Implementing QuantLib

Implementing QuantLib

Luigi Ballabio
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Table of Contents

Implementing QuantLib

  • 1. Introduction
  • 2. Financial instruments and pricing engines
    • 2.1 The Instrument class
    • 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
  • 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
Implementing QuantLib/Overview

Implementing QuantLib

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7 chapters
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Implementing QuantLib7 chapters

Begin ›
  1. 1. Introduction

  2. 2. Financial instruments and pricing engines

  3. A. Odds and ends

  4. B. Code conventions

  5. QuantLib license

  6. Bibliography

  7. Notes