OFF TOPIC: Book on Term Structure Implementation
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OFF TOPIC: Book on Term Structure Implementation
 
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I am a MSc student planning for a project. This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE. Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach? My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list. Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model? Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"? Under QuantLib, any good example for reference? Is FittedBondCurve.cpp a good start? Many Thanks Billy Ng ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: OFF TOPIC: Book on Term Structure Implementation
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http://www.jquantlib.org/index.php/Main_Page I see it was updated on jan 17, based on quantlib 0.9.7 so far.. -c On 01/18/2011 12:35 PM, Billy Ng wrote: I am a MSc student planning for a project. This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE. Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach? My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list. Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model? Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"? Under QuantLib, any good example for reference? Is FittedBondCurve.cpp a good start? Many Thanks Billy Ng ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Billy, forwarding over to the Jquant-dev list. JQuantLib may not have Bonds Fully implemented at this point, however: You can subscribe to the JQuantLib Mailing List. Once you settle on a project, Please feel from to share the requirements on the JQL forum. there is a chance that someone may shadow you on this effort. Best of Luck and Best Regards, ----- Forwarded Message ---- From: "Johnson, Cedrick W." <[hidden email]> To: [hidden email] Sent: Tue, January 18, 2011 8:58:32 PM Subject: Re: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation http://www.jquantlib.org/index.php/Main_Page I see it was updated on jan 17, based on quantlib 0.9.7 so far.. -c On 01/18/2011 12:35 PM, Billy Ng wrote: I am a MSc student planning for a project. This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE. Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach? My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list. Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model? Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"? Under QuantLib, any good example for reference? Is FittedBondCurve.cpp a good start? Many Thanks Billy Ng ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: OFF TOPIC: Book on Term Structure Implementation
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The reason I am
seeking comments on the Quantlib/SWIG approach is speed.
Any comment on the
speed of JQuantlib? I read in their
benefits "running at speeds competitive with C++"
For Quantlib, any
comment in the speed in real life deployment?
What functions are
good for speed benchmark in general, to differentiate good programming
practice?
Billy
Ng
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Re: [Quantlib-dev] Fw: OFF TOPIC: Book on Term Structure Implementation
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In reply to this post by Q Boiler
I use QL-SWIG. works reliably. JNI doesn't incur a performance hit if used carefully. May need to learn SWIG to expose QL methods that aren't yet exposed. Robert Philipp Synapse Financial Engineering 703.623.4063 (mobile) 703.537.0119 (fax)
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Re: [Jquant-devel] [Quantlib-dev] Fw: OFF TOPIC: Book on Term Structure Implementation
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Hi Billy,
Thanks very much for your message and thank you guys from QuantLib mailing lists for forwarding Billy's question to us. In order to avoid off topic messages on QuantLib mailing list, I'm finishing this answer here and I will send another message answering the question. Thanks Richard Gomes M: +44(77)9955-6813 http://tinyurl.com/frgomes twitter: frgomes JQuantLib is a library for Quantitative Finance written in Java. http://www.jquantlib.com/ twitter: jquantlib On 20/01/11 13:13, JQuantLib Developers wrote: > I use QL-SWIG. works reliably. JNI doesn't incur a performance hit if used carefully. May need to learn SWIG to expose QL methods that aren't yet exposed. > > Robert Philipp > Synapse Financial Engineering > 703.623.4063 (mobile) > 703.537.0119 (fax) > > [hidden email] > www.synapsefe.com > > On Jan 19, 2011, at 2:59 PM, Q Boiler<[hidden email]> wrote: > >> Billy, >> forwarding over to the Jquant-dev list. >> >> JQuantLib may not have Bonds Fully implemented at this point, however: >> You can subscribe to the JQuantLib Mailing List. >> >> Once you settle on a project, >> Please feel from to share the requirements on the JQL forum. >> there is a chance that someone may shadow you on this effort. >> >> Best of Luck and Best Regards, >> >> | Q. Boiler | P. (773)-21-QUANT | Blog: http://goo.gl/WxI5p >> >> >> >> >> ----- Forwarded Message ---- >> From: "Johnson, Cedrick W."<[hidden email]> >> To: [hidden email] >> Sent: Tue, January 18, 2011 8:58:32 PM >> Subject: Re: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation >> >> you may want to take a look at JQuantLib: >> http://www.jquantlib.org/index.php/Main_Page >> >> I see it was updated on jan 17, based on quantlib 0.9.7 so far.. >> >> -c >> >> On 01/18/2011 12:35 PM, Billy Ng wrote: >>> >>> I am a MSc student planning for a project. >>> This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE. >>> >>> Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach? >>> My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list. >>> >>> Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model? >>> Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"? >>> >>> Under QuantLib, any good example for reference? >>> Is FittedBondCurve.cpp a good start? >>> >>> Many Thanks >>> >>> Billy Ng >>> ------------------------------------------------------------------------------ >>> Protect Your Site and Customers from Malware Attacks >>> Learn about various malware tactics and how to avoid them. Understand >>> malware threats, the impact they can have on your business, and how you >>> can protect your company and customers by using code signing. >>> http://p.sf.net/sfu/oracle-sfdevnl >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> ------------------------------------------------------------------------------ >> Protect Your Site and Customers from Malware Attacks >> Learn about various malware tactics and how to avoid them. Understand >> malware threats, the impact they can have on your business, and how you >> can protect your company and customers by using code signing. >> http://p.sf.net/sfu/oracle-sfdevnl >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> ------------------------------------------------------------------------------ >> Protect Your Site and Customers from Malware Attacks >> Learn about various malware tactics and how to avoid them. Understand >> malware threats, the impact they can have on your business, and how you >> can protect your company and customers by using code signing. >> http://p.sf.net/sfu/oracle-sfdevnl >> _______________________________________________ >> QuantLib-dev mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > ------------------------------------------------------------------------------ > Protect Your Site and Customers from Malware Attacks > Learn about various malware tactics and how to avoid them. Understand > malware threats, the impact they can have on your business, and how you > can protect your company and customers by using code signing. > http://p.sf.net/sfu/oracle-sfdevnl > _______________________________________________ > Jquant-devel mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/jquant-devel > ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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