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    Archived pages: 14 . Archive date: 2013-12.

  • Title: QuantLib: a free/open-source library for quantitative finance
    Descriptive info: .. A free/open-source library for quantitative finance.. Slides from the talks at the QuantLib User Meeting 2013.. are now available.. Get QuantLib.. Head to our.. download.. page to get the latest official release, or check out the latest development version from our.. git.. repository.. QuantLib is also available in.. other languages.. Documentation.. Documentation is available.. in several formats from a number of sources.. You can also read our.. Installation instructions.. to get QuantLib working on your computer.. Need Help?.. If you need to ask a question, subscribe to our.. mailing list.. and post it there.. Before doing that, though, you might want to look at the.. FAQ.. and check if it was already answered.. Found a bug?.. If you have a patch, open a pull request on.. GitHub.. or post it to our.. patch manager.. Otherwise, report the bug on our.. issue tracker.. Want to contribute?.. Just fork our repository on.. and start coding (instructions are.. here.. ).. Please have a look at our.. developer intro.. and.. guidelines.. More info.. Here is the QuantLib.. license.. , the.. list of contributors.. , and the.. version history.. The project page on Sourceforge is available at.. this link.. Hosted by.. Supported by.. The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance.. QuantLib is a.. free.. /.. open-source.. library for modeling, trading, and risk management in real-life.. QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme.. The.. QuantLibAddin.. QuantLibXL.. project uses.. ObjectHandler.. to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.. org Calc.. Bindings to  ...   quants are wasting their time writing C++ classes which have been already written thousands of times.. By designing and building these tools in the open, QuantLib will both encourage peer review of the tools themselves, and demonstrate how this ought to be done for scientific and commercial software.. Dan Gezelter's.. talk.. at the first Open Source/Open Science conference discussed how the scientific tradition of peer review fits well with the philosophy of the Open Source movement.. Open standards are the only fair way for science and technology to evolve.. The library could be exploited across different research and regulatory institutions, banks, software companies, and so on.. Being a free/open-source project, quants contributing to the library would not need to start from scratch every time.. Students could master a library that is actually used in the real world and contribute to it in a meaningful way.. This would potentially place them in a privileged position on the job market.. Researchers would have a framework at hand, which vastly reduces the amount of low-level work necessary to build models, so to be able to focus on more complex and interesting problems.. Financial firms could exploit QuantLib as base code and/or benchmark, while being able to engage in creating more innovative solutions that would make them more competitive on the market.. Regulatory institutions may have a tool for standard pricing and risk management practices.. The QuantLib.. is a modified BSD license suitable for use in both free software and proprietary applications, imposing no constraints at all on the use of the library.. A few companies have committed significant resources to the development of this library; notably.. StatPro.. , a leading international risk-management provider, where the QuantLib project was born..

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  • Title: QuantLib Documentation
    Descriptive info: Official QuantLib Documentation.. QuantLib reference manual.. [.. HTML.. ].. The reference manual is also available for offline reading from the SourceForge.. download page.. Other information.. Books.. Implementing QuantLib.. (in progress).. Ballabio, L.. Available from.. the accompanying blog.. Slides.. Dimitri Reiswich.. contributed the slides he used during a course he taught, along with the corresponding code:.. Boost introduction.. PDF.. ].. QuantLib introduction, part I.. QuantLib introduction, part II.. code samples.. ZIP.. Marco Marchioro.. has made available the slides for his derivatives class at Milan University, in which he uses QuantLibXL for teaching.. They can be downloaded from the.. Advanced Derivatives.. page on his site,.. http://www.. marchioro.. org/.. , along with the corresponding spreadsheets and additional material.. QuantLib User Meeting 2013.. The QuantLib User Meeting was held in Düsseldorf on November 13th and 14th, 2013, thanks to the sponsorship of.. IKB.. Quaternion.. d-fine.. Most presentations from the meeting are available:.. Luigi Ballabio.. 's.. opening keynote.. ;.. Michael von den Driesch.. 's talk,.. QuantLib at IKB.. Roland Lichters.. Cross Asset CVA Application.. André Miemiec.. Pricing of Accreting Swaptions using QuantLib.. Peter Caspers.. Markov  ...   presentation,.. Yield curves for forward Euribor estimation and CSA-discounting.. , are available here [.. Risk simulations for a bond in QuantLibXL.. , are available from the.. Conferences.. , along with the corresponding spreadsheet.. A screencast of.. Code Arbitrage: or, how to get features for free in QuantLib.. , is available at.. http://archive.. org/details/FirstQuantlibForum.. The brochure of the forum (just a historical curiosity by now) is available [.. Blogs.. Useful QuantLib-related posts appear in a few blogs, such as:.. Klaus Spanderen's.. blog.. ;.. Bojan Nikolic's.. Édouard Tallent's.. Cogito Learning's.. Mick Hittesdorf's.. Papers.. Option Engine: A Grid-Enabled Software Package to Evaluate Financial Options.. Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli.. HPCwire (September 2009).. Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation.. abstract.. Ferdinando Ametrano, Marco Bianchetti.. In.. Modelling Interest Rates.. , Fabio Mercurio, ed.. , Risk Books, Incisive Media, 2009.. Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions.. abstract/download.. Ferdinando Ametrano, Mark S.. Joshi (2008).. Why Use QuantLib?.. Firth, N.. P.. (2004).. Press.. Four years of open source financial models.. Wilmott Magazine (September 2004)..

