RE: QL examples

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

RE: QL examples

Ferdinando M. Ametrano-2
Hi all

Maxim wrote:

>To start with I'll write two examples:
>BSM European Option Test:
>       Goal: tests errors of the solutions using different methods.
>Computes and compares European call value using BSM formula, Monte-Carlo
>and Finite-Differences method, displays relative error.
>Tests put-call parity.
>Hedging error example:
>Goals: shows usage of the QL for experimental study.
>Computes profit/loss of the short European option position due to
>discrete hedging.
I've seen you committed these two examples to the QuantLib CVS. Thank you.

>It would be nice to receive your example ideas.
You may take a look at the QuantLib-Python test suite
Even if you're not familiar with Python the code is quite readable.

ciao -- Nando