Any projects?
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Hi folks,
I've contributed a few things before to QuantLib and find myself with a little spare time on my hands. Is there anything that someone would like to see added to QuantLib? My background is as a quant with 8 years experience - in fixed-income, credit and especially hybrids... Any of that sound interesting? Cheers, Simon Sent from my BlackBerry® wireless device ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Nobody biting with project ideas? This all sounds interesting Simon. We should try
to take care of potential new contributors 2009/9/19 <[hidden email]> Hi folks, ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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No bites as yet. I thought potentially a HJM framework for FX/credit/IR hybrids such as CCDS (or to measure counterparty exposure). This could also be used for FX/IR hybrids with the judicious application of stoch-vol for the FX surface.
However, I'm interested in any suggestions. Sent from my BlackBerry® wireless device From: Dima <[hidden email]>
Date: Thu, 24 Sep 2009 10:19:09 +0200 To: <[hidden email]> Cc: QuantLib developers<[hidden email]> Subject: Re: [Quantlib-dev] Any projects? to take care of potential new contributors 2009/9/19 <[hidden email]> Hi folks, ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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On Thu, 2009-09-24 at 08:50 +0000, [hidden email] wrote:
> No bites as yet. I thought potentially a HJM framework for > FX/credit/IR hybrids such as CCDS (or to measure counterparty > exposure). This could also be used for FX/IR hybrids with the > judicious application of stoch-vol for the FX surface. > > However, I'm interested in any suggestions. Simon, it's probably much less interesting than your proposal, but given your experience in fixed income, you might have a look at the issues raised on the QuantLib-users list by Mike Benson [1] and Sergey Andreyev [2]. Give them a shout if you decide to tackle either problem. Thanks, Luigi [1] <http://thread.gmane.org/gmane.comp.finance.quantlib.user/5980> [2] <http://thread.gmane.org/gmane.comp.finance.quantlib.user/6056> -- Poets have been mysteriously silent on the subject of cheese. -- Gilbert K. Chesterton ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Simon Ibbotson
Hi,
I am in to join forces for credit stuff, I am working on a couple of things now and would like critics on the credit classes concepts. My intention is to go all the 'standard' road on credit derivatives up to the dynamical models. Also apply these to risk management (capital, etc...) Nathan Abbott also started work on ABS/Mortgage pools, I think thats another important line. I am also trying to figure out the implications of the Big Bang issues, mainly the default lookback period. If you had any thoughts on this (impact on events and probability bootstrapping) please share them. I have read some of the Brigo's work on counterparty but in the CDS context not in the IRS context your talking about. Fine to be in to learn if u put up with it, dont know how much help I could be if any. Regards Pepe Quoting [hidden email]: > No bites as yet. I thought potentially a HJM framework for FX/credit/IR > hybrids such as CCDS (or to measure counterparty exposure). This could also > be used for FX/IR hybrids with the judicious application of stoch-vol for the > FX surface. > > However, I'm interested in any suggestions. > > Sent from my BlackBerry® wireless device > > -----Original Message----- > From: Dima <[hidden email]> > Date: Thu, 24 Sep 2009 10:19:09 > To: <[hidden email]> > Cc: QuantLib developers<[hidden email]> > Subject: Re: [Quantlib-dev] Any projects? > > Nobody biting with project ideas? This all sounds interesting Simon. We > should tryto take care of potential new contributors > > > 2009/9/19 <[hidden email]> > > > Hi folks, > > I've contributed a few things before to QuantLib and find myself with a > > little spare time on my hands. Is there anything that someone would like to > > see added to QuantLib? > > My background is as a quant with 8 years experience - in fixed-income, > > credit and especially hybrids... > > Any of that sound interesting? > > > > Cheers, > > Simon > > > > Sent from my BlackBerry® wireless device > > > > > ------------------------------------------------------------------------------ > > Come build with us! The BlackBerry® Developer Conference in SF, CA > > is the only developer event you need to attend this year. Jumpstart your > > developing skills, take BlackBerry mobile applications to market and stay > > ahead of the curve. Join us from November 9-12, 2009. Register now! > > http://p.sf.net/sfu/devconf > >_______________________________________________ > > QuantLib-dev mailing list > > [hidden email] > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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