Anyone done anything with QuantLib?
- Thread starter sle
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I got Fincad but some of the products we trade need a more involved model then Fincad allowes
I would reckon that none of the off the shelf products are exposing sufficient capabilities to satisfy any average exotics desk. Those who offer "consulting services" to customize solutions are so pricy that it makes sense for most banks and larger hedge funds to assign some of their IT resources to maintain an in-house library that integrates with Excel as frontend and from my experience that is what generally happens. For smaller shops it does make sense to peruse libraries with source code access.
True. However, if you get access to F3 source code that is almost designed specifically for using the guts. I'm not sure if they made it easier to develop custom payoffs in Python or not but I know they had Python capability a few years ago.
If memory serves, they also let you define contracts using the LeXiFi DSL which could shortcut the whole need for developing custom python code altogether.
It's a fund and nobody besides my group is gonna be dealing with these products. Even for me, I just need to know if the dealer is raping me and also so I can net my risks for exposure purposes.
Some of them can only be priced in MC. Some I price by replication (like conditional variance swaps).
Reminds me of my early days after grad school. First quant job involved structuring and risk managing prdcs aside other notes. Funny but somehow I went more and more vanilla as the years passed, am trading mostly systematized strategies linked to spot currencies in the past few years, though to be fair more time is allocated to new algorithm research than to babysitting operational ones.
So, are you looking for a package that already covers all the various structures you are trying to value or more for a tool that includes the basic valuation building blocks and let's you choose how you approach the valuation process? Is python really a requirement? Budget?
So, are you looking for a package that already covers all the various structures you are trying to value or more for a tool that includes the basic valuation building blocks and let's you choose how you approach the valuation process? Is python really a requirement? Budget?