x******a 发帖数: 6336 | 1 按照quantlib.org上在mac上安装以后,测试一个命令行:
g++ -I/opt/local/include/ -I/opt/local/include/boost BermudanSwaption.cpp \
-o bermudanswaption -L/opt/local/lib/ -lQuantLib
得到i686-apple-darwin10-g++-4.2.1: BermudanSwaption.cpp: No such file or
directory。
然后到/opt/local/include/boost目录下,再次运行上面的命令行,显示下面的内容
g++ -I /opt/local/include/ -I /opt/local/include/boost BermudanSwaption.cpp
-o bermudanoption -
L/opt/local/lib/ -lQuantLib1.0.1
ld: library not found for -lQuantLib1.0.1
collect2: ld returned 1 exit statu... 阅读全帖 |
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D********n 发帖数: 978 | 2 能不用QuantLib尽量别用Quantlib.
Quantlib虽然炫,虽然花,虽然可以用来学习C++, 但是在实际生活中把程序写成
Quantlib那个样子是人生的一种悲哀。
你要理解Quantlib的文化:那帮人有时间和精力琢磨怎么把Quantlib弄到iOS上面,但是
没有时间和精力把documentation写好。甚至没时间确保quantlib里面的model的计算结
果正确。
++ |
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z**k 发帖数: 378 | 3 我最近在做Levy process option pricing,之前一直在Matlab里测试,现在想转成C++
。不过我用C++实现option pricing的经验不多,所以想参考Quantlib来写程序,毕竟
QuantLib对解决实际问题很方便。我本来想直接用Quantlib提供的interface,自己写
一个extension就好了。可是Quantlib的documentation实在做得太粗糙,好像就只有应
用几个基本的模型的tutorial,鲜有涉及到开发的部分。不知道大家谁有相关的经验呢
,可不可以请教一下。
我主要是要实现FFT solver,PIDE solver,和MC模拟,如果有时间还想测试一下
calibration。 |
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B*********h 发帖数: 800 | 4 ☆─────────────────────────────────────☆
sayes (功不唐捐) 于 (Tue Mar 6 01:50:02 2007) 提到:
终于装好boost 和 quantlib
想试试其中的Examples,但是用make 后
提示Nothing to be done for 'all'
是不是前面boost 和quantlib没有装对?
谢谢。
☆─────────────────────────────────────☆
soar (无意) 于 (Tue Mar 6 09:03:17 2007) 提到:
examples are precompiled and up-to-date.
try "touch" one example source file, OR to get a fresh rebuild, do make
clean first.
☆─────────────────────────────────────☆
wenge (文革) 于 (Tue Mar 6 12:28:11 2007) 提到 |
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n****i 发帖数: 196 | 5 install macports
install boost libs ( sudo port install boost )
download the latest Quantlib and Quantlib-SWIG
第二步是怎么弄? |
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z**k 发帖数: 378 | 6 话说你可以具体说说quantlib不好在哪里么?我看了一下程序的大体结构,一时间也很
难想到更好的设计了啊。至于你说的计算结果的正确性问题,他不是提供了许多不同的
engine,可以做validation吧。。。不过我还没搞懂怎么用quantlib做monte carlo。 |
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A********i 发帖数: 97 | 7 Quantlib 这个有必要花时间学吗?很多公司用这个吗?
如果时间有限的话,刷leetcode和学Quantlib哪个对找工作更有帮助? |
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m********0 发帖数: 2717 | 8 me~
but I don't use quantlib for trading that much.
that's for derivatives mostly.
