quant library?

Strange · Post by **Strange** » Wed Jun 13, 2018 10:56 pm

Took a quick look. It looks interesting, but I feel it is more geared toward higher frequency MM than a volarb book. Might be worth a trial, though.

c10 · Post by **c10** » Thu Jun 14, 2018 5:19 am

We have clients in both categories using our library. The reason it is useful for all players in the options trading eco system, we believe, is because of (a) the intuitive nature of our vol curve parametrizations and (b) that there is a super robust and fast volsurface auto-fitter.

The vol curve parameters are comparable across terms, names, different historical periods, etc, and make it easy to do signal research for relative value trades.

Please contact us about a trial.

mtsm · Post by **mtsm** » Tue Jul 10, 2018 9:42 pm

Can I just chime in here?

I am looking for recommendations/pointers to commercial quant analytics libraries. It is mostly for use with fixed income products, mostly linear, maybe some non-exotic options.

It should have very good curve building capabilities, possibly state of the art.

It needs to have an API.

Any ideas?

Thanks,

m

ronin · Post by **ronin** » Wed Jul 11, 2018 4:22 pm

Any of them. Including Quantlib.

In all seriousness, they are pretty much the same on the basic level. When you dig deeper, you start finding holes in every one of them.

mtsm · Post by **mtsm** » Tue Jul 17, 2018 3:59 am

Yes, I am considering all of them including quantlib.

As you say, most of them are ok-ish for a buy-side place with holes here and there, I am aware of this.

But right now I need to know which one if any has some high quality components, competitive with dealer analytics. Specifically, right now I need to know which one has a high quality curve.

ronin · Post by **ronin** » Tue Jul 17, 2018 10:02 am

It's been a few years since I last looked, and things may have changed.

Last time I looked, they all gave you all the tools to build high quality curves, but you had to build the curves yourself.

mtsm · Post by **mtsm** » Wed Jul 18, 2018 3:24 am

Nonsense, I know enough about select libraries to say that they are not at all at the same level. Moreover curve building standards have kept changing continuously over time and a lot of these products have struggled keeping up with the street.

vqwerty · Post by **vqwerty** » Mon Jul 23, 2018 5:30 am

Any decent open source or commercial libraries that include OTC FX options?

I'd appreciate any recommendation.

I'll need backtesting sooner or later.

mtsm · Post by **mtsm** » Thu Jul 26, 2018 5:03 am

What kind of FXOs? Exotics?

Backtesting, I would consider as an extra level of complexity on top of core analytics. Just like risk or pnl explain. Don't expect to find this all in one, I would say.

On QuantLib, I have had the chance to look a bit at it. Mostly for linear rates. I am little uncomfortable criticizing it, but since I feel that my comments might be useful, I'll shoot. First of all, many thanks to the many people having contributed to this over the years. It's decently packaged and buildable without too much problems. Now the bad part is that it's comes nowhere near what you get in a Tier 1 IB, a good buy side shop or a commercial library. It's really quite limited. The curves tech isn't really modern enough to accommodate most needs. No multiple curves fitting, only sequential iteratiive bootstrap, limited fitting instrument availability. That's a problem for G2 curves I think, where you really do need more flexibility. Initially I thought that this would be a minor limitation as using the library as a container to hold extensions would be an option. But now that I have seen the cpp, I am not sure that even that would be a good idea. It's a bit overengineered in my opinion, lacking a certain pragmatism and there are some silly features such as an attempt to incorporate some dependency graph features based on the Handle class. I shudder to think having to deal with that sort of construct when having to deal with my own modifications. I still find it useful for some fairly elementary calculation related to date arithmetic or schedule setup, but that's about it I feel. Might leverage some of the elementary option calculators later on, too.