Hi there,
Let me briefly introduce myself: my name is Pedro
Nassif, I am a 4-year-C++-experienced computer engineer + MBA working at a software
provider called SOPHIS (www.sophis.net) in the finance industry. My company
sells portfolio and risk management systems for banks and hedge funds. The
product has a toolkit framework by which users are able to extend the
application via C++ API. I am a consultant on that specific field: among other
things, I customize the application via C++, creating new pricing models for
instruments in a variety of asset classes, new risk scenarios/stress tests and
so on.
I read about Quantlib project on the net and in
addition to finding it a terrific idea, I feel like being able to contribute to
it with my modest experience and expertise.
I am particularly interested in fixed income and
credit derivatives domains even though my company is stronger in the equity
derivative side.
I quickly went through your to-do list and as a starting
point, doing the greeks in the your montecarlo framework tempts me.
Please let me know your thoughts,
Kind regards,
Pedro Nassif
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