We have developed a software package named Option Engine that implements 27 modules of the
QuantLib software library in a grid environment consisting in the
Platform Symphony Enterprise Grid package. These modules evaluate the prices of several kinds of traded financial options. The first 25 modules belong to the Vanilla Option Engines of QuantLib (
http://quantlib.org/reference/group__vanillaengines.html), the last 2 modules have been added to the QuantLib library version 0.9.7 (
http://quantlib.org/reference/class_quant_lib_1_1_integral_heston_variance_option_engine.html,
http://quantlib.org/reference/class_quant_lib_1_1_perturbative_barrier_option_engine.html) and are derived from the research work of
Francesca Mariani,
Maria Cristina Recchioni,
Francesco Zirilli and of their co-workers.
QuantLib is known to the readers of this website.
Symphony is a grid computing middleware that enables to build and deploy rapidly distributed services through a single, high-level paradigm for multi-core and multi-node environments. Platform Symphony is widely deployed by financial institutions to process computer and time-sensitive applications, such as trading, pricing, risk analysis, profit and loss reporting and trade settlement, in real time across an Enterprise Grid computing infrastructure.
The main goal of this project is to enable QuantLib modules to the use on a computing grid thanks to the Symphony environment. For a more detailed explanation of the Option Engine project and to download the Option Engine package visit the website:
http://www.ceri.uniroma1.it/ceri/zirilli/w5.
Francesca Mariani is interested in comments, suggestions about the Option Engine package and in considering possible developments of this project.
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