Implementing QuantLib. Quantitative finance in C++: an inside look at the architecture of the QuantLib library 150268

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150268
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  • ISBN
    979-1220068925
  • Видавництво
  • Рік
    2021
  • Мова
    Англійська
  • Ілюстрації
    Чорно-білі
1'000

Все про “Implementing QuantLib. Quantitative finance in C++: an inside look at the architecture of the QuantLib library”

Від видавця

 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; it's available in all electronic formats from Leanpub.


Зміст

 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

 3. Term structures

3.1 The TermStructure class

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

 4. Cash flows and coupons

4.1 The CashFlow class

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

 5. Parameterized models and calibration

5.1 The CalibrationHelper class

5.1.1 Example: the Heston model

5.2 Parameters

5.3 The CalibratedModel class

5.3.1 Example: the Heston model, continued

 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

 7. The tree framework

7.1 The Lattice and DiscretizedAsset classes

7.1.1 Example: discretized bonds

7.1.2 Example: discretized option

7.2 Trees and tree-based lattices

7.2.1 The Tree class template

7.2.2 Binomial and trinomial trees

7.2.3 The TreeLattice class template

7.3 Tree-based engines

7.3.1 Example: callable fixed-rate bonds

 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 FiniteDifferenceModel class

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

 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

Рецензії

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Всі характеристики

  • Видавництво
  • Категорія
  • Рік
    2021
  • Сторінок
    364
  • Формат
    170х240 мм
  • Обкладинка
    М'яка
  • Тип паперу
    Офсетний
  • Мова
    Англійська
  • Ілюстрації
    Чорно-білі
  • Термін поставки
    7-10 дней

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