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$11,721,492writing, 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
Recipes for Decoupling
Matthias NobackWrite software that survives
- #2
CQRS by Example
Carlos Buenosvinos, Christian Soronellas, and Keyvan Akbary- Leverage your Software Architecture skills by learning everything about CQRS in detail with lots of examples
- Develop faster applications by applying CQRS and fostering Read Models and Projections
- Learn how to apply CQRS into a brownfield project from a pragmatic approach
- #3
OpenIntro Statistics
David Diez, Christopher Barr, Mine Cetinkaya-Rundel, and OpenIntroA complete foundation for Statistics, also serving as a foundation for Data Science.
Leanpub revenue supports OpenIntro (US-based nonprofit) so we can provide free desk copies to teachers interested in using OpenIntro Statistics in the classroom and expand the project to support free textbooks in other subjects.
More resources: openintro.org.
- #4
Maîtriser Apache JMeter
Philippe Mouawad, Bruno Demion (Milamber), and Antonio Gomes RodriguesToute la puissance d'Apache JMeter expliquée par ses commiteurs et utilisateurs experts. De l'intégration continue en passant par le Cloud, vous découvrirez comment intégrer JMeter à vos processus "Agile" et Devops.
If you're looking for the newer english version of this book, go to Master JMeter : From load testing to DevOps
- #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
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
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.
- #8
Mastering STM32 - Second Edition
Carmine NovielloWith more than 1200 microcontrollers, STM32 is probably the most complete ARM Cortex-M platform on the market. This book aims to be the most complete guide around introducing the reader to this exciting MCU portfolio from ST Microelectronics and its official CubeHAL and STM32CubeIDE development environment.
- #9
Introduction to Data Science
Rafael A IrizarryThe demand for skilled data science practitioners in industry, academia, and government is rapidly growing. This book introduces concepts from probability, statistical inference, linear regression and machine learning and R programming skills. Throughout the book we demonstrate how these can help you tackle real-world data analysis challenges.
- #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
- #2
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
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... - #4
Software Architecture
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... - #8
All the Books of The Medical Futurist
6 Books
We put together the most popular books from The Medical Futurist to provide a clear picture about the major trends shaping the future of medicine and healthcare. Digital health technologies, artificial intelligence, the future of 20 medical specialties, big pharma, data privacy, digital health investments and how technology giants such as Amazon... - #10
Practical FP in Scala + Functional event-driven architecture
2 Books
Practical FP in Scala (A hands-on approach) & Functional event-driven architecture, aka FEDA, (Powered by Scala 3), together as a bundle! The content of PFP in Scala is a requirement to understand FEDA so why not take advantage of this bundle!?
