Tag Archives: Quantlib

New QuantLib 1.8 C++ update

New QuantLib 1.8 C++ update

It’s out

http://quantlib.org/download.shtml

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Latest QuantLib C++ changes list

Latest QuantLib C++ changes list

Here is the latest but I am unsure on the efficiency of this library now

http://quantlib.org/reference/history.html

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QuantLib training at MoneyScience

QuantLib training at MoneyScience

Both organizations are fantastic as I played with QuantLib in my early days

http://www.moneyscience.com/pg/events/Admin/read/713447/moneyscience-financial-training-introduction-to-quantlib-development-with-luigi-ballabio

Thanks to Nuno on my Facebook for posting

What would happen if you found a way to analyse the markets to confirm your trading ideas? 

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Any hedge fund or bank institutions using open source C++ QuantLib for pricing options engine or Monte Carlo simulation?

Any hedge fund or bank institutions using open source C++ QuantLib for pricing options engine or Monte Carlo simulation?

I watched a recent low level FPGA video on HFT shop using this, I am wanting to hear from others to understand who is using this

http://quantlib.org/index.shtml

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Quant development: How to build QuantLib on Linux and Ubuntu?

Quant development: How to build QuantLib on Linux and Ubuntu?

I thought this might be useful for people trying to installing QuantLib-1.0.1 on Ubuntu 10.10 DE 32bit

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Cheers

 

John Willoughby

____________________________________________________________________________________________________

 

QUANTLIB-1.0.1 INSTALL ROUGH GUIDE FOR UBUNTU 10.10 32bit DESKTOP EDITION (RUNNING ON DELL MINI 9 8GB SSD)

 

I first off I used Synaptic Package Manager to install boost:

libboost1.42-doc

libboost1.42-all-dev

libboost1.42-dev

 

QuantLib-1.0.1 can also be successfully installed using synaptic however I found that I didn’t get the associated cpp source files in ./ql/… etc. Therefore, to install QuantLib-1.0.1 I undertook the following steps:

 

Downloaded QuantLib-1.0.1.tar.gz from http://www.quantlib.org

 

Copied this tar from /home/XYZ/Downloads to /opt

 

sudo cp QuantLib-1.0.1.tar.gz /opt

 

(why opt: http://ubuntuforums.org/archive/index.php/t-686282.html ).

 

Extracted tar in /opt using:

 

sudo tar xzvf QuantLib-1.0.1.tar.gz

 

Removed the tar file copy

 

sudo rm QuantLib-1.0.1.tar.gz

 

Configured Quantlib:

./configure –disable-static CXXFLAGS=-O2

 

The switches where needed to fix code bloat which filled up my 8GB SSD and  were suggested in an old thread by Luigi (see: http://old.nabble.com/Compilation-and-disk-space-td29830549.html)

 

Now ran make:

 

make && sudo make install

Next used:

sudo ldconfig

 

(why ldconfig: http://old.nabble.com/error-while-loading-shared-libraries%3A-libQuantLib-0.9.9.so-td26545177.html )

 

Done.

 

Now try to run

quantlib-test-suite

Which gave me

Tests completed in 26 m 44 s

***No errors detected

 

and another example like FRA:

cd /opt/QuantLib-1.0.1/Examples/FRA

sudo g++ -g -Wall -o a.out -I/usr/local/include/boost-1_38 FRA.cpp -lQuantLib

sudo ./a.out

 

From The QuantLib mailing list

 

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3rd party software selected for stock charting in Office Excel with advantages of VBA QuantLib Matlab

Hi there

I have investigated various options to help in my trading infrastructure but there is nothing easier than Microsoft Excel. Here is what I mean:

3rd party software selected for stock charting in Office Excel with advantages of VBA

3rd party software selected for stock charting in Office Excel with advantages of VBA



You heard that right. I have decided to commit to a piece of software which is based on Excel worksheets with VBA. It can make life easier but execution is slower. That is ok since these are strictly used for monitoring purposes which has no part of the core trading execution. I already showcased that last week. As a result, you can expect to see some exciting developments  with screeners, decent visual charting, high level market views using Excel. It should be pretty fast to develop as well. Remember I also demoed how to integrate Matlab with Excel as well. Watch this:

https://quantlabs.net/blog/2012/12/youtube-video-matlab-demo-spreadsheet-link-ex-with-microsoft-excel-and-iqfeed-real-time-data/

Or how about with QuantLib using QuantLibXL with C++

how to build quantlib quantlixl as a microsoft excel addin uses visual studio c++

https://quantlabs.net/blog/2012/01/9258/

Wow. I have impressed myself from all this work? Hmm.

You should also check out the day trading capabilities through the video at

http://tsunami.io/media.html#pane-12

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Here are the many benefits this offers

Have a profitable trading day,

Bryan

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Is it time to revisit open source C++ library QuantLib for risk management capabilities?

It is a c++ open source library. It is seems to be the best for this and use of quant methods. As being built as a DLL,  Tradelink will be able talk to it. Let me know what you think.

http://quantlib.org/index.shtml

Or is this better from within Matlab? http://www.mathworks.com/discovery/financial-risk-management.html

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Youtube video on QuantLabs Academy Overview to learn quant and HFT with R Matlab open source QuantLib and Tradeink

 

Youtube video on QuantLabs Academy Overview to learn quant and HFT with R Matlab open source QuantLib and Tradeink

Learn more about this Academy by going here. 

 

 

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HFT algo quant trading courses with R, Matlab, and Open Source Trading Platform Development including QuantLib and .NET Tradelink

HFT algo quant trading courses  with R, Matlab, and Open Source Trading Platform Development including QuantLib and  .NET  Tradelink

These are all COMING SOON so stay tuned!!

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These are now loaded but a few steps away from unleashing the world! They will be priced soon at a very affordable rate according to  my recent survey.

Also, I cannot stress one should take FULL advantage of my PROMOTION by joining my QuantLabs.net Premium, you will get full access to these!
After the promotion is over, all courses will total at least in a total of $1000.
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Math Toolbox

Matlab Econometrics Toolbox

Matlab Financial Toolbox

Matlab Strategy Development Demos and Researching WIth Simuilink

Matlab Toolboxes: Signal Processing, Stats, Math

Matlab Toolboxes: System Identification, Wavelet, Optimize, Curve Fitting

Open Source Trading Platform Development

Quant Algorithm Course including Pair Trading, Arbitrage, Autoregressive,

Quant Algorithm Course with Backtesting and Measurement

R Course with Arbitrage and Volatility

R Course with Mean Reversion and Pair Trading

R Course with Quant

R Course with Quant including GARCH

R Course with Technical Analysis

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How is Python with SWIG and QuantLib still an issue to be integrated? Or is it?

How is Python with SWIG and QuantLib still an issue to be integrated? Or is it?

 

A comment posted about:

I am closer to building Quantlib SWIG,for Ruby ,Python using C++,wrappers in Ubuntu Linux

Hi, were you ever able to get QuantLib-SWIG bindings for Python built on your linux box? i’ve been trying unsuccessfully for some time now and i’m arriving at the same result when running python setup.py test, that is, it throws an error which appears to be an issue with one’s path. Thanks!

 

My response:

I have not yet looked at this with no success Part of it is I find Python will just add to the confusion of too many languagees you need to know. I am just surprised this is still a problem from a few years ago. If you got a solution, please let me know by comment below with a solution.

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