Re: Fw: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation
Posted by
Robert Philipp on
URL: http://quantlib.414.s1.nabble.com/Fw-Quantlib-users-OFF-TOPIC-Book-on-Term-Structure-Implementation-tp11528p11529.html
I use QL-SWIG. works reliably. JNI doesn't incur a performance hit if used carefully. May need to learn SWIG to expose QL methods that aren't yet exposed.
Robert Philipp
Synapse Financial Engineering
703.623.4063 (mobile)
703.537.0119 (fax)
Billy,
forwarding over to the Jquant-dev list.
JQuantLib may not have Bonds Fully implemented at this point, however:
You can subscribe to the JQuantLib Mailing List.
Once you settle on a project,
Please feel from to share the requirements on the JQL forum.
there is a chance that someone may shadow you on this effort.
Best of Luck and Best Regards,
----- Forwarded Message ----
From: "Johnson, Cedrick W." <[hidden email]>
To: [hidden email]
Sent: Tue, January 18, 2011 8:58:32 PM
Subject: Re: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation
you may want to take a
look at JQuantLib:
http://www.jquantlib.org/index.php/Main_Page
I see it was updated on jan 17, based on quantlib 0.9.7 so far..
-c
On 01/18/2011 12:35 PM, Billy Ng wrote:
I am a MSc student planning for a project.
This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE.
Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach?
My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list.
Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model?
Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"?
Under QuantLib, any good example for reference?
Is FittedBondCurve.cpp a good start?
Many Thanks
Billy Ng
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