cogitolearning
March 12, 2015
C++, QuantLib, Tutorials
bonds, c++, pricing engine, quantlib
In the previous post about QuantLib Pricing engines I talked about the basic functionality of pricing engines. These are implemented by the PricingEngine and the GenericPricingEngine class. These engines provide an interface and some basic functions but the actual calculations…
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cogitolearning
February 11, 2015
Manuals, QuantLib
One of the main aims of the QuantLib library is to provide mechanisms for calculating NPVs and other characteristics of financial instruments. At the heart of these mechanisms lies the purely abstract PricingEngine class. This class provides an interface to…
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cogitolearning
March 10, 2014
Manuals, QuantLib
Bonds are a special type of instrument in which the issuer receives money from an investor. The issuer promises to pay back the principal at the maturity date and/or interest in the form of coupons at certain times during the…
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cogitolearning
March 5, 2014
Manuals, QuantLib
cashflow, Manual, npv, quantlib
When you have a series of cash flows you will normally want to know the net present value of those cash flows. The net present value (NPV) of a series of cash flows is calculated as the sum of all…
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cogitolearning
January 31, 2014
Manuals, QuantLib
cashflow, coupons, Manual, quantlib
In addition to the CashFlow class, QuanLib defines a number of helper functions that analyse cash flows. These function operate on sequences arrays of cash flows which, in QuantLib, are termed legs. typedef std::vector< boost::shared_ptr<CashFlow> > Leg; The functions for…
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cogitolearning
January 10, 2014
Code, Manuals, QuantLib, Tutorials
boost, quantlib, random numbers
In the previous post on random number generators I introduced all the random number generators (RNGs) that are available in QuantLib. In most circumstances these generators will be sufficient. However, if you take a look at the boost/random package, you…
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cogitolearning
December 2, 2013
Programming Tips, QuantLib, Tutorials
boost, c++, quantlib, random numbers, tutorial
QuantLib uses random numbers in many places, such as in Pricing Engines to calculate the NPV of an instrument, in the Brownian Generator that is used in market-model simulations and in the Monte Carlo Model for path samples. In financial…
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cogitolearning
May 24, 2013
Manuals, QuantLib
c++, Manual, quantlib, term structure, yield curve
In a previous post I discussed the abstract class TermStructure that defines methods common to any kind of term structure. It was pointed out that many classes inherit from the TermStructure class, including a class called YieldTermStructure. This class is, again,…
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cogitolearning
May 16, 2013
Manuals, QuantLib
In the section on numeric types in QuantLib, the Rate type was introduced which was intended to hold any kind of rates, including interest rates. The Rate type is essentially a double or a float number, depending on the configuration at…
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cogitolearning
April 4, 2013
Manuals, QuantLib
indices, Manual, quantlib, quotes
The LastFixingQuote is an implementation of the abstract Quote class. LastFixingQuote represents a quote for the last available fixing of an index. Essentially it is a simple wrapper around the Index class to allow indices to be used as Quotes. class…
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