SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by larryglchen
March 27th, 2014, 10:10 pm
Forum: Programming and Software Forum
Topic: Using Quantlib
Replies: 181
Views: 20418

Using Quantlib

QuoteOriginally posted by: outrunYou mean dual curve bootstrapping / OIS discounting?Basically yes. But beyond building two curves together, in fact building all rates curves together. Yes related to OIS discounting.
by larryglchen
March 27th, 2014, 3:35 pm
Forum: Programming and Software Forum
Topic: Using Quantlib
Replies: 181
Views: 20418

Using Quantlib

Does QL support curve surfaces? I guess it meaning fitting multiple rates curves (disc, libor3m, libor6m etc) at the same time, Instead of building individual curves separately. In Nomura days, we called the project KCurves.
by larryglchen
March 26th, 2014, 1:40 pm
Forum: Programming and Software Forum
Topic: Write pricing library in C#?
Replies: 11
Views: 6958

Write pricing library in C#?

<t>Thanks to both. I read your comments a few times to make sure I fully comprehend the advices, which are valuable. We had a few heated debates in the firm. Hard for us to agree still, except we agreed that it was a BIG decision. So our bank CIO asked me "Can you get the two Wilmott guys on a confe...
by larryglchen
March 24th, 2014, 9:44 am
Forum: Programming and Software Forum
Topic: Write pricing library in C#?
Replies: 11
Views: 6958

Write pricing library in C#?

<t>Thanks! It is quite confirming. QuantLib is a viable open source library for us to leverage. If we choose C#/.Net, I guess we lose the leverage on QuantLib. We are trying estimate this loss as well. Currently China has few exotic products, but the market sees rapid deregulation. Soon, we could fi...
by larryglchen
March 24th, 2014, 7:10 am
Forum: Programming and Software Forum
Topic: Write pricing library in C#?
Replies: 11
Views: 6958

Write pricing library in C#?

<t>We are a leading securities firm in China, and find ourselves needing a pricing library to cope with increasing variety and volume in Chinese derivatives market. We are planning our own pricing library and targeting it as a UNIFIED multi-assets library for the whole firm. Given that we have littl...
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