QuantLib

I have seen growing QuantLib from its father and mother (you decide if Luigi or Nando are the mother) since its the conception in the year 2000, even before the name QuantLib was chosen. QuantLib is now mature and has a very large number of users and developers worldwide.



Learning Quantitative Finance with QuantLib

Most people start to use QuantLib after they become familiar with Quantitative Finance, usually because they want to become involved in the quant community.  In recent years, thanks to the excellent work done on the QuantLibXL add-in, it is possible to start using QuantLib even without having any programming experience. Hence, it makes a lot of sense to learn Quantitative finance and QuantLib at the same time.On the QuantLib website you can read

Students could master a library that is actually used in the real world and contribute to it in a meaningful way. This would potentially place them in a privileged position on the job market.

This is not the only reason why a student should learn QuantLib, I can think of few more reasons:

  • QuantLib can be installed on your computer in minutes and used with a spreadsheet without even installing a compiler
  • Using the SWIG extensions it is possible to use QuantLib from languages different from C++: for example Python
  • QuantLib contains some pretty-advanced C++. People already familiar with one of the SWIG versions of QuantLib can use QuantLib to learn C++


Teaching Quantitative Finance with QuantLib

Few years ago,  after many years as a professional researching and writing software for pricing and risk management of exotic financial instruments, I finally had the opportunity to share part of my knowledge with the students at the University of Milan-Bicocca in the Advanced Derivatives class.

In recent years I had already been doing internal training at StatPro using that terrific instrument that is QuantLib and in particular using the QuantLibXL add-in, hence, it became very natural to write the class material using many of the tools that QuantLib offers.

There are a number of reasons for which QuantLib should be used for teaching actual classes:

  • QuantLib is free: neither students nor teachers need to pay any fee to use it.  Especially when budgets are being cut left and right it is important to cut teaching costs as much as possible.
  • QuantLib is for beginners and advanced users. Since QuantLib contains the basic building blocks of any financial library (e.g., day-count conventions and Black-Scholes formula) to the most advanced algorithms (e.g. Libor-Market Model), it can be use to teach introductory as well as advanced classes
  • QuantLib is used by many companies around the world. Students can learn something that are likely to find in their actual work environment. It is a known fact that many companies use QuantLib (sometimes without telling anybody about it) and that bits of QuantLib code have been found in the biggest financial institutions and even in central banks.

List of related posts:


QuantLib on a Jupiter Notebook

After using QuantLib on excel (see the excellent QuantLibXL addin) for many years I have recently started to use it, as also suggested by Luigi in this video, in a ipython in a jupyter notebook. Moving away from excel was easier than I thought especially thanks to the pandas project. I am still experimenting with these […]


The First QuantLib Forum

On January, 18th, 2011, a number of QuantLib “fans” gathered at the Marriot Hotel in Canary Wharf, London, UK, to celebrate the first QuantLib forum. The forum was sposored by StatPro and you can find the official brochure in the attachments below. I personally believe the event was a great success and we had great […]