Tag Archives: Quantlib

For HFT: Most advanced source examples with Python, C++, Java, Octave/Matlab, QuantLib, and R with this RCpp package

This site is easily the most advanced source examples I have seen for HFT with Python, C++, Java, and R with this RCpp package

http://dirk.eddelbuettel.com/code/rcpp.html

I need to say as a community of people thanking Dirk for maitaining this amazing set of code. It is quite amazing as this site also includes R integration into. I am still stunned at the HUGE of amount of examples here.

This does not include the Quantian Linux distribution or Linux packages Dirk uses. Pretty heavy stuff!

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3 ways to build top quant skills in R, HFT, Quantlib, and more

Hi there,

You know software development and debugging one of the most time-consuming – and frustrating! – parts of being a quant. Have you ever spent hours trying to find a solution for a particular problem?

Me too.

In fact, it’s been my #1 obsession. But my pain is your gain.

Here’s 3 reasons why:

1. Rapid Learning Via Video: I’ve carefully documented the best sanity-saving quant programming tips in a huge video tutorial library. I have well over 100 videos ready and waiting for you. I add more weekly so there’s always another one on the way!

2. Ready-to-Use Source Code: Everything I’ve discovered I’ve also coded until it works. If you prefer to personalize functional code rather than crank it out from scratch, my extensive R code libraries will save you more time than you can count.

3. Tap Into Collective Genius: The learning is never over, which is why you’ll want to participate in virtual “meetups” with me and other members. Hosted over Skype, these are highly-specialized and intensive webinars that will cover the topics you want.

Amongst my membership, I have many industry-related people ranging from VPs of large investment banks and hedge funds to some of the more senior people in large technical trading firms.

Their (and my) knowledge can become yours too. And time is money — you’ll pay pennies on the dollar compared to the time it would take to learn everything on your own.

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Here’s a video tour of the entire membership benefits as well.

Good trading,
Bryan
Quantlabs.net Editor
“Those that know, don’t tell. Until now.”

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White Paper: Parallelising QuantLib using Map-Reduce for HFT and quant development purposes

White Paper: Parallelising QuantLib using Map-Reduce for HFT and quant development purposes

Although Map Reduce technologies are normally associated with “big data” they can also be used to simply but effectively parallelise QuantLib so that it runs on grid or cloud infrastructures. Attached is a link to a short white paper which describes more the motivation for doing this, the advantages that it brings and the technology that we’ve been developing to use this approach.

http://www.bnikolic.co.uk/ql/20120606-quantlib-parallelisation.pdf bnikolic.co.uk

http://www.bnikolic.co.uk/ql/20120606-quantlib-parallelisation.pdf

 

 

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More “Implementing QuantLib” with this quant development tool

More “Implementing QuantLib” with this quant development tool

The latest part of chapter 7 is online. In time for the course, too.
(There are still places, if anybody’s interested. Details at <http://goo.gl/7ZaXq>.)

https://sites.google.com/site/luigiballabio/?goback=.gmr_723317.gde_723317_member_122115847

sites.google.com

This page collects the latest drafts of my ongoing effort, Implementing QuantLib. You’re welcome to read them; I’ll be most grateful for any feedback, corrections, and criticisms. My contact information is available below,…

 

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QuantLib course – new dates for quant development

QuantLib course – new dates for quant development

The “Introduction to QuantLib course” was moved to June 18-20. Details at the link below.

New dates: Introduction to QuantLib development with Luigi Ballabio

moneyscience.com

************************* NEW DATES, NEW LOCATION ************************* Date: 18-20, June 2012 Location: The London Stock Exchange, London, UK…

 

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Is there a C# for Quantlib?

Is there a C# for Quantlib?

 

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There is http://ql.codeplex.com/ which is a mixed-mode CIL wrapper around QuantLib 1.0.1 (I need to update for the latest version). It was generated for F#, but is applicable too C# (* interfaces are “fluent” (e.g. ‘IIndex AddFixing(DateTime, Double, FSharpOption)’ instead of ‘void AddFixing(DateTime, Double, Boolean?)’) and default values are spec’d as option instead of nullable *)

 

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Thanks, I have found this one

http://sourceforge.net/projects/qlnet/files/

But the last update was in 11-02-2009

 

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I looked at that too ++ there is the SWIG wrapper.. If all the methods you need are included then gr8

Thanks for your answers, I am looking at contributing to a quantlib written in C#. What a shame that nobody seems to be working on qlnet.

 

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QuantLib 1.2 released

QuantLib 1.2 released

QuantLib is a cross-platform, free/open-source quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life.

Version 1.2 has been released and is available for download at <http://quantlib.org/download.shtml>.

Please log any problems you have with this release in the SourceForge bug tracker at <http://sourceforge.net/tracker/?group_id=12740&atid=112740> specifying that you’re using QuantLib 1.2.

The QuantLib group

 

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I’ve updated the wikipedia to reflect the update

 

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Have there been any significant changes to the SWIG portion?

 

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Not really. Some more classes were exported, but nothing major.

 

Is there one in C#?

 

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Training – An introduction to QuantLib Development – London May 21-23

Training – An introduction to QuantLib Development – London May 21-23

moneyscience.com

The goal of this three-day intensive hands-on course is to take a bird-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one’s own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won’t cover extensions such as the

 

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Youtube video demo of Quant membership with courses on algo, strategy development, HFT, QuantLib, C++, Matlab, C#, Java

Youtube video demo of Quant membership with courses on algo, strategy development, HFT, QuantLib, C++, Matlab, C#, Java
http://quantlabs.net/membership.htm
Quant membership benefitis here:
http://quantlabs.net/quant-member-benefits/

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Youtube video demo of Quant membership with courses on algo, strategy development, HFT, QuantLib, C++, Matlab, C#, Java

Youtube video demo of Quant membership with courses on algo, strategy development, HFT, QuantLib, C++, Matlab, C#, Java

http://quantlabs.net/membership.htm

Quant membership benefitis here:

http://quantlabs.net/quant-member-benefits/

 

 

 

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