RE Willing to contribute to Quantlib

[tallent_e]

Salut Maxime.

A straight way to submit your developments is via the Quantlib page on sourceforge. Right?

Are you aware of researches based on the Schwartz & Smith's paper? (I mean it is quite 'old' now. Right?)

For my part, I'm interested in your development process, from the implementation of the model to your "thinking of" the C++ code. I have very few experience on that. I'd be keen to discuss with you, If you wish.

Anyway, good luck.
Edouard
 
--
http://quantcorner.wordpress.com


8. Willing to contribute to Quantlib (Maxime Biette)

===========================
Message: 8
Date: Fri, 27 Jan 2012 08:52:44 +0100
From: Maxime Biette
Subject: [Quantlib-dev] Willing to contribute to Quantlib
To: "[hidden email]"
       
Message-ID:
Content-Type: text/plain; charset="utf-8"

Dear Quantlib community,

I'm contacting you today to submit you a proposal related to QuantLib. I'm
actually studying financial engineering in ECE Paris, Engineering School
(in France).

In the framework of my studies, I'm working on a one-year project consisting
in developing a financial tool. I'm actively working with a team composed
of six people.
Since we look forward to broadcast it thanks to the OpenSource "pipe", and as
QuantLib is well-known all over the world, my team would like to
participate.
Then we need your approval to take part.

*Let me give you a short overview of the work in progress. It is based
on Schwartz
and Smith (2000) paper : Short-Term Variations and Long-Term Dynamics in
Commodity Prices.*
*Their research is aimed to describe the processes of commodity products with
a two-factor model. Concerning our project, we want to implement efficiently
their theory to price Crude Oil spot in the first place. Then the final aim
is to predict the value of financial instruments from the
spot : options, caps, floors, futures...*


*The added-value is that no full implementation has been done so far in C++
and other 'high level' languages. Hence it offers the opportunity to many users
to make use of this approach. That may even be an add-on to their paper
somehow (it allows people to check its performance). It is a very
known paper so it is of interest to broadcast this tool.*

(An optional goal is to build a handy GUI allowing many actions to the user:
to display special statistics or characteristics, to allow an adaptive
GUI... But that may not concern the QuantLib project actually)
The implementation of the algorithm has already been made with MATLAB
(especially for testing).


I thank you for considering my request in advance.

Kinds regards,

--
Maxime Biette
[phone]

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