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Willing to contribute to Quantlib

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Maxime Biette

Willing to contribute to Quantlib

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

+33607717007

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Luigi Ballabio

Re: Willing to contribute to Quantlib

Maxime,
that's great. Are you familiar with QuantLib already? What
version-control tools does your team use?

Later,
Luigi

On Fri, Jan 27, 2012 at 8:52 AM, Maxime Biette <[hidden email]> wrote:

> 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
> +33607717007
>
> ------------------------------------------------------------------------------
> Try before you buy = See our experts in action!
> The most comprehensive online learning library for Microsoft developers
> is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
> Metro Style Apps, more. Free future releases when you subscribe now!
> http://p.sf.net/sfu/learndevnow-dev2
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Maxime Biette

Re: Willing to contribute to Quantlib

We really do appreciate your consideration for our proposal.

So far, we have been looking/studying the design patterns used in QuantLib and the different modules. Thanks to our studies (oriented partly in IT systems), we have a good understanding of the patterns such as the Observer since we have been using it several times. Actually, we wanted to get your approval before focusing in the study of the whole framework. We started to see some parts of our algorithm that may be replaced by QuantLib modules.
We are motivated to develop our tool respecting your specifications. That will also be a way to ensure the EXCEL integration afterwards.

Concerning the version-control tool, we are quite well familiarized with SVN (Subversion). That is the one we are furnished with at our school.

On Fri, Jan 27, 2012 at 10:37 AM, Luigi Ballabio <[hidden email]> wrote:

Maxime,
that's great. Are you familiar with QuantLib already? What
version-control tools does your team use?

Later,
Luigi

On Fri, Jan 27, 2012 at 8:52 AM, Maxime Biette <[hidden email]> wrote:
> 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
> <a href="tel:%2B33607717007" value="+33607717007">+33607717007
>

> ------------------------------------------------------------------------------
> Try before you buy = See our experts in action!
> The most comprehensive online learning library for Microsoft developers
> is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
> Metro Style Apps, more. Free future releases when you subscribe now!
> http://p.sf.net/sfu/learndevnow-dev2
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

--
Maxime Biette

ECE Paris 4th year student in Finance Engineering

Students' representative of group 4FII2

Vice-president Web of L'Expression

cellphone: +33607717007