Name
Abstract | ||
|---|---|---|
Given the complexity of over-the-counter derivatives and structured products, almost all derivatives pricing today is based on numerical methods. Large financial institutions typically have their own teams of developers who maintain state-of-the-art financial libraries, but until a few years ago, none of that sophistication was available for use in teaching and research. However, for the past decade, QuantLib, a reliable C++ open source library, has been available. In this article, the authors introduce QuantLib for pricing derivatives and document their experiences using its Python extension, QuantLib-Python, in their computational finance course at the Indian Institute of Management, Ahmedabad. The fact that QuantLib is available in Python makes it possible to harness the power of C++ with the ease of IPython notebooks for use in both the classroom and student projects. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1109/MCSE.2016.28 | Computing in Science and Engineering |
Keywords | Field | DocType |
C++ language,computer aided instruction,educational courses,financial data processing,pricing,public domain software,Ahmedabad,C++ open source library,IPython notebooks,Indian Institute of Management,QuantLib-Python extension,computational finance,computational finance courses,financial institutions,financial libraries,pricing derivatives,structured product complexity,Python,QuantLib,derivatives pricing,financial engineering,open source computing,scientific computing | Computer aided instruction,World Wide Web,Computational finance,Computer science,Theoretical computer science,Financial engineering,Stock market,Operating system,Software development,Derivative (finance),Sophistication,Python (programming language) | Journal |
Volume | Issue | ISSN |
18 | 2 | 1521-9615 |
Citations | PageRank | References |
1 | 0.38 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jayanth R. Varma | 1 | 1 | 0.38 |
| Vineet Virmani | 2 | 1 | 0.38 |