Re: QuantLib-users Digest, Vol 63, Issue 7

[tallent_e]

Hello Nchekwube

you're right the qlnet.org doesn't work any longer.

nonetheless, you can download the latest version og qlnet right from sourceforege, at http://sourceforge.net/projects/qlnet/

deu, el amig de cataluñya  ;-)
édouard

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Hi,where did you get QLnet? The domain seems to have been sold by the owner....http://www.qlnet.org/I am interested as well in MC VaR but  I am not aware of any implementation.Regards 
On 8 August 2011 20:47, Nchekwube Wadike  wrote:

Hi everyone.

I was wondering if anyone had implanted VaR calculation using the monte carlo method with Quant Lib? I saw a thread about a plan to implement it but couldn’t find out if it had been done.

If it’s not the case, I would be grateful if anyone could point me into the right direction. I am new to Quant Lib so I don’t really know where to start for a VaR implementation.

Regards,

 

PS: just to precise, I am using QLnet the C# version of QuantLib.


Nchekwube Wadike
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Hi,

It is on SourceForge now: http://sourceforge.net/projects/qlnet/ .

MC VaR is not implemented though because QuantLib focuses more on pricing (thanks Edouard Tallent) and finally I think Qlnet is overkill for what I need.

Regards,

Nchekwube



From: simone pilozzi [mailto:[hidden email]]
Sent: Wednesday, August 10, 2011 2:30 PM
To: Nchekwube Wadike
Cc: [hidden email]
Subject: Re: [Quantlib-users] VaR using Monte Carlo simulations



Hi,

where did you get QLnet?

The domain seems to have been sold by the owner....

http://www.qlnet.org/

I am interested as well in MC VaR but  I am not aware of any implementation.

Regards

On 8 August 2011 20:47, Nchekwube Wadike  wrote:

Hi everyone.

I was wondering if anyone had implanted VaR calculation using the monte carlo method with Quant Lib? I saw a thread about a plan to implement it but couldn’t find out if it had been done.

If it’s not the case, I would be grateful if anyone could point me into the right direction. I am new to Quant Lib so I don’t really know where to start for a VaR implementation.

Regards,

 

PS: just to precise, I am using QLnet the C# version of QuantLib.

 

Nchekwube Wadike


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The must-attend event for mobile developers. Connect with experts.
Get tools for creating Super Apps. See the latest technologies.
Sessions, hands-on labs, demos & much more. Register early & save!
http://p.sf.net/sfu/rim-blackberry-1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users




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