C# Price engines, BlackScholes MonteCarlo Heston?

[afpTeam]

Hi all,

I'm new to the QL mailing list, following research on financial libraries.
I have some basic questions I hope won't over-generalize the list.

I'm interested in creating a mock price server using C#, than can provide
pricing models in various forex and futures index types of formats.  My
hopes are to create a system that will allow a few users to log onto the
server to acquire feed source and then build a mock clearing and exchange
engine behind it for simulating trading techniques, arbitrage, loss
prevention and other similar systems.  I'm a novice mathematician and
programmer at best, but I tend to stick with it and get by for the most.

I'm interested in Monte Carlo, Black Scholes and Heston pricing models to
synthesize price and volatility shapes.

I am not familiar with using SWIG which appears necessary for C#
implementation.

It also appears the price engines are going through design change, albeit I
don't mind using a less accurate model for development.

My questions then are:

1) Are the price engines usable for some or most of the goals I'm shooting
for?
2) Is there any kind detailed help on using SWIG?
3) Are the Windows binaries adequate for this approach?
4) Would anyone consider writing a brief few steps to get me started?

I would be glad to commit a link back to the working facility once I have it
running and post examples for others on the QL website if the results were
deemed worthy.  I would also consider submitting a tutorial for Swig/C#
implementation, once I have it figured out.

Regards and thank you in advance,

Mike Wilson



---
avast! Antivirus: Outbound message clean.
Virus Database (VPS): 000714-2, 02/16/2007
Tested on: 2/16/2007 11:57:58 PM
avast! - copyright (c) 1988-2007 ALWIL Software.
http://www.avast.com




-------------------------------------------------------------------------
Take Surveys. Earn Cash. Influence the Future of IT
Join SourceForge.net's Techsay panel and you'll get the chance to share your
opinions on IT & business topics through brief surveys-and earn cash
http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

Hi Mike,
        apologies for the delay.

On Fri, 2007-02-16 at 23:57 -0500, afpTeam wrote:
> I'm interested in creating a mock price server using C#, than can provide
> pricing models in various forex and futures index types of formats. [...]
> I'm interested in Monte Carlo, Black Scholes and Heston pricing models to
> synthesize price and volatility shapes.
>
> I am not familiar with using SWIG which appears necessary for C#
> implementation.

Not really. The released QuantLib-SWIG sources already contain the
generated SWIG wrappers. There's no need for you to use SWIG yourself,
unless you want to modify the bindings and regenerate them. You can use
the provided solution file for Visual Studio to compile the bindings.

> My questions then are:
>
> 1) Are the price engines usable for some or most of the goals I'm shooting
> for?

Can you detail your goals a bit more?

> 2) Is there any kind detailed help on using SWIG?

As I said, you should not need it. If you downloaded the released
sources, open the provided solution with Visual Studio and compile it.
Before doing this, you'll probably have to set the environment variable
QL_DIR to the path of your QuantLib directory (e.g., C:\Programs
\QuantLib). Also, you must have compiled QuantLib with the same version
of Visual Studio and the same configuration (release, debug or whatever)
before compiling the C# bindings. Feel free to write back if anything
goes wrong.

> 3) Are the Windows binaries adequate for this approach?

I'm not sure what you mean. We only release the sources, and as far as I
know there's nobody providing binaries. Also (I'm afraid I'm answering
most of your questions with more questions) what do you mean by
"adequate"? Accuracy? Speed? Other requirements such as multi-threading?

Later,
        Luigi


----------------------------------------

Everything that can be invented has been invented.
-- Charles Duell, Director of U.S. Patent Office, 1899



-------------------------------------------------------------------------
Take Surveys. Earn Cash. Influence the Future of IT
Join SourceForge.net's Techsay panel and you'll get the chance to share your
opinions on IT & business topics through brief surveys-and earn cash
http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users