Posted by
Michele Ravani-2 on
URL: http://quantlib.414.s1.nabble.com/Where-should-a-beginner-begin-tp2168p2170.html
Ciao
PF> I think that the first issue is getting familiar with financial
PF> knowledge,
PF> starting with some of the books whose titles are reported in the web
PF> site
PF> and previous e-mails. I can suggest the famous Hull, and later
PF> "Implementing
PF> derivatives models" by Clewlow and Strickland. THe first gives a sound
PF> financial background, the second is full of 'real life' examples and of
PF> pseudo code.
I've read Hull, but it has been a while.
I am now re-reading 'Mastering Derivative Markets' (FT Series), which is also
rather good on the business side. I'll see if I can put my hands on
Strickland.
PF> When you have a complete idea of all the things that are involved in
PF> the pricing of a derivative, you could start using the library.
I'm not completely without an idea (although I may get stuck on trivias) as
I have been responsible for the development of pricing servers at UBS a few
years back. I was working on the framework side, but I got an idea about
the rest.
What I actually meant was more like how to tackle the code structure and
design.
For instance, if you start looking at Pricers, you'll land having to get an
idea of the instruments, models, term structures, etc. therefore getting
more than you can chew in the bargain.
PF> But I discourage you from doing so, because at some stage you could be
PF> stuck in interest rate problems (for example, you could be seriously in
PF> trouble in determining the risk free rate for long dated options,
PF> without a clear idea of an interest rate swap).
So, you think that starting with term structures and interest rate
derivatives would be a good start?
--
Michele Ravani
[hidden email]
"Those who live hoping, die singing" My Gran