this book are available through Lulu.
Top Bundles
- #1
Quality Software
11 Books
The Quality Software Bundle is for managers, would-be managers, and any of us who find themselves being managed and confused. This comprehensive bundle covers the entire span of software development approaches, from hacking through waterfall, cascade, prototyping, Iterative enhancement, reusable code, off-the-shelf, to Agile teams. The bundle... - #2
The Node.js Bundle
3 Books
This bundle combines three bestselling Leanpub Node.js books into a package that gives you everything you need to get started with developing Node.js applications at an unbeatable price. - #3
The Tester's Library
8 Books
The Tester's Library consists of eight five-star books that every software tester should read and re-read. As bound books, this collection would cost over $200. Even as e-books, their price would exceed $80, but in this bundle, their cost is only $49.99. Here are the books, and why they should be in your library: Perfect Software and Other... - #4
agile
11 Books
In this bundle, you will find 10 different agile books. They are about different aspects of being agile. - finding a job - doing coding dojo's - Retrospectives - Personal kanban - a non-typical coaching book and even a book that gives you an insight in the lives of some agile people. - #5
WTFlop 6M + HU - Beta Bundle
6 Books
- #6
Growing Agile: Coach's Guide Series
4 Books
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 instructions to run a number of... - #7
Marionette.js A to Z
3 Books
Marionette.js has become a popular Backbone-based javascript library, because it helps you avoid boiler-plate code and focus on what makes your app special. But how do you get started?Whether you want to finally get started with dynamic client-side programming (like one reader did), or are an experienced front-end dev who has inherited a... - #8
Complete Scala Bundle
3 Books
Scala is a general-purpose programming language and it's getting extremely popular these days. Some say that learning Scala could be a challenging task. My experience, however, suggests that this is actually a myth that has very little to do with reality. With the right approach, learning Scala can be easy, fun and rewarding.The first book from... - #9
Build A Better Backbone App
3 Books
The best way to learn new development skills is through experience, but that takes time you don't have.Get the best of both worlds with this bundle: you'll learn how to produce modern web applications by learning from experienced developers like Derick Bailey and David Sulc. BackboneJS is one of the favorite tools on the web today, but it... - #10
People Skills—Soft but Difficult
7 Books
Perhaps you've been told that "lack of people skills" has been holding you back. No wonder: you may have had hundreds of hours of technical training, but little or no "people skills" guidance.You've heard it said that people skills are "soft," whereas technical skills are "hard." For you, though, technical skills are "easy," but people skills...