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  • Title: QuantLib Download Page
    Descriptive info: Download QuantLib.. The latest QuantLib release is version 1.. 3 (July 24th, 2013).. Source packages for.. all platforms.. are available from the SourceForge.. in a number of different formats.. Compiling QuantLib requires a working.. Boost.. installation; Boost 1.. 34.. 1 or later is needed.. Advanced users may want  ...   find the latest version of the different QuantLib packages in the "unstable" (a.. k.. a.. "Sid") distribution; see the.. Debian site.. for a list of available packages.. Eager Debian users not wanting to wait for the library to be packaged may acquire QuantLib from the SourceForge link above..

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  • Title: QuantLib Git Repository
    Descriptive info: QuantLib Git Repository.. Using Git.. If you're new to Git, you can read the free.. Pro Git.. book; its first couple of chapters contain the information you need to get started.. Also,.. the commit guidelines in chapter 5.. 2.. are suggested reading, especially the part on commit messages.. Repository access.. For the time being, the main repository is the one located on GitHub at.. https://github.. com/lballabio/quantlib.. ; from there, you can also browse the code and the commit history.. If you only want to check out the code, you can clone it directly by issuing the command.. git clone https://github.. git.. (if you're using some other tool, the actual steps might vary but the same URL can be used).. However, and especially if you want  ...   main repository.. Note for C++ Unix users.. : if you use Git, you will need some GNU tools that usually only developers use, and which are not required to build QuantLib from released tarballs.. These are automake, autoconf, libtool, GNU m4, GNU make, and others which might escape me now.. They all come with recent GNU/Linux distributions.. To begin the build process from a Git working copy, start with:.. sh.. /autogen.. sh.. which will prepare the package for compilation.. You can then use.. /configure.. make.. in the usual way.. Git commit messages.. If you want to stay abreast of the latest changes in the repository, GitHub provides an RSS feed which is updated each time a commit is made; you can subscribe at.. com/lballabio/quantlib/commits/master.. atom..

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  • Title: QuantLib in other languages
    Descriptive info: Other languages and platforms.. QuantLib is.. available.. as a C#, Guile, Java, MzScheme, Perl, Python, and Ruby module by means of.. SWIG.. Experimental bindings to GNU R and Objective Caml are also available; feedback is welcome.. Compilation of the Java module on Windows is performed by means of.. sKWash.. A guide to the process can be found.. A guide to the compilation of the Java module on Linux is available.. exports a procedural interface to a number of platforms including Microsoft Excel (see the.. site) and OpenOffice.. GNU R support is provided by means of.. RQuantLib.. by Dirk Eddelbuettel.. A project for porting QuantLib to C# has started at.. QLNet.. and  ...   Pinte and Patrick Henaff.. Other projects aim at ports in a functional language.. QuantHas.. targets the Haskell language, while.. Quantifa.. is written in F#; they are looking for developers.. HQuantLib.. is another Haskell port.. Cephei.. QL.. wraps the C++ library so that it can be called from F#.. Niels Elken Sønderby has a page for the tentative Mathematica project.. QuantLibMma.. Another unrelated Mathematica extension wrapping QuantLib functionality can be found at the.. Weber und Partner.. site.. A few QuantLib functions have been ported to the Symphony grid-computing platform.. Details are available.. Finally, the.. QuantLibD.. project is a port of QuantLib in the D programming language.. The project is looking for developers..

