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Implementing Quantlib

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Etienne Barrier

Implementing Quantlib

Hello Mr. BALLABIO,

We are engineering students at Arts et Métiers ParisTech and we are conducting a feasibility study to see if Quantlib can be used by structurers in banks, to implement Quantlib in FEDERAL FINANCE (CREDIT MUTUEL ARKEA).

We worked with QuantlibXL to price bonds and Vanilla options, but soon we had difficulties with it as it is explained in the power point attached. In this attached file you will find our suggestions to improve the use of Quantlib, like architecture problems we had and the lack of online help/tutorials.

As we don’t really know who to ask for advices, and because you are one of the developers, we though you would be able to help us. Please let us know if you have any idea or comments about what we have summarized in the attached file.

Sincerely,

Aymeric FRANCOISE, Rémi RUAUD, Etienne BARRIER

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improving quantlib.pptx (67K) Download Attachment

Marco Craveiro

Re: Implementing Quantlib

Salut Etienne,

Have you read Implementing QuantLib? Should give you guys a good head start.

https://leanpub.com/implementingquantlib

If you don't want to buy the book, the blog posts are good too:

http://www.implementingquantlib.com/p/archive.html

Good luck

On 5 December 2016 at 22:27, Etienne Barrier <[hidden email]> wrote:

> Hello Mr. BALLABIO,
>
>
> We are engineering students at Arts et Métiers ParisTech and we are
> conducting a feasibility study to see if Quantlib can be used by structurers
> in banks, to implement Quantlib in FEDERAL FINANCE (CREDIT MUTUEL ARKEA).
>
>
> We worked with QuantlibXL to price bonds and Vanilla options, but soon we
> had difficulties with it as it is explained in the power point attached. In
> this attached file you will find our suggestions to improve the use of
> Quantlib, like architecture problems we had and the lack of online
> help/tutorials.
>
>
> As we don’t really know who to ask for advices, and because you are one of
> the developers, we though you would be able to help us. Please let us know
> if you have any idea or comments about what we have summarized in the
> attached file.
>
>
> Sincerely,
>
>
> Aymeric FRANCOISE, Rémi RUAUD, Etienne BARRIER
>
>
>
>
> ------------------------------------------------------------------------------
> Developer Access Program for Intel Xeon Phi Processors
> Access to Intel Xeon Phi processor-based developer platforms.
> With one year of Intel Parallel Studio XE.
> Training and support from Colfax.
> Order your platform today.http://sdm.link/xeonphi
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--
Marco Craveiro

MD, Domain Driven Consulting
about: http://about.me/marcocraveiro
blog: http://mcraveiro.blogspot.co.uk
twitter: https://twitter.com/MarcoCraveiro

That the Ideas are themselves manifestations (of the Idea-Idea) and
that the Idea-Idea is a-kind-of Manifestation-Idea—which is a-kind-of
itself, so that the system is completely self-describing— would have
been appreciated by Plato as an extremely practical joke [Plato]. --
Alan Key

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igitur

Re: Implementing Quantlib

In reply to this post by Etienne Barrier

Hi,

Your PowerPoint presentation mentions that there is no forum, but clearly you've just reached it. I find this mailing list very active and helpful. This is definitely the place to ask questions that you have.

That said, my anecdotal recommendation would be to get to know Quantlib (the C++ library) first, before you try to use the QuantlibXL Excel add-in. Browse through the example projects and learn the general concepts (instruments, yield term structures, etc). Once you get how it works, and understand the objects that need to be created, the Excel add-in makes more sense.

Yes, Quantlib is complex. That's a feature.

I do somewhat agree that a comprehensive online resource with more examples would be useful. The QuantlibXL library doesn't come with a help file, but the QuantlibXL website ( http://quantlib.org/quantlibxl/allfunctions.html ) lists and describes all the add-in's functions.

regards,

Francois Botha

On 6 December 2016 at 00:27, Etienne Barrier <[hidden email]> wrote:

Hello Mr. BALLABIO,

We are engineering students at Arts et Métiers ParisTech and we are conducting a feasibility study to see if Quantlib can be used by structurers in banks, to implement Quantlib in FEDERAL FINANCE (CREDIT MUTUEL ARKEA).

We worked with QuantlibXL to price bonds and Vanilla options, but soon we had difficulties with it as it is explained in the power point attached. In this attached file you will find our suggestions to improve the use of Quantlib, like architecture problems we had and the lack of online help/tutorials.

As we don’t really know who to ask for advices, and because you are one of the developers, we though you would be able to help us. Please let us know if you have any idea or comments about what we have summarized in the attached file.

Sincerely,

Aymeric FRANCOISE, Rémi RUAUD, Etienne BARRIER

------------------------------------------------------------------------------
Developer Access Program for Intel Xeon Phi Processors
Access to Intel Xeon Phi processor-based developer platforms.
With one year of Intel Parallel Studio XE.
Training and support from Colfax.
Order your platform today.http://sdm.link/xeonphi
_______________________________________________
QuantLib-users mailing list
[hidden email]
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Eric Ehlers-3

Re: Implementing Quantlib

QuantLibXL does come with a help file. It gets packaged with the
release at:

Docs/QuantLibXL-docs-1.8.0.chm

The help file is an exact copy of the web site. I guess it's there so
that you can still get QUantLibXL help even if the internet isn't
working.

