| 09:45 |
|
Yield curves for forward Euribor estimation and
CSA-discounting
Ferdinando Ametrano, Senior Quantitative
Analyst, Banca IMI
The large basis spreads observed on the interest
rate market imply that different yield curves are required for
market coherent estimation of forward Libor rates with different
tenors. The practice of CSA-discounting is becoming standard,
enforcing a review of discounting in pricing and yield curve
bootstrapping. A methodology for coherent bootstrapping of multiple
forwarding curves along with a CSA-discounting curve is illustrated
in this talk; examples are provided using QuantLib and QuantLibXL
for the EUR currency (Euribor and EONIA-OIS).
|
| 11:30 |
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Risk simulations for a bond in QuantLibXL
Marco Marchioro, Head of Research, StatPro
Italia
The QuantLib library is widely used to compute
derivative prices as well in quantitative risk management. In this
talk focus is given on how to use the Excel add-in of QuantLib to
compute simulation prices for a bond with risk management in mind.
The technique introduced can easily be extended to the computation
of risk simulations of any QuantLib instrument exported to the
Excel add-in.
|
| 14:00 |
|
Code Arbitrage: or, how to get features for free in
QuantLib
Luigi Ballabio, Senior Quantitative Developer,
StatPro Italia
In this hands-on talk, examples will be shown of
how to build new financial instruments and term structures upon
existing QuantLib classes, so that your code can inherit advanced
functionalities. For financial instruments, provided features
include automated linking to market data, caching of calculated
results, and the possibility of perturbing the underlying data for
analysis purposes. For term structures, reusable
bootstrapping algorithms are made available.
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| 15:45 |
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Persistence of QuantLib objects in practice
Eric Ehlers, CEO, Nazcatec
QuantLibAddin, a software library based on
QuantLib, wraps QuantLib objects in an interface layer supporting
persistence, serialization, and conversion and coercion of
datatypes. In this talk it is shown how a variety of
platforms are supported, facilitating distribution across operating
systems (Windows and Linux), languages (C++ and Python), and
applications (Microsoft Excel and OpenOffice.org Calc).
Within this framework core QuantLib analytics may be extended,
customized and additional functionalities may be exposed. Finally,
using QuantLibAddin and the Sun Grid Engine, it is shown how to
produce an end-to-end solution for grid computing.
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