Re: Plans for future releases and call for contributions

Posted by steve.affine on
URL: http://quantlib.414.s1.nabble.com/Plans-for-future-releases-and-call-for-contributions-tp9272p9276.html

Luigi Ballabio wrote

This year, we're planning to finally take the next step and release
QuantLib 1.0.  I'll draft a plan and ask for specific contributions
later in this post; but before that, please let me share a few thoughts.

I think this is great news, and look forward to the official release.

I'm spending a bit of time with QuantLib for some securities consulting work at Affine, and one general comment about QuantLib is that IMHO it's fairly complex to use if you just want to do some simple option pricing.
a) I think it would be great if we can produce some high-level documentation/tutorials on how the class library is designed, what are the fundamental classes (Instrument, PricingEngine etc) and how these hang together.
b) I think it would also be valuable if we can write some simple facade classes (or example code) for e.g. vanilla B&S/Binomial where you can just pass in a simple instrument definition (strike, put/call, expiry etc.), pricing parameters (underlying, vol, rate) and get the NPV and greeks (maybe based on the EquityOption.cpp example).

I would imagine that (a) would need to be done by one of the core developers, but I'd be happy to contribute on (b) if it's something we feel would be useful.

cheers
Steve

affine group limited
http://www.affine.hk