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Discussion of architectural issues in quantlib. The following are course notes for a distance learning course in preparation called "The Securities Market of the People's Republic of China: A Contextual Introduction ... Thus far primarily used in foreign exchange markets Valuation of listed companies Understanding PRC markets China is big. Veru big Very diverse Be careful about Rosarch's syndrome and in generalization Two challenges Reforming to a market economy ... Informal debt markets friends and family List this first because this is in some ways the most important (See work of Hernando de Soto) Much ... PRC companies Diversity of forms due to path dependent reform BUT Kirby puzzle. Why are there no private publicly traded companies in Mainland China ... Is the RMB undervalued? Much ado about nothing..... budget deficit low interest rates RMB appreciation trade deficit angry congressmen ... Political context The Law Intended to rationalize (not limit) power of state Developed in a piecemeal fashion since the early 1980's Typically ... struct Call { enum Type { cashPrice, cleanPrice }; }; struct Dividend { enum Type { dollarDividend, dividendYield }; }; Class ConvertibleBond: public Bond { public ... Some debugging tips put trace statements on everything When doing highly numerical code, using a debugger to single step usually doesn't work as well as trace ... Developer introduction Developers willing to contribute to the QuantLib project may contact either project administrators (Nando nando at users.sourceforge.net or ... The problem is that the FDM classes are too strongly linked to the Black Scholes equation making it difficult to insert other equations. Separate BS from PDE object ... !FdDividendAmericanOption seems to get unstable with large time grids.... #include #include using namespace std; using namespace QuantLib; int main() { ... This page is devoted to porting the old pricers to use finite difference pricing engines. See Main.JosephWang for more information. The steps for the port are ... Main.guest 05 Nov 2005 The good news is that Wall Street is looking for a lot of people with physics doctorates. One curious thing is that the employers at the interview assume that ... Need to separate IVP from FDM implementation Need to create surface object and find way of cleanly having FDM pricing engine return surface object Need to ... This is the start of a blog on the work I'm doing with the Quantlib library. I find it useful to write stream of consciousness on what I'm doing. The point of my ... Issues Paul Zeitz The Art of Problem Solving Probably the most useful since it goes into the psychology and strategy of problem solve more than other books. Loren C. Larson ... Here are some projects for newbies. If you are interested in any of these e mail the quantlib dev list Implement a new pricing engine Global derivatives.com has ... Beginning C Eckel, Thinking in Patterns C and Finance Duffy Joshi Intermediate and Advanced C Meyers Lakos Sutter Main.guest 05 Nov 2005 Here are some current projects FDMEngineRefactoring Project Coding Skill Financial Skill Project Time Unit Tests Low Low Low Quantlib ... Main.guest 05 Nov 2005 Here is a list of Quantitative Finance books which are being copied over the list at http://www.quantlib.org/books.shtml A very cheap source of used books are http ... General introductions to QF http://www.math.nyu.edu/faculty/kohn/ http://www.cds.caltech.edu/~yuji/courses/CDS270 BEM110.html Malliavin Calculus http://www.econ.upf ... Assuming that you are generally familiar with C and object oriented programming, quantiative finance programming has two special characteristics. First of all, it ... Main.guest 05 Nov 2005 See my lecture notes on the ChineseSecuritiesMarket This page is intended as a center for research and educational activities concerning Quantlib. If you are interested in a Linux account on wiki.quantlib.org to develop ... Here are design note for RSwig. An experimental interface between R and Swig. The patches are attached to this page and are built against CVS (although they should ... Blog for RSwig 24 Apr 2006 More work on unit tests. R SWIG now runs (although it doesn't pass) the entire SWIG unit test system. Also fixed some bugs with ... This is a holding area for R documentation SWIG and R SWIG and R R is a GPL'ed open source statistical and plotting environment. Information about R can be found at ... Todo for R SWIG To Add/Fix Check cplusplus example with static field total enabled. Seems to work Check abstractClass.i and the generated code to see if ... Could someone write a getting started with QuantLib and SWIG page? TWikiGuest 24 Jan 2005 Information about adding TracingCode into quantlib..... http://www.quantlib.org/images/QL largish.jpg Quantlib Wiki %\ \frac{\partial V}{\partial t} \frac{1}{2}\sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} rS ... Web Web Home Changes Index Search Home page Project Overview Extensions Examples History Download Mailing Lists ... This is a subscription service to be automatically notified by e mail when topics change in this Quantlib web. This is a convenient service, so you do not have to ... Quantlib Web Preferences The following settings are web preferences of the Quantlib web. These preferences overwrite the site level preferences in ., and can ... TWiki's Quantlib web /view/Quantlib The Quantlib web of TWiki. TWiki is a Web Based Collaboration Platform for the Corporate World. Statistics for Quantlib Web Month: Topic views: Topic saves: File uploads: Most popular topic views: Top contributors for topic save and ... See also the verbose WebIndex. 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