Info: QuantLib 1.1 released!

Polter · Post by **Polter** » Wed Dec 26, 2012 2:07 am

Nice; my 2c:

For Boost Pre-Built Binaries head to http://boost.teeks99.com/ // http://boost-win.tumblr.com/

You can get the VC11 project files from the QuantLib SVN Repository -- either just check out the entire trunk, or just get these

QuantLib_vc11.sln

QuantLib_vc11.vcxproj

QuantLib_vc11.vcxproj.filters

from here (what I did was to build the latest revision from the SVN repo, worked just fine with the above-mentioned binaries, YMMV).

HTH ${L_SMILIES_SMILE}$

finanzmaster · Post by **finanzmaster** » Tue Dec 26, 2017 12:05 am

Notes on howto build QuantLibXL (aka QuantExcelAddin) with Visual Studio 2017

https://letyourmoneygrow.com/2017/12/25/building-quantlibxl-visual-studio-2017/

finanzmaster · Post by **finanzmaster** » Sun Feb 10, 2019 2:51 pm

How to build QL in VS2019 (and why it is, so far, suboptimal)

https://letyourmoneygrow.com/2019/02/10/building-quantlib-1-14-with-visual-studio-2019-preview/

BTW, guys, if you need a contractor with both domain knowledge of quantitative finance and IT (not only QL, but OpenGamma as well), feel free to contact me ${L_SMILIES_SMILE}$

Strange · Post by **Strange** » Sun Feb 10, 2019 5:30 pm

On a topic of quantlib, it would be useful to have a practical set of examples for generic things like fitting a regular swap curve (cash/eurodollars/swaps), fitting a listed equity vol surface etc. I looked into using it and found it nearly impossible to figure out how to build anything usable.

finanzmaster · Post by **finanzmaster** » Sun Feb 10, 2019 5:46 pm

>On a topic of quantlib, it would be useful to have a practical set of >examples for generic things like fitting a regular swap curve

Yes, it is very hard to get started with QL just by reading its code.

But there is a rich test-suite that covers most of use cases.

Additionally, google helps ${L_SMILIES_SMILE}$

As to "fitting a regular swap curve (cash/eurodollars/swaps)", have a look at \Examples\Swap\swapvaluation.cpp - how the yield term structures are constructed by means of different RateHelpers

nikol · Post by **nikol** » Sun Feb 10, 2019 11:50 pm

Totally agree. 2 years ago my biggest problem was to install it within my Windows environment using free MS VS C++. At the end, I was able to run and modify the wanted examples of swaps and swopt bermudans. A lot of work is shared there. Also good framework to start with if you want to adopt it to your requirements.

Solid package.

mtsm · Post by **mtsm** » Mon Feb 11, 2019 2:25 am

When is the last time you checked Strange? It's pretty easy to get started with ql nowadays. Two books have been published on the library and there are some (crappy) awig python wrappers you can use. It's pretty easy to build a curve in ql. You can just replicate a couple of jupyter notebooks for that. It would take you less than half a day all in.

The main problem with ql imho is that it's an antiquated library written by people who have spent more time studying c++ in theory than working in the industry writing and maintaining an actual production system. There is something pretty dorky about the religious use of templates and design patterns in that library, which makes an otherwise useful toolkit sort of hermetic. It's really quite sad to be honest.

There is a more recent set of extensions written on top of it, don't know if you know it.

Strange · Post by **Strange** » Mon Feb 11, 2019 3:52 am

> There is a more recent set of extensions written on top of it, don't know if you know it.

No, never heard of it. Could you point to them?

mtsm · Post by **mtsm** » Mon Feb 11, 2019 7:15 pm

Sure, it's all here:

https://github.com/OpenSourceRisk

http://www.opensourcerisk.org/

Check out the repository. So it's sadly not deviating dramatically away from the old ql style, but it's a non-trivial superset.

If there are drinks in NYC and I go, we could discuss.