Implementing QuantLib

1.Introduction

2.Financial instruments and pricing engines

1. 2.1The Instrument class
2. 2.1.1Interface and requirements
3. 2.1.2Implementation
4. Aside: const or not const?
5. 2.1.3Example: interest-rate swap
6. Aside: handles and shared pointers.
7. 2.1.4Further developments
8. 2.2Pricing engines
9. Aside: impure virtual methods.
10. 2.2.1Example: plain-vanilla option

3.Term structures

1. 3.1The TermStructure class
2. 3.1.1Interface and requirements
3. 3.1.2Implementation
4. Aside: evaluation date tricks.
5. 3.2Interest-rate term structures
6. 3.2.1Interface and implementation
7. 3.2.2Discount, forward-rate, and zero-rate curves
8. Aside: symmetry break.
9. Aside: twin classes.
10. 3.2.3Example: bootstrapping an interpolated curve
11. Aside: a friend in need.
12. 3.2.4Example: adding z-spread to an interest-rate curve
13. 3.3Other term structures
14. 3.3.1Default-probability term structures
15. Aside: Cinderella method.
16. 3.3.2Inflation term structures
17. 3.3.3Volatility term structures
18. 3.3.4Equity volatility structures
19. Aside: interpolations and extrapolations.
20. 3.3.5Interest-rate volatility structures

4.Cash flows and coupons

1. 4.1The CashFlow class
2. Aside: late payments.
3. 4.2Interest-rate coupons
4. 4.2.1Fixed-rate coupons
5. 4.2.2Floating-rate coupons
6. Aside: keeping one’s balance.
7. 4.2.3Example: LIBOR coupons
8. Aside: breach of contract.
9. 4.2.4Example: capped/floored coupons
10. 4.2.5Generating cash-flow sequences
11. 4.2.6Other coupons and further developments
12. 4.3Cash-flow analysis
13. 4.3.1Example: fixed-rate bonds

5.Parameterized models and calibration

1. 5.1The CalibrationHelper class
2. 5.1.1Example: the Heston model
3. Aside: breaking assumptions
4. 5.2Parameters
5. 5.3The CalibratedModel class
6. 5.3.1Example: the Heston model, continued

6.The Monte Carlo framework

1. 6.1Path generation
2. 6.1.1Random-number generation
3. Aside: the road more traveled.
4. 6.1.2Stochastic processes
5. 6.1.3Random path generators
6. Aside: access patterns.
7. Aside: stepping on one’s own toes.
8. 6.2Pricing on a path
9. 6.3Putting it all together
10. 6.3.1Monte Carlo traits
11. 6.3.2The Monte Carlo model
12. 6.3.3Monte Carlo simulations
13. Aside: synchronized walking.
14. 6.3.4Example: basket option
15. Aside: need-to-know basis.

7.The tree framework

1. 7.1The Lattice and DiscretizedAsset classes
2. 7.1.1Example: discretized bonds
3. 7.1.2Example: discretized option
4. 7.2Trees and tree-based lattices
5. 7.2.1The Tree class template
6. Aside: curiouser and curiouser.
7. 7.2.2Binomial and trinomial trees
8. 7.2.3The TreeLattice class template
9. 7.3Tree-based engines
10. 7.3.1Example: callable fixed-rate bonds

8.The finite-difference framework

1. 8.1The old framework
2. 8.1.1Differential operators
3. 8.1.2Evolution schemes
4. 8.1.3Boundary conditions
5. 8.1.4Step conditions
6. Aside: look, Ma, no hands.
7. 8.1.5The FiniteDifferenceModel class
8. 8.1.6Example: American option
9. 8.1.7Time-dependent operators
10. 8.2The new framework
11. 8.2.1Meshers
12. 8.2.2Operators
13. 8.2.3Examples: Black-Scholes operators
14. 8.2.4Initial, boundary, and step conditions
15. Aside: dispelling magic.
16. 8.2.5Schemes and solvers

9.Conclusion

A. Odds and ends

1. Basic types
2. Date calculations
3. Dates and periods
4. Calendars
5. Day-count conventions
6. Schedules
7. Finance-related classes
8. Market quotes
9. Interest rates
10. Indexes
11. Aside: how much generalization?
12. Exercises and payoffs
13. Math-related classes
14. Interpolations
15. Aside: gordian knots
16. One-dimensional solvers
17. Optimizers
18. Statistics
19. Aside: extreme expectations.
20. Linear algebra
21. Global settings
22. Aside: more mutations than in a B-movie.
23. Utilities
24. Smart pointers and handles
25. Aside: pointer semantics.
26. Error reporting
27. Disposable objects
28. Design patterns
29. The Observer pattern
30. The Singleton pattern
31. The Visitor pattern

B. Code conventions

QuantLib license

Bibliography