SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by semanticum
June 16th, 2012, 10:28 am
Forum: Programming and Software Forum
Topic: Open Source to learn C#
Replies: 14
Views: 14680

Open Source to learn C#

I recommend to use LINQPad for learning C#, testing your code and running database queries and quick computations: LINQPad WebsiteWhen you use the C# in a Nutshell book you can download the code examples from this book directly into LINQPad and use them.Dominik
by semanticum
May 10th, 2012, 7:54 am
Forum: Book And Research Paper Forum
Topic: credit exposure simulation paper
Replies: 2
Views: 16603

credit exposure simulation paper

This paper is available here:On the estimation of credit exposures using regression-based Monte Carlo simulation
by semanticum
November 10th, 2011, 6:48 pm
Forum: Programming and Software Forum
Topic: ISDA CDS Standard Model
Replies: 3
Views: 19317

ISDA CDS Standard Model

You could take a look at these two libraries:Piecewise flat forward yield curveFinancial date and time libaryClick on the "Source Code" tab to download the code. Best,Dominik
by semanticum
November 1st, 2011, 8:01 pm
Forum: The Quantitative Finance Code Library Project
Topic: algorithms, numerical differentiation
Replies: 24
Views: 21215

algorithms, numerical differentiation

Here is a list of Auto diff tools for C/C++: Autodiff.orgOther libraries worth looking at:Dual Numbers for Automatic DifferentiationFAD
by semanticum
October 11th, 2011, 4:10 am
Forum: Programming and Software Forum
Topic: Installing QuantLib and Boost in Visual Studio 2010
Replies: 10
Views: 20216

Installing QuantLib and Boost in Visual Studio 2010

<t>Your welcome! There are many pitfalls on the road to a proper QuantLib and Boost installation in VC10 so I thought it is better to publish my manual because I don't think it is worth that everybody has to reinvent the wheel again and again.Please let me know when you find bugs of if something is ...
by semanticum
October 10th, 2011, 1:22 pm
Forum: Programming and Software Forum
Topic: Installing QuantLib and Boost in Visual Studio 2010
Replies: 10
Views: 20216

Installing QuantLib and Boost in Visual Studio 2010

The instructions to install QuantLib and Boost in VC10 are available here.
by semanticum
October 9th, 2011, 2:52 pm
Forum: Programming and Software Forum
Topic: Installing QuantLib and Boost in Visual Studio 2010
Replies: 10
Views: 20216

Installing QuantLib and Boost in Visual Studio 2010

Yes, I am using the BoostPro installer.
by semanticum
October 8th, 2011, 5:09 am
Forum: Programming and Software Forum
Topic: Installing QuantLib and Boost in Visual Studio 2010
Replies: 10
Views: 20216

Installing QuantLib and Boost in Visual Studio 2010

I have updated the great instructions by Dimitri Reiswich to install QuantLib and Boost in VC++ 2008 and 2005 for VC++ 2010 (including the express edition). Are you interested? Let me know.
by semanticum
October 8th, 2011, 4:59 am
Forum: The Quantitative Finance Code Library Project
Topic: using boost math interface concept
Replies: 44
Views: 20287

using boost math interface concept

<t>outrun, many thanks!A rough idea: Maybe we could extend the InterfaceGenerator in xlw to create the xllfunctions.h and xllfunctions.cpp files automatically. Then we have just to add the source.h file which contains the contributed code and function to be called. This could be achieved by followin...
by semanticum
October 7th, 2011, 7:47 pm
Forum: The Quantitative Finance Code Library Project
Topic: using boost math interface concept
Replies: 44
Views: 20287

using boost math interface concept

<t>Attached you can find a zip file containing the four source code files of the QFCL XLL project mentioned in my previous post. The whole VC++10 project can't be shared here because it is too big.gbm_process.hContains the code provided by outrun without the main() function.xllfunctions.cppContains ...
by semanticum
October 7th, 2011, 1:16 pm
Forum: The Quantitative Finance Code Library Project
Topic: using boost math interface concept
Replies: 44
Views: 20287

using boost math interface concept

<t>QuoteOriginally posted by: outrunI just had a chat with semanticum, he's good at building Excell addins with xlwI'm working on some elemtatry math/distribution propery flat functions, and some Haug type formulas (closed form european gbm exotics).Together we will start some code tree experiments ...
by semanticum
October 4th, 2011, 8:07 am
Forum: The Quantitative Finance Code Library Project
Topic: Idea's for a code repository directory layout
Replies: 18
Views: 18265

Idea's for a code repository directory layout

More on the Microkernel Pattern in this Word Doc: Microkernel Pattern - an overview ...
by semanticum
October 4th, 2011, 7:02 am
Forum: The Quantitative Finance Code Library Project
Topic: The Contribution Process
Replies: 23
Views: 20035

The Contribution Process

<t>Proposal to add "Testing" to the contribution process:Contributed code needs to be delivered with tests written by the author. It is up to the developer what tools he or she is using for testingThe review for acceptance into production by the reviewers (the community) will check if the testing pa...
by semanticum
October 4th, 2011, 6:06 am
Forum: The Quantitative Finance Code Library Project
Topic: The Contribution Process
Replies: 23
Views: 20035

The Contribution Process

Regarding the section "How to Contribute?":I suggest to add "Write tests" - Or do we accept contributed code only if it is covered with unit tests?
by semanticum
October 3rd, 2011, 1:18 pm
Forum: The Quantitative Finance Code Library Project
Topic: Ideas about new open source quanfin project
Replies: 98
Views: 23480

Ideas about new open source quanfin project

QuoteOriginally posted by: outrunFor gui, we can also do it webbased. Client side web user-interfaces are very powerful now.things like the FLOT javascript plotting libraryAnother cool idea, especially as Google Chrome allows you to run C/C++ code in a native client: Native Client SDKDominik
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