I implement most of the library myself. |
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C*****E 发帖数: 2679 | 9 【 以下文字转载自 Quant 讨论区 】
发信人: zlight (Eren Derdiyok), 信区: Quant
标 题: 【Market Risk有什么常用的类似Quantlib之类的C++library】
发信站: BBS 未名空间站 (Sun Jun 2 18:00:27 2013, 美东)
谢谢了 |
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a****n 发帖数: 230 | 10 最近装了quantlib,想边学习边应用一下里面的library
但是发现里面的文件放得还挺乱的,要费很大一番功夫才能找到源程序,看看里面有什
么member function
而且看了一下examples里面的macro,发现要解决一个问题要用到很多class,因为都有
一些固定的接口
刚开始没有经验,要把源程序看懂就要晕了,有没有那位达人有比较详细的对这个
library的解释说明
谢谢!!!! |
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i*****l 发帖数: 50 | 12 Just following the instruction
first install boost, then quantlib. |
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D******4 发帖数: 47 | 13 弱问 QuantLib 还不能VC2010兼容吗? |
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f*********y 发帖数: 376 | 14 找quant developer
joshi的书,那本design pattern 是不是最好把代码自己都写一遍?
quantlib既然是开源的,自己看看,熟悉一下,对找工作有帮助吗? |
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z****u 发帖数: 185 | 15 I don't know much about Joshi's book, nor quantlib. Not sure about their
quality.
Reading many lines of code is boring to me.
A better way is to read a book, understand the purpose, get some idea, think
about it.
For me, the only way to learn a programming language is using it. I do not
see any other better way.
I heard <> is a great book. I only read about the first
chapter. Impressed.
My 2c. |
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D********n 发帖数: 978 | 16 这两个木法比啊。
Quantlib还是挺有用的。但你能学的进去吗?吃果果,白画画的over engineering。我
觉得你能看懂看进去的话,leetcode对你应该是小菜了。 |
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e******g 发帖数: 7 | 17 Indeed, more and more users. But it is usually used in reference models in
banks, as I known.
Thinking abt this problem, if there is a bug in Quantlib and you use it in
trading models resulting a hug loss. Who should be responsible for that? I
guess that is why open-source software/libs are not widely adopted in
banking industry. And that is why they need hire you. |
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x******o 发帖数: 144 | 18 100% agreed. Even Bloomberg or other vendors that trader uses everyday has
bugs and may show very wrong number. But who knows and who cares before
losing money.
Quantlib in my mind is more like an good reference you compare when you want
to implement some models. But not really agree that you need to LEARN it. |
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E***e 发帖数: 3430 | 19 在Debian下装了quantlib,命令行里编译没问题,可是到了eclipse-cdt里,无穷无尽
的indexing,机器卡死,这个怎么解决?谢谢了! |
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x******a 发帖数: 6336 | 20 装了一个quantlib在mac os x上,然后运行那个example,结果得到下面一堆。请教应
该link或者编译?
谢谢!
instruction在这里:
http://quantlib.org/install/macosx.shtml
run example
g++ -I/opt/local/include/ -I/opt/local/include/boost BermudanSwaption.cpp
-o bermudanswaption -L/opt/local/lib/ -lQuantLib
以后的error:
Undefined symbols for architecture x86_64:
"_main", referenced from:
start in crt1.10.6.o
"vtable for boost::unit_test::unit_test_log_t", referenced from:
boost::unit_test::unit_test_log_t::unit_test_log_t()in ccL... 阅读全帖 |
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J******d 发帖数: 506 | 23 把quantlib基本的几个financial instruments的design看懂即可。
作为练习,用quantlib price几个衍生品,benchmark with other models.或者自己写一个
exotic option. |
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w*****e 发帖数: 158 | 24 啥是modfollowing business date?