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  • Title: QuantLib Installation
    Descriptive info: QuantLib Installation.. At this time, installation instructions are available for.. Microsoft Visual C++ 2008 and earlier.. Microsoft Visual C++ 2010.. , and.. Mac OS X.. Instructions for other platforms are in the works..

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  • Title: QuantLib Mailing Lists
    Descriptive info: Mailing Lists.. Choose a list to browse, search, and post messages.. QuantLib-users.. :.. QuantLib users general discussion list.. This list is for everything related to the QuantLib usage.. Topics about quantitative finance in general are also accepted.. (go to.. Archives.. Subscribe/Unsubscribe/Preferences.. For those more comfortable with a newsreader, a web-forum interface, or RSS feeds, the mailing list is also available through.. Gmane.. org.. or.. Nabble.. com.. QuantLib-dev.. QuantLib developers general discussion list.. This list is for everything related to the QuantLib development.. Also available at.. QuantLib-announce.. QuantLib announcement  ...   list.. If you have an announcement for the QuantLib community, please post it on quantlib-users: the QuantLib admin will forward it to quantlib-announce if appropriate.. QuantLib-jobs.. Jobs list for supply and demand of quantitative finance jobs.. You can post here: 1) job offers, 2) links to job offers, 3) your resume.. Plain text, HTML, and PDF are preferred.. Attachment are allowed as long as they are not too big.. No multiple posts, please.. All messages are archived for later browsing: please state how long your message is valid..

