Introduction

[Vivek Rai-2]

Hi Guys,

I am a developer with a background in finance (mostly primebrokerage,
equity trading, asset management) . I have done c++ programming in the
past, and have been mostly developing in java/j2ee (and some python in
my spare time) for past 6 years.

I have not done much C++ programming in past 2-3 years, but I think my
understanding of OO programming and design patterns is OK.

I had studied electrical engineering, and had done some advanced
Mathematics (PDE, statisics and probablity, Fourier transforms etc) at
the time (graduated in 1996), but again, not having used much of it in
my day job, I would need some "jump start" to get my mental batteries
charged again.

I see this project as a perfect oppurtunity to work on something
exciting (which is sadly lacking in my day job :( ).. and also to keep
myself up to pace with advanced maths.

Some questions:
A. Given my skills, how and where could I contribute?
B.  what is the best way to get started with this project?
C. What books would you guys recommend ? (esp for the mathematical background)

Cheers,
Vivek

[Luigi Ballabio]

Vivek,
        apologies for the delay.

On Sun, 2006-10-29 at 23:40 +0000, Vivek Rai wrote:
> I see this project as a perfect oppurtunity to work on something
> exciting (which is sadly lacking in my day job :( ).. and also to keep
> myself up to pace with advanced maths.
>
> Some questions:
> A. Given my skills, how and where could I contribute?

You might have a look at the todo lists at
<http://quantlib.org/reference/overview.html> and
<http://quantlib.org/reference/todo.html> to see if you find anything
that rings a bell.  Writing test cases for currently untested classes
might be useful too, even though it hardly qualifies as "something
exciting" :)


> B.  what is the best way to get started with this project?

You might start from how the library can be used (you can look at the
examples, or some of the test cases) and work inwards to see how it
works. We're planning to provide some more documentation, but it's a
slow process.


> C. What books would you guys recommend ? (esp for the mathematical background)

I'd go for the Joshi ones (the one on mathematical finance and the one
on finance and design patterns.) The fact that Mark started contributing
to QuantLib does not bias the choice in any way :)

Later,
        Luigi


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

All generalizations are dangerous, even this one.
-- Alexandre Dumas

[Vivek Rai-2]

Hi Luigi, 

You might have a look at the todo lists at
< http://quantlib.org/reference/overview.html> and
<http://quantlib.org/reference/todo.html> to see if you find anything
that rings a bell.  Writing test cases for currently untested classes
might be useful too, even though it hardly qualifies as "something
exciting" :)


> B.  what is the best way to get started with this project?

You might start from how the library can be used (you can look at the
examples, or some of the test cases) and work inwards to see how it
works. We're planning to provide some more documentation, but it's a
slow process.


> C. What books would you guys recommend ? (esp for the mathematical background)

I'd go for the Joshi ones (the one on mathematical finance and the one
on finance and design patterns.) The fact that Mark started contributing
to QuantLib does not bias the choice in any way :)

Yes Fernando had recommended them as well, I have just received them from amazon, and have started reading them. Hopefully, I should be up-to-speed in a couple of weeks, and get working on the project.

Cheers,
Vivek