A few places remaining for Introduction to QuantLib Development - London, March 13-15th

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A few places remaining for Introduction to QuantLib Development - London, March 13-15th

Jacob Bettany
Dear List Members,

A few places still remain for Luigi's intensive 3-day 'Introduction to QuantLib Development' training course in London, March 13-15th.

Further details of what is covered are appended below and a full brochure and registration form is available at http://bit.ly/quantlib2017.

Please don't hesitate to get in touch if you have any questions.

Best wishes,

Jacob

~~~~~~~~~~~~~~~~~~~~~~~~~~

Day 1 — Overall Design

The Instrument class

Interface and rationale / Tracking market changes: the Quote class / Responding to market changes / Examples
Pricing engines

Shortcomings of the original Instrument class / The PricingEngine class / Examples / Exercises
Term structures

The TermStructure class / Yield term structures / Curve bootstrap/  Examples / Exercises

~~~~~~~~~~~~~~~~~~~~~~~~~~

Day 2—The Monte Carlo Framework

Path generation

Random-number generation / The StochasticProcess class / Implementing a stochastic process /  Path generation / Examples / Exercises
Path pricers

The PathPricer class / Implementing a path pricer / Possible extensions / Exercises
Putting it all together

Monte Carlo traits / Monte Carlo simulations / Implementing a Monte Carlo engine / Examples / Exercises

~~~~~~~~~~~~~~~~~~~~~~~~~~

Day 3—The Tree Framework

Pricing on a lattice

The Lattice class / The DiscretizedAsset class / Their interplay/  Examples
Tree-based lattices

The Tree class / Binomial and trinomial trees/ Tree-based lattices / Short-rate models
Tree-based engines

Implementing a discretized asset / Choosing a tree-based model / Calibration / Examples  / Exercises


--

Jacob Bettany | Founder | MoneyScience Ltd
Radius Enterprise Center | Clevedon Hall | Clevedon | North Somerset | BS21 7RQ
Tel: +44 1275 795823 | [hidden email] | Skype: MoneyScience


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