Kind Regards,
Eric

On Tue, 6 Dec 2016 11:24:24 +0200
Francois Botha <[hidden email]> wrote:

> Hi,
>
> Your PowerPoint presentation mentions that there is no forum, but
> clearly you've just reached it. I find this mailing list very active
> and helpful. This is definitely the place to ask questions that you
> have.
>
> That said, my anecdotal recommendation would be to get to know
> Quantlib (the C++ library) first, before you try to use the
> QuantlibXL Excel add-in. Browse through the example projects and
> learn the general concepts (instruments, yield term structures, etc).
> Once you get how it works, and understand the objects that need to be
> created, the Excel add-in makes more sense.
>
> Yes, Quantlib is complex. That's a feature.
>
> I do somewhat agree that a comprehensive online resource with more
> examples would be useful. The QuantlibXL library doesn't come with a
> help file, but the QuantlibXL website
> ( http://quantlib.org/quantlibxl/allfunctions.html ) lists and
> describes all the add-in's functions.
>
> regards,
>
> Francois Botha
>
> On 6 December 2016 at 00:27, Etienne Barrier <[hidden email]>
> wrote:
>
> > Hello Mr. BALLABIO,
> >
> >
> > We are engineering students at Arts et Métiers ParisTech and we are
> > conducting a feasibility study to see if Quantlib can be used by
> > structurers in banks, to implement Quantlib in FEDERAL FINANCE
> > (CREDIT MUTUEL ARKEA).
> >
> >
> > We worked with QuantlibXL to price bonds and Vanilla options, but
> > soon we had difficulties with it as it is explained in the power
> > point attached. In this attached file you will find our suggestions
> > to improve the use of Quantlib, like architecture problems we had
> > and the lack of online help/tutorials.
> >
> >
> > As we don’t really know who to ask for advices, and because you are
> > one of the developers, we though you would be able to help us.
> > Please let us know if you have any idea or comments about what we
> > have summarized in the attached file.
> >
> >
> > Sincerely,
> >
> >
> > Aymeric FRANCOISE, Rémi RUAUD, Etienne BARRIER
> >
> >
> >
> > ------------------------------------------------------------
> > ------------------
> > Developer Access Program for Intel Xeon Phi Processors
> > Access to Intel Xeon Phi processor-based developer platforms.
> > With one year of Intel Parallel Studio XE.
> > Training and support from Colfax.
> > Order your platform today.http://sdm.link/xeonphi
> > _______________________________________________
> > QuantLib-users mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
> >
>

Luigi Ballabio

Re: Implementing Quantlib

Hello Etienne,

apologies for the delay. The resources that were pointed out in the other answers are correct, but it seems like we should make them easier to find. Do you remember where you started looking for resources (the QuantLib site, the repo on GitHub, elsewhere), and what made it difficult for you to find resources?

Thanks,

Luigi

On Tue, Dec 6, 2016 at 3:27 PM Eric Ehlers <[hidden email]> wrote:

QuantLibXL does come with a help file. It gets packaged with the
release at:

Docs/QuantLibXL-docs-1.8.0.chm

The help file is an exact copy of the web site. I guess it's there so
that you can still get QUantLibXL help even if the internet isn't
working.

Kind Regards,
Eric

On Tue, 6 Dec 2016 11:24:24 +0200
Francois Botha <[hidden email]> wrote:

> Hi,
>
> Your PowerPoint presentation mentions that there is no forum, but
> clearly you've just reached it. I find this mailing list very active
> and helpful. This is definitely the place to ask questions that you
> have.
>
> That said, my anecdotal recommendation would be to get to know
> Quantlib (the C++ library) first, before you try to use the
> QuantlibXL Excel add-in. Browse through the example projects and
> learn the general concepts (instruments, yield term structures, etc).
> Once you get how it works, and understand the objects that need to be
> created, the Excel add-in makes more sense.
>
> Yes, Quantlib is complex. That's a feature.
>
> I do somewhat agree that a comprehensive online resource with more
> examples would be useful. The QuantlibXL library doesn't come with a
> help file, but the QuantlibXL website
> ( http://quantlib.org/quantlibxl/allfunctions.html ) lists and
> describes all the add-in's functions.
>
> regards,
>
> Francois Botha
>
> On 6 December 2016 at 00:27, Etienne Barrier <[hidden email]>
> wrote:
>
> > Hello Mr. BALLABIO,
> >
> >
> > We are engineering students at Arts et Métiers ParisTech and we are
> > conducting a feasibility study to see if Quantlib can be used by
> > structurers in banks, to implement Quantlib in FEDERAL FINANCE
> > (CREDIT MUTUEL ARKEA).
> >
> >
> > We worked with QuantlibXL to price bonds and Vanilla options, but
> > soon we had difficulties with it as it is explained in the power
> > point attached. In this attached file you will find our suggestions
> > to improve the use of Quantlib, like architecture problems we had
> > and the lack of online help/tutorials.
> >
> >
> > As we don’t really know who to ask for advices, and because you are
> > one of the developers, we though you would be able to help us.
> > Please let us know if you have any idea or comments about what we
> > have summarized in the attached file.
> >
> >
> > Sincerely,
> >
> >
> > Aymeric FRANCOISE, Rémi RUAUD, Etienne BARRIER
> >
> >
> >
> > ------------------------------------------------------------
> > ------------------
> > Developer Access Program for Intel Xeon Phi Processors
> > Access to Intel Xeon Phi processor-based developer platforms.
> > With one year of Intel Parallel Studio XE.
> > Training and support from Colfax.
> > Order your platform today.http://sdm.link/xeonphi
> > _______________________________________________
> > QuantLib-users mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
> >
>

------------------------------------------------------------------------------
Developer Access Program for Intel Xeon Phi Processors
Access to Intel Xeon Phi processor-based developer platforms.
With one year of Intel Parallel Studio XE.
Training and support from Colfax.
Order your platform today.http://sdm.link/xeonphi
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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