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SkillsCast

Introduction to QuantLib

1st November 2016 in London at CodeNode

There are 1 other SkillsCast available from Full Stack Quants- Introduction to QuantLib

Although QuantLib has been around as open source for almost 16 years, a lot of people still do not know it well enough.

QuantLib is a serious piece of kit used by many professional finance companies. It provides sophisticated pricing functionality that can confidently compete with costly off-the-shelf or in-house pricing libraries.

In this presentation we will live code a swap pricer in Excel that uses the multi-curve pricing functionality in QuantLib.
We will then go on to show examples of using QuantLib's bindings to other languages (via SWIG).

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Introduction to QuantLib

Robert Hardy

Robert Hardy is a full stack quant, with over 12 years of experience in the front office teams of major financial institutions. He has built professional portfolio management systems entirely from open source components. He experienced an epiphany when he was introduced to TDD, pair programming and Agile methods. Robert talks and blogs on topics related to software and mathematics, and with his diploma in painting and ceramics in hand he claims to even have some level of expertise in the Fine Arts.

SkillsCast

Although QuantLib has been around as open source for almost 16 years, a lot of people still do not know it well enough.

QuantLib is a serious piece of kit used by many professional finance companies. It provides sophisticated pricing functionality that can confidently compete with costly off-the-shelf or in-house pricing libraries.

In this presentation we will live code a swap pricer in Excel that uses the multi-curve pricing functionality in QuantLib.
We will then go on to show examples of using QuantLib's bindings to other languages (via SWIG).

YOU MAY ALSO LIKE:

Thanks to our sponsors

About the Speaker

Introduction to QuantLib

Robert Hardy

Robert Hardy is a full stack quant, with over 12 years of experience in the front office teams of major financial institutions. He has built professional portfolio management systems entirely from open source components. He experienced an epiphany when he was introduced to TDD, pair programming and Agile methods. Robert talks and blogs on topics related to software and mathematics, and with his diploma in painting and ceramics in hand he claims to even have some level of expertise in the Fine Arts.