Posted by
Gilbert Peffer on
Jul 06, 2001; 3:15pm
URL: http://quantlib.414.s1.nabble.com/Books-about-finance-tp1726p1727.html
>
>Hi...
>
>Do you know any books about finance that I can read to understand your
>library?
>
>I have one called "Financial Analysis" by Bill Rees (ISBN 0132882833) but
>this doesn't cover everything in QuantLib. I need more. Who can help?
>
>Mohammed
This is a highly non-trivial issue. The QuantLib library is by
industry-standards pretty sophisticated in its implementation details. There
is no single book I know from which one can extract the necessary info to
understand both the basic stuff (such as conventions or
real-world-yield-curve-boot-strapping) and the more advanced things
(instrument valuation [both cash and derivs]). So I would say that even
though Hull is an excellent book for both beginners and more advanced users,
it will not help that much in understanding, for instance, how to calculate
asset swap spreads or option adjusted spreads taking into account
nitty-gritty convention stuff or financing issues. An industry-style library
must take this into account, and code can easily become incomprehensible,
unless it comes with detailed tutorials [something to think about for the
literary inclined :) ].
My suggestion would be to pick out a specific area of interest or something
you need to implement and then mail the specific issues to the list. People
can then either point to references or explain how it works. But this is
just my opinion. Hull is still a good read.
Best wishes, Gilbert
>
>
>_______________________________________________
>Quantlib-users mailing list
>
[hidden email]
>
http://lists.sourceforge.net/lists/listinfo/quantlib-users>