Where should a beginner begin?

[Michele Ravani-2]

Hi

I've studied physics (quite a while ago, lots forgotten), been in SW
development in banking for the last 10+ years, now in management but still
with a strong interest in development, with a rather superficial financial
knowledge.

Which would be the best way to quickly get familiar with QL?

BTW, is the ToDo list on the website still uptodate?
If yes, is there anything simple a beginner could do?

Thanks

--
Michele Ravani                  [hidden email]
"Those who live hoping, die singing" My Gran

[Xavier.Abulker]

Hi Michele,
I'm also a beginner with Quantlib but I think I'm getting more and more
familiar with it.
I would say that the different kind of pricers are quite simple.
For example I've started to price European Option, then American with
different methods like monte carlo or binonial.
then the following depends on your interest in Quant Finance.

Have fun with Quantlib.
Xavier



                                                                                                                           
                    Michele Ravani                                                                                        
                    <[hidden email]>        To:     [hidden email]                    
                    Sent by:                               cc:                                                            
                    [hidden email]       Subject:     [Quantlib-users] Where should a beginner begin?    
                    eforge.net                                                                                            
                                                                                                                           
                                                                                                                           
                    09/09/2002 00:18                                                                                      
                                                                                                                           
                                                                                                                           




Hi

I've studied physics (quite a while ago, lots forgotten), been in SW
development in banking for the last 10+ years, now in management but still
with a strong interest in development, with a rather superficial financial
knowledge.

Which would be the best way to quickly get familiar with QL?

BTW, is the ToDo list on the website still uptodate?
If yes, is there anything simple a beginner could do?

Thanks

--
Michele Ravani                  [hidden email]
"Those who live hoping, die singing" My Gran




-------------------------------------------------------
This sf.net email is sponsored by: OSDN - Tired of that same old
cell phone?  Get a new here for FREE!
https://www.inphonic.com/r.asp?r=sourceforge1&refcode1=vs3390
_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Perissin Francesco]

Ciao Michele

>Which would be the best way to quickly get familiar with QL?

I think that the first issue is getting familiar with financial knowledge,
starting with some of the books whose titles are reported in the web site
and previous e-mails. I can suggest the famous Hull, and later "Implementing
derivatives models" by Clewlow and Strickland. THe first gives a sound
financial background, the second is full of 'real life' examples and of
pseudo code.

When you have a complete idea of all the things that are involved in the
pricing of a derivative, you could start using the library. With
'derivative' it's usual to mean 'option', but you could even start with
something simpler, like futures or swaps. In the latter case the pricing
reduces to the calculation of forward rates and discounts from a yield
curve, with some date rules added (it seems trivial but it is not, trust
me!!!).
But all depends on your interest, for example if you were interested in
equity options, you could jump the above things and run directly to options.
But I discourage you from doing so, because at some stage you could be stuck
in interest rate problems (for example, you could be seriously in trouble in
determining the risk free rate for long dated options, without a clear idea
of an interest rate swap).

For the other questions I think that there are other guys which could give
you complete answers...

Good luck!!
Francesco

--
############################### DISCLAIMER #################################

This  message  (including  any  attachments)  is  confidential  and  may be
privileged.  If you have received it by mistake please notify the sender by
return  e-mail  and  delete this message from your system. Any unauthorised
use  or  dissemination  of  this  message  in  whole or in part is strictly
prohibited.  Please  note  that e-mails are susceptible to change. Banca del
Gottardo (including  its  group  companies)  shall not be liable for the
improper  or  incomplete  transmission of the information contained in this
communication  nor  for  any delay in its receipt or damage to your system.
Banca del Gottardo  (or its group companies) does not guarantee that the
integrity   of  this  communication  has  been  maintained  nor  that  this
communication is free of viruses, interceptions or interference.

############################################################################

[Michele Ravani-2]

Ciao
 
PF> I think that the first issue is getting familiar with financial
PF> knowledge,
PF> starting with some of the books whose titles are reported in the web
PF> site
PF> and previous e-mails. I can suggest the famous Hull, and later
PF> "Implementing
PF> derivatives models" by Clewlow and Strickland. THe first gives a sound
PF> financial background, the second is full of 'real life' examples and of
PF> pseudo code.

I've read Hull, but it has been a while.
I am now re-reading 'Mastering Derivative Markets' (FT Series), which is also
rather good on the business side. I'll see if I can put my hands on
Strickland.

PF> When you have a complete idea of all the things that are involved in
PF> the pricing of a derivative, you could start using the library.

I'm not completely without an idea (although I may get stuck on trivias) as
I have been responsible for the development of pricing servers at UBS a few
years back. I was working on the framework side, but I got an idea about
the rest.

What I actually meant was more like how to tackle the code structure and
design.
For instance, if you start looking at Pricers, you'll land having to get an
idea of the instruments, models, term structures, etc. therefore getting
more than you can chew in the bargain.

PF> But I discourage you from doing so, because at some stage you could be
PF> stuck in interest rate problems (for example, you could be seriously in
PF> trouble in determining the risk free rate for long dated options,
PF> without a clear idea of an interest rate swap).

So, you think that starting with term structures and interest rate
derivatives would be a good start?


--
Michele Ravani                  [hidden email]
"Those who live hoping, die singing" My Gran