Jquantlib 没用过。Quantlib 很方便。 不过要注意,有的business calendar 是错的
。也许是我用的Quantlib版本低。 |
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g*****u 发帖数: 14294 | 25 俺发现性格弱点很难克服,发财致富还是不能懒,搞搞shit统才是俺的出路。
到这里挂个号吧。以后好切磋。
老ID不是说俺们版面水平低嘛。
是低,俺们承认。
低在两个方面:没赚大大钱;技术差。
俺们可以提高。嘿嘿。 |
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g*****u 发帖数: 14294 | 27 这shit桶现在比较空,你能贡献点啥,除了跳进来一下? |
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i*****e 发帖数: 55 | 28 我都靠精艳操股,quant的东西太深奥.你要做出好的粪桶,我可以买来用. |
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g*****u 发帖数: 14294 | 30 It's a decent code base. Let's see what I can do with it. |
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m********0 发帖数: 2717 | 33 一个工作,有100个人投简历吧。
看具体行业了,有些还在裁人。比如fixed income的trader最近欧洲的投行裁了一大批。
高盛上个季度前一下多了好多opening,结果最近摩根斯坦利又暂时freeze hiring了。
瑞银集团在扩充Derivative的Group。好像是上月从德意志挖过去一个高层。
别的,我听说公司附近的Tudor,招intern,是给70-80块钱一小时。 |
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H**********g 发帖数: 1312 | 34 我做derivatives的,机会多不多?
quant对学位要求什么样子?我还没有工作经验,可能明年夏天去找个intern
批。 |
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g*****u 发帖数: 14294 | 35 简单的TA信号触发,搞搞NinjaTrader就差不多了吧。
俺刚才看了一下,Ninja免费纸交,跟IB连接trivial. 看什么金叉银叉不就不用盯盘了
嘛。俺太土了,也太懒了。 |
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m********0 发帖数: 2717 | 36 IB本身不也免费纸交么。IB用IB的API当然是最好的了。
amibroker一样的。 |
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m********0 发帖数: 2717 | 37 你不知道简单的TA信号触发,一堆网站都有的么?比如barchart.com
我找一个SPX的给你:
再找个明细给你:
MAE for SPX Index
Entry Date↓ Entry Price Exit Date Exit Price Position
Shares Trade P&L Cumulative P&L
09/17/2009 1067.87 10/29/2009 1043.6899 Short 93
2.25k 2.25k
10/29/2009 1043.6899 11/17/2009 1109.22 Long 97
6.36k 8.61k
11/17/2009 1109.22 01/25/2010 1092.40 Short 97 1.63k
10.24k
01/25/2010 1092.40 06/16/2010 1114.02 Long 100 2.16k |
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z***n 发帖数: 789 | 38 google open source, QuantLib |
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m****r 发帖数: 147 | 40 大师横跨最MAN的运动--足球和最MAN的金融职业--矿工
实乃我辈之楷模 |
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d********f 发帖数: 43471 | 42 Risk++,说实话作risk的基本都用python |
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E***e 发帖数: 3430 | 43 日常生活:Firefox, Spyder3, TeXStudio, EclipseCDT+QuantLib,偶然用下Excel,
娱乐全在NAS上一个Kodi搞定。这套组合在Win上简直是地狱。
Win最后一点好处就是硬件不需要折腾太多,现在这么一闹,彻底扯淡。 |
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I*M 发帖数: 1533 | 45 short interest rate的simulation 在哪一块? |
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n*c 发帖数: 228 | 46 The first one is very good,but it takes a long time to read. In fact that
book is
the "code book" of Strickland's book.
the good thing about it is it introduced the quantlib and you can find it
quite handy. Also it gives readers some senses about OOP in Financial
Modeling. Pay attention to the way Justin model the termstructure, I think
it is very robust.
Mark Joshi 's book is phenomenal. OOP in fact is all about patterns and
designs,It is short and a great fun to read.
London |
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x****x 发帖数: 87 | 49 where can we download financial codes freely? |
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k****r 发帖数: 176 | 50 看成Modeling Derivatives in C++了,叫兽有评
Ambitious book that receives a lot of flak on Wilmott forum. A useful
reference. Often uses quantlib code.
同作者此书叫兽也提到了,不过没有任何评价
Modeling Derivatives Applications in Matlab, C++, and Excel |
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