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  • Title: QuantLib Frequently-Asked Questions
    Descriptive info: Frequently-Asked Questions.. FAQ Revised: Thursday 06 June 2013 10:38:29.. Table of Contents.. 1.. General questions.. 1.. Is it OK to email a QuantLib developer to ask questions, or seek help, or report a bug?.. How should I report a bug?.. 3.. Thanks for this project.. How can I give back to it?.. 4.. Amazon Wish List? Aren't you ashamed of yourselves?.. 2.. Contributing to the project.. I'm interested in getting involved with the project.. What should I do?.. How do I contribute code to the project?.. 3.. Building QuantLib.. I'm having trouble building Boost.. I'm having trouble building QuantLib with MinGW.. When building QuantLib, I get a compile error about a missing boost/something header.. When building the test-suite, I encounter a linking error about libboost_unit_test_framework-xxx.. 5.. But I have no such library on my machine!.. 6.. Ok, now I have the library; and the library path is set correctly.. But I still cannot link!.. I'm having trouble building QuantLib with the Sun Studio 11 compiler.. 8.. I'm having trouble building QuantLib with the Visual C++ 7.. 1 compiler (a.. a Visual C++.. NET.. ).. 4.. Testing QuantLib.. The QuantLib test-suite fails when compiling under Mac OS X 10.. 5.. Using QuantLib.. I cannot link QuantLib to my project under Visual C++.. Programs linking QuantLib fail to run correctly under Mac OS X 10.. 6.. QuantLib features.. Why is feature X missing from QuantLib? It would be a very useful one.. 7.. QuantLib extensions.. I'm having trouble building/using QuantLibXL or QuantLibAddin.. Does QuantLib support.. NET?.. Does QuantLib support FpML? Serialization?.. 8.. QuantLib mailing lists.. How do I start a new topic?.. Well, it's not a crime.. However, we urge you to consider posting to the QuantLib mailing list instead.. Messages on the list are stored, and thus benefit the whole project: the next user with your problem will be able to find the answer by searching the archives.. Moreover, the developers can volunteer only a limited time; thus, they will employ such time to answer questions on the list (which serves the project) rather than doing private tutoring for free.. They are likely to answer you "please, post your question on the mailing list" anyway.. They might even refer you to this FAQ entry.. You can file a bug report using the.. SourceForge interface.. , or you could write to a QuantLib mailing list.. In any case please report as much details as possible.. If it is a compilation problem please state at least:.. operating system;.. compiler (version number, patch level, etc.. );.. Boost version;.. the compilation error and the file affected;.. If the test suite fails please report the output obtained by executing the test suite with the following command line options:.. --log_level=messages --build_info=yes --result_code=no --report_level=short.. In true open-source fashion, you can contribute code to the project; see the 'Contributing to the project' section below.. This is by far the preferred contribution, closely followed by using the library intensively and reporting any bugs you might find---and possibly patches for fixing them.. However, if you made money by using QuantLib and feel that, as Christmas is getting near, you want to give us a token of your gratitude---well, who am I to discourage you? (for instance, grin Luigi's wish list on Amazon UK is.. , and Nando's is.. broad grin No, we aren't.. There are many ways in which you can help the project.. You can read our.. developer introduction.. for more information.. First of  ...   better expertise in troubleshooting their libraries than we have.. I suggest you use Dev-C++ or the free VC++ Express instead.. Anyway, some guidance can be found.. ; the steps to build QuantLib are those from 1 to 5.. As mentioned in the readme, QuantLib depends on the Boost library (.. boost.. You must download and install it before building QuantLib.. After installation, you might have to setup your IDE so that the Boost headers are in its include path.. The folder including the Boost libraries in not in your link path.. See the documentation of your compiler for instructions on how to add it.. Most likely, you downloaded the Boost distribution and just copied its header files somewhere in your include path.. The Boost libraries must be built as well; see.. for instructions.. Another possibility is that you built the libraries with bjam, which in later Boost releases doesn't build all libraries by default; you'll have to run it with the.. --build-type=complete.. flag.. You're using Dev-C++ or MinGW, aren't you? gcc is looking for a library called libboost_unit_test_framework-xxx.. a, but the Boost installation process created a libboost_unit_test_framework-xxx.. lib instead.. Make a copy of the latter in the same location and rename the copy so that it has the correct extension.. If the error you're getting resembles to.. >> Assertion: (.. /lnk/init.. cc, line 1032) while processing.. /.. /ql/history.. hpp at line 135.. *** Error code 1.. you need to patch your compiler.. Sun makes the needed patches available.. ; you need the ones labeled as "Compilers back-end" and "C++".. If such error is.. c:\Program Files\Microsoft Visual Studio.. NET 2003\Vc7\include\vector(1112) : error C2065: '_Myoff' : undeclared identifier.. it is caused by the latest VC++7.. 1 implementation of.. std::vector bool.. , which compiles fine when Microsoft extensions are enabled, but fails to compile in ANSI-compliance mode (used when building QuantLib.. ) You can avoid the error by turning off ANSI compliance in the project settings.. We are aware of the problem; apparently, there are issues with global and/or static variables when using shared libraries.. As a workaround, compile QuantLib as a static library.. This can be accomplished by running configure as:.. configure --disable-shared.. This is not necessary under Mac OS X 10.. 4 or higher.. If you're encountering the linking error.. LINK : fatal error LNK1104: cannot open file "QuantLib-vcX-xx-xxx-a_b_c.. lib".. the folder including QuantLib-vcX-xx-xxx-a_b_c.. lib is not in your link path (See the menu Property Pages | Linker | Input) or you haven't really built QuantLib-vcX-xx-xxx-a_b_c.. lib yet.. Note that each build configuration produces a different library.. See the 'Contributing to the project' section in this FAQ.. The QuantLibAddin project has its own FAQ; see.. quantlibaddin.. org/faq.. html.. Not directly.. C# bindings for QuantLib are available, though; see the.. extensions page.. Not yet.. The subject has been discussed in the mailing lists (look in the archives for the relevant threads) but no actual work has been done and help is needed in this area.. Use the "New message" command on your mail client; do not reply to another post and change the subject.. Although seemingly more convenient for you, replying will cause your message to appear in the wrong thread in the mailing list archive, in the newsgroup interface at Gmane, and in mail clients that support threads.. This brings a whole lot of inconvenience on a number of people---possibly including you, as your message might be overlooked by people not interested in the original topic..

