RE: Announcing QuantLib: a open-source library for quantitative finance

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

RE: Announcing QuantLib: a open-source library for quantitative finance

Gilbert Peffer
Hi Fernando,
I have read all the information on your web site and it looks really very
interesting. I also accessed the sourceForge site for QuantLib and looked at
all the available info. Furthermore I signed up with the dev and the user
mailing list. I have quite a few suggestions and also some questions, but I
need to look a bit more in detail at the source code and include files to
understand the logic you employed. Some very preliminary suggestions are

        - Include IMSL and NAG analytics interfaces. This will give the user the
possibility to access the most robust mathematical routines written under
the sun.

        - Estmiation and calibration methods such as maximum likelihood or
filtering

        - XMLing the structures is a great idea

        - A schedule class is very important, but I saw that you are already
working on that

        - I would suggest to add an ExchangeInstrument class, containing all the
exchange traded instruments for all instruments (futures, options, ...)
traded on an exchange

        - Add a <Quote> class that can be observed by objects such as yield curves
(for automatic live updates)

        - A class <StructuredNote> would be great, but I have a feeling that this
is highly non-trivial

        - Some other classes to think about and add are <Trade>, <Portfolio>,
<Flow>, <Index>, <Lattice> (sorry if I should have put something here that
has already been implemented)

        - A function parser would be excellent to have. That way, you can let users
input for instance more complicated cash flow patterns (for instance in
leveraged floaters, but in many other situations more)

        - An interface to MatLab is certainly a good idea, but can you distribute
applications written in QuantLib and using MatLab for graphical output to
users that don't have MatLab installed? If yes great, if no, we should look
for graphic freeware.

These are my some, as of yet unorganised thoughts to the topic. I will have
a look at the code over the weekend.

Best regards,

Gilbert


Loading...