Posted by
Toyin Akin-4 on
URL: http://quantlib.414.s1.nabble.com/Least-Square-Monte-Carlo-tp2617p2619.html
Hi guys,
For the last 4 months I've been playing around with QuantLib, converting
this to C#.NET and building web financial pricers
using quantLib as the main pricing engine.
The initial result is hosted at : www.capetools.net, and for now this is
simply a hobby project!!
Here various financial derivatives can be priced online (I'm sure there are
many bugs.)
You may find on accessing the pricers the first time there is a bit of a lag
(can be upto 20 secs) as the pricers are
being dynamically complied on the server. After this first initial hit,
pricing should be reasonable.
There is a forum on the site if anybody wants to post any
suggestions/bugs/comments.
You can also email me @
[hidden email].
I would say that 70% of the calculations uses QuantLib functionality
directly, the other 30% are my own extensions
(Constant Maturity swaps, Libor in arrears with convexity adjustments
etc...)
I have not used the QuantLib.NET version as there seems to be a different
licence attached to it and in addition it is out of date with the C++
version. The version used on this site has all the functionality of the C++
version.
Please feel free to browse...
Best Regards,
Toyin Akin.