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  • Title: QuantLib - Developer intro
    Descriptive info: Developer introduction.. Developers willing to contribute to the QuantLib project should.. subscribe.. to the QuantLib-dev mailing list.. Such list is where current and future developments are discussed; your contribution to the discussions, even if only an occasional one, will be useful.. Should you want to get more involved, there are a number of things you can do.. Possibilities include:.. contribute code to the library.. Submitting a patch would be the easiest way to get your contribution into the QuantLib code tree; see the.. QuantLib FAQ.. for details.. If you plan some non-trivial contribution, you may want to post a proposal to the list and discuss it before you start coding.. It will be a very useful effort since it might be re-cycled as documentation when you actually implement your ideas.. answer questions on the QuantLib-users mailing list.. to the QuantLib-cvs mailing list and review the changes committed to the repository.. You might ask questions about the change, make further suggestions, or report  ...   have the time to provide examples, you can still contribute by writing to QuantLib-dev and proposing examples to be written by whoever accepts the task.. Even if contributions were little, their cumulative effect would be a great help to improve the library.. Moreover, each of the above are also ways to familiarize with the library (so that in time you'll become able to work on its internals) and to establish yourself as a trusted contributor.. In the latter case, you might be granted write access to the Subversion repository tree.. Finally, we might need to ask for a disclaimer from your employer stating that your contribution can be released under the QuantLib license.. Such disclaimer won't be necessary if you own the copyright of the code, but you might want to check that with your employer.. An example of such disclaimer can be downloaded.. , but you can write your own along the same lines if the wording doesn't suit your employer..

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  • Title: QuantLib Style Guidelines
    Descriptive info: QuantLib Style Guidelines.. The standard style for QuantLib code is shown in the following listing.. You can write in your own style if you don't feel comfortable with this one; however, keep in mind that consistency would enhance readability for developers accustomed to the existing body of code.. Also, there should be no real tabs in the code; four spaces should be used instead.. If you don't follow this convention, other developers are likely to see your code with the wrong indentation.. #define.. SOME_MACRO.. // all uppercase.. typedef double.. SomeType.. // camelcase, starting capital.. class.. SomeClass.. {..  ...   no leading "get".. void.. setMember.. (Real);.. // setter, leading "set".. private: Real.. member_.. // camelcase, starting lowercase,.. Integer.. anotherMember_.. // trailing underscore.. }; struct SomeStruct { Real.. foo.. // struct members:.. bar.. // no trailing underscore.. }; class SomeOtherClass { public: typedef Real*.. iterator.. // no camelcase for consistency.. typedef const Real*.. const_iterator.. // with STL conventions.. }; Size someFunction(Real.. parameter.. // one parameter per line,.. Real.. anotherParameter.. ) {.. Real localVariable = 0.. 0; if (condition).. {.. // brackets here.. localVariable += 3.. 14159;.. }.. else.. //.. here.. localVariable -= 2.. 71828;.. and here.. return 42; }..

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  • Title: QuantLib License
    Descriptive info: QuantLib License.. Non-Copylefted Free Software.. released under the.. modified BSD License.. (also known as XFree86-style license).. Open Source.. because of its license: it is.. OSI Certified Open Source Software.. OSI Certified is a certification mark of the.. Open Source Initiative.. The modified BSD License is GPL compatible as confirmed by the.. Free Software Foundation.. This License has been adopted to allow free use of QuantLib and its source, to make QuantLib flourish as a free-software/open-source project.. It allows proprietary extensions to be commercialized.. The license:.. QuantLib is Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007 Ferdinando Ametrano Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd) Copyright (C) 2003, 2004, 2007 Neil Firth Copyright (C) 2003, 2004 Roman Gitlin Copyright (C) 2003 Niels Elken Sønderby Copyright (C) 2003 Kawanishi Tomoya Copyright (C) 2004 FIMAT Group Copyright (C) 2004 M-Dimension Consulting Inc.. Copyright (C) 2004 Mike Parker Copyright (C) 2004 Walter Penschke Copyright (C) 2004 Gianni Piolanti Copyright (C) 2004, 2005, 2006, 2007 Klaus Spanderen Copyright (C) 2004 Jeff Yu Copyright (C) 2005, 2006 Toyin Akin Copyright (C) 2005 Sercan Atalik Copyright (C) 2005, 2006 Theo Boafo Copyright (C) 2005, 2006 Piter Dias Copyright (C) 2005 Gary Kennedy Copyright (C) 2005, 2006,  ...   Finance".. QuantLib includes software developed by the University of Chicago, as Operator of Argonne National Laboratory.. Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met: Redistributions of source code must retain the above copyright notice, this list of conditions and the following disclaimer.. Redistributions in binary form must reproduce the above copyright notice, this list of conditions and the following disclaimer in the documentation and/or other materials provided with the distribution.. Neither the names of the copyright holders nor the names of the QuantLib Group and its contributors may be used to endorse or promote products derived from this software without specific prior written permission.. THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED.. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE..

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  • Archived pages: 14