Poll: for how much would you buy a book on "Getting Started with QuantLib"?

[yetanotherquant]

Hi there again,
I use my Christmas - NY vacation to write the book, so far I have 20 pages (well, there are a lot of screenshots).

Here is a good teaser (esp. for recent graduates that are looking for quant-developer jobs).
Find the yield of a German zerobond issued on October, 2 2014 and maturing on October, 2 2016.
Face amount is €100, the bond was issued at €97.5

Seems to be trivial? Have a look at code attached.
BTW, the solution from QuantLib is r = 0.012788

 

[yetanotherquant]

One more teaser: QuantLib :: Date represented in VS-Debugger in a readable way

 

[tfors]

Hi there again,
I use my Christmas - NY vacation to write the book, so far I have 20 pages (well, there are a lot of screenshots).

Here is a good teaser (esp. for recent graduates that are looking for quant-developer jobs).
Find the yield of a German zerobond issued on October, 2 2014 and maturing on October, 2 2016.
Face amount is €100, the bond was issued at €97.5

Seems to be trivial? Have a look at code attached.
BTW, the solution from QuantLib is r = 0.012788

It is nice. Check this line though (spelling): Real faceAmout = 100;

 

[yetanotherquant]

It is nice. Check this line though (spelling): Real faceAmout = 100;

Thanks!
Here is the second part of the code: a "manual" verification of the results

//and check the results manually
double yearFraction2014 = (Date(31, December, 2014) - Date(7, October, 2014) + 1);
yearFraction2014 /= 365;
double yearFraction2016 = (Date(4, October, 2016) - Date(1, January, 2016));
yearFraction2016 /= 366;
double t = yearFraction2014 + 1.0 + yearFraction2016;

double tDC = dayCounter.yearFraction(Date(7, October, 2014), Date(4, October, 2016));
assert(abs(t - tDC) < accuracy);
double yield2 = exp((log(redemption) - log(cleanPrice)) / t) - 1;
std::cout << "yield from manual check " << yield2 << "\n";

 

[yetanotherquant]

Next teaser: generating schedules and coupon bonds

 

[Kann]

I don't mind giving ~100$ for hardbacks, but for E-books i'm getting a little cheap, and i don't want to give over 15$.

 

[yetanotherquant]

In attachment there is a solution to the 1st exercise in Post #16 (for which we actually even do not need QuantLib).
Simple?! I will soon publish the solution to the 2nd exercise

 

[yetanotherquant]

As promised, a solution for the 2nd exercise (with some hints from Doxygen).

...And guys, to be true I do not understand the lack of your interest to my code snippets (just a few downloads).
And this in spite of the fact that many of you complete The "C++ Programming for Financial Engineering" Online Certificate!
I don't believe that you do not want to learn how to apply your knowledge in practice
But then, what's the problem?!

 

[Daniel Duffy]

Time is scarce I suppose, so MFE students might have other priorities like C++11.

They might be beta testers and that should not be so. They want a finished product I reckon.

===
Do you already know the TOC of your book?

 

[yetanotherquant]

>Time is scarce...
Yes, it is. As I was a student, I also sometimes needed to learn what brings Credit Points.

I wonder how many would do C++ Programing for Financial Engineering Online Certificate
if it were not Approved for 15 CPE credit hours by GARP

>Do you already know the TOC of your book?
Not yet.
I neither set any deadlines to myself, I just write (almost) everytime when I have opportunity to do it.
But I will more or less adhere to the plan I sketched in #15

P.S.
I have updated code3_2.cpp in #28.
a. BugFix: first (fractional) coupon is now taken into account by PV calculation
b. I show how the same calculation may be done by means of DiscountingBondEngine

 

[Andy Nguyen]

I wonder how many would do C++ Programing for Financial Engineering Online Certificate if it were not Approved for 15 CPE credit hours by GARP

Every single one that has been enrolled so far.
I'm pretty sure there are easier ways to get GARP CPE credits.
The 15 CPE credits is a great recognition by GARP that just happened few weeks ago. Our course started in Sept 2011 and a vast majority of the students took it to join MFE programs or to move to more quantitative roles.

 

[Daniel Duffy]

>Time is scarce...
Yes, it is. As I was a student, I also sometimes needed to learn what brings Credit Points.

