Hi QuantLib
Developers,
I recently
installed QuantLib and am thoroughly impressed. I can see how much time this body of code
is going to save me in the future and as "payback" am interested in
contributing to QuantLib. Your website suggests that I describe my
experience and interests so here goes:
My C++ programming skills
are advanced, I have experience on various incarnations of Windows, several
flavours of Unix and numerous RDBM Systems.
By qualification, I am an
Electronics Engineer but went straight into IT after graduating 14 years
ago. I have played the role of analyst/programmer,
architect, lead consultant, project manager and head of professional
services. During this time, I have delivered numerous commercial systems
into the Banking, Telco, Media and FMCG sectors.
Last year I decided that
my career needed a change of direction and that Quantitative
Finance was my future.
I am really excited about this move because QF combines my passion
for finance with my talent for programming.
Since January I have been attending Paul Wilmott's CQF at
7city.
Mathematically: I am comfortable with stochastic
calculus, SDEs, PDEs, Taylor & Ito's Lemma.
Financially: I
am familiar with Derivatives pricing theory, Black-Scholes and the greeks,
Vasicek, CIR, Hull&White.
Modelling:
I have a good understanding of Binomial Trees, Monte-Carlo simulation and
Finite Difference methods.
I am currently between
jobs and have some time on my hands. I would love to help out
with say:
- IRR, Duration, Convexity etc
for a sequence of cashflows or;
- Richardson Extrapolation for
Finite Differences or;
- Testing of Vasicek and CIR
or;
- A histogram
class.
I look forward to hearing from
you.
Kind Regards
Charles Whitmore
Locked
