Re: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation
Posted by
Billy Ng-5 on
URL: http://quantlib.414.s1.nabble.com/Fw-Quantlib-users-OFF-TOPIC-Book-on-Term-Structure-Implementation-tp11528p11531.html
The reason I am
seeking comments on the Quantlib/SWIG approach is speed.
Any comment on the
speed of JQuantlib?
I read in their
benefits "running at speeds competitive with C++"
For Quantlib, any
comment in the speed in real life deployment?
What functions are
good for speed benchmark in general, to differentiate good programming
practice?
Billy
Ng
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_PageI
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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