I wonder how many would do C++ Programing for Financial Engineering Online Certificate
if it were not Approved for 15 CPE credit hours by GARP

>Do you already know the TOC of your book?
Not yet.
I neither set any deadlines to myself, I just write (almost) everytime when I have opportunity to do it.
But I will more or less adhere to the plan I sketched in #15

P.S.
I have updated code3_2.cpp in #28.
a. BugFix: first (fractional) coupon is now taken into account by PV calculation
b. I show how the same calculation may be done by means of DiscountingBondEngine

Well, you can wonder. Truth is, as Andy says the course started in 2011.
And I don't see what it has to do with your upcoming book.

It's nice to get recognition from GARP. Thank you.

 

[yetanotherquant]

And I don't see what it has to do with your upcoming book.

Nothing directly. But indirectly I would expect that those who have completed the course would be eager to get the first hands-on experience with real-life problems and real-life library.

P.S.
Wondering whether 15 CPE credit hours by GARP is crucial I in no way doubted the quality of the course.
Just marketing, if I see that this factor is crucial, I will likely try to make use of it, e.g. by sending free copies to professors that lecture on computational finance.

 

[Daniel Duffy]

Nothing directly. But indirectly I would expect that those who have completed the course would be eager to get the first hands-on experience with real-life problems and real-life library.

P.S.
Wondering whether 15 CPE credit hours by GARP is crucial I in no way doubted the quality of the course.
Just marketing, if I see that this factor is crucial, I will likely try to make use of it, e.g. by sending free copies to professors that lecture on computational finance.

You should also consider practitioners.

 

[yetanotherquant]

Next teasers:
1) Calibration of the HullWhite and LIBOR models
(alpha version, also have a look at http://letianwang.net/Codes/HW_Calibration.htm)
2) An overview of IR Models in QL1.4.1
(quiz: what T stands for? )

 

[yetanotherquant]

So guys, since firstly there was not too much [ready-to-pay] interest in the book and secondly I have little time to write it. So I decided to put the notes on my webpage (http://www.yetanotherquant.com)

Source code is available too, except the debugger-friendly version of QuantLib:Date.
Those, who wanna get is as well, should spend me 10 USD

 

[C S]

I think anyone interested in a quant dev job should work on their knowledge of algorithms/data structures, performance issues in the language of choice (whether it be C++, Python,..), and interview questions. Time is the most precious resource. I'm not sure where a book on learning Quantlib fits in this. Interviewers don't seem to really care about the amount of financial knowledge for entry-level positions, and an experienced hire will be beyond this guide or have developed skills in another direction that have a far bigger payoff.

 

[yetanotherquant]

I think anyone interested in a quant dev job should work on their knowledge of algorithms/data structures, performance issues in the language of choice (whether it be C++, Python,..), and interview questions. Time is the most precious resource. I'm not sure where a book on learning Quantlib fits in this.

Surely it fits.
One can (and should) read about algorithms/data structures but real learning comes by doing.
QuantLib provides an excellent opportunity to play with the implementation by profis.
The only problem: entry barrier is prohibitively high, even the library compilation is a non-trivial task (=>no go, since "Time is the most precious resource").
My book (even current abridged notes) can mitigate this problem.

Interviewers don't seem to really care about the amount of financial knowledge for entry-level positions.

They do!
At least I, with no work permit and (by that time) limited German, would never get a job in Germany, if not demonstrated programming skills and a passionate interest in finance.

 

[Daniel Duffy]

Surely it fits.
One can (and should) read about algorithms/data structures but real learning comes by doing.
QuantLib provides an excellent opportunity to play with the implementation by profis.
The only problem: entry barrier is prohibitively high, even the library compilation is a non-trivial task (=>no go, since "Time is the most precious resource").
My book (even current abridged notes) can mitigate this problem.


They do!
At least I, with no work permit and (by that time) limited German, would never get a job in Germany, if not demonstrated programming skills and a passionate interest in finance.

Sadly, after all the hullabaloo the book has not seen the light of day.

Maybe a book on 'how to make time'?

 

[Ryan Shrott]

@Daniel Duffy - Would you suggest I learn Quantlib next?