These are good examples to start with, not only to test the library but also
to give people that are not-so-strong on the C++ side a feel for how things
are implemented. I would add examples on (algebraic) curve fitting using
tradable cash instruments (bonds, MM, futures, swaps) or on optimisation of
a portfolio to the list. I could volunteer for this although without hard
deadlines. There is a considerable number of people that would benefit from
this more mundane part of QuantLib.
Cheers, Gilbert
-----Mensaje original-----
De:
[hidden email]
[mailto:
[hidden email]]En nombre de Maxim
Sokolov
Enviado el: 09 July 2001 23:40
Para:
[hidden email]
Asunto: [Quantlib-users] QL examples
Hi!
I believe that examples should be nontrivial, interesting and useful for
library testing. What do you think?
To start with I'll write two examples:
BSM European Option Test:
Goal: tests errors of the solutions using different methods.
Computes and compares European call value using BSM formula, Monte-Carlo and
Finite-Differences method, displays relative error.
Tests put-call parity.
Hedging error example:
Goals: shows usage of the QL for experimental study.
Computes profit/loss of the short European option position due to discrete
hedging.
It would be nice to receive your example ideas.
Best wishes,
Maxim
Locked
