Dear List Members,
A few places still remain for Luigi's intensive 3-day 'Introduction
to QuantLib Development' training course in London, March 13-15th.
Further details of what is covered are appended below and a full
brochure and registration form is available at
http://bit.ly/quantlib2017.
Please don't hesitate to get in touch if you have any questions.
Best wishes,
Jacob
~~~~~~~~~~~~~~~~~~~~~~~~~~
Day 1 — Overall Design
The Instrument class
Interface and rationale / Tracking market changes: the Quote class /
Responding to market changes / Examples
Pricing engines
Shortcomings of the original Instrument class / The PricingEngine
class / Examples / Exercises
Term structures
The TermStructure class / Yield term structures / Curve bootstrap/
Examples / Exercises
~~~~~~~~~~~~~~~~~~~~~~~~~~
Day 2—The Monte Carlo Framework
Path generation
Random-number generation / The StochasticProcess class /
Implementing a stochastic process / Path generation / Examples /
Exercises
Path pricers
The PathPricer class / Implementing a path pricer / Possible
extensions / Exercises
Putting it all together
Monte Carlo traits / Monte Carlo simulations / Implementing a Monte
Carlo engine / Examples / Exercises
~~~~~~~~~~~~~~~~~~~~~~~~~~
Day 3—The Tree Framework
Pricing on a lattice
The Lattice class / The DiscretizedAsset class / Their interplay/
Examples
Tree-based lattices
The Tree class / Binomial and trinomial trees/ Tree-based lattices /
Short-rate models
Tree-based engines
Implementing a discretized asset / Choosing a tree-based model /
Calibration / Examples / Exercises
--
Jacob
Bettany | Founder | MoneyScience Ltd
Radius Enterprise Center | Clevedon Hall | Clevedon | North
Somerset | BS21 7RQ
Tel: +44 1275 795823 | [hidden email]
| Skype: MoneyScience
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