The course price includes coffee, tea, lunch and refreshments. ... To participate in this course, you need to bring your
3 days, Central London £1800 (excluding VAT)
18-20th June, 2018 Click here to register your interest in attending Or complete and return the registration form at the end of this brochure to confirm.
Dr Luigi Ballabio presents
Introduction to QuantLib Development
The goal of this three-day intensive hands-on course is to take a birds-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin.
This is an intensive, practical course for Financial Market Participants.
YOU ARE KINDLY REQUESTED TO BRING YOUR OWN LAPTOP TO THE COURSE.
Please contact
[email protected] if you have any questions.
Email:
[email protected] Telephone: +44 1275 795 823
18-20th October, 2018 About the Speaker Luigi Ballabio is senior quantitative developer at StatPro Italia srl, part of StatPro Ltd. He's one of the founders, administrators and lead developers of the QuantLib project. He holds a Ph.D. In Applied Nuclear Physics from the University of Uppsala.
What do you learn? •
The overall design of the QuantLib library
•
The rationale of its design and implementation
•
The correct use of the main classes in the library
•
The design and use of some of its framework, such as the tree and Monte Carlo frameworks
What do you receive? The course price includes coffee, tea, lunch and refreshments. You will be issued with a certificate on completion.
Prerequisites We assume that the student has experience of modern C++ and finance. The most advanced C++ features used in the library will be covered, if necessary. The course and all materials are delivered in English.
Who should attend? Quant developers writing or maintaining pricing code and wanting to fit it into the QuantLib framework. The course is strictly limited to 8 participants.
Email:
[email protected] Telephone: +44 1275 795 823
18-20th October, 2018 Course Content Day 1—Overall Design
The Instrument class
•
Interface and rationale / Tracking market changes: the Quote class / Responding to market changes / Examples
Pricing engines
•
Shortcomings of the original Instrument class / The PricingEngine class / Examples / Exercises
Term structures
•
The TermStructure class / Yield term structures / Curve bootstrap/ Examples / Exercises
Day 2—The Monte Carlo Framework
Path generation
•
Random-number generation / The StochasticProcess class / Implementing a stochastic process / Path generation / Examples / Exercises
Path pricers
•
The PathPricer class / Implementing a path pricer / Possible extensions / Exercises
Putting it all together
•
Monte Carlo traits / Monte Carlo simulations / Implementing a Monte Carlo engine / Examples / Exercises
Day 3—The Tree Framework
Pricing on a lattice
•
The Lattice class / The DiscretizedAsset class / Their interplay/ Examples
Tree-based lattices
•
The Tree class / Binomial and trinomial trees/ Tree-based lattices / Short-rate models
Tree-based engines
•
Implementing a discretized asset / Choosing a tree-based model / Calibration / Examples / Exercises
Email:
[email protected] Telephone: +44 1275 795 823
18-20th October, 2018
Attention To participate in this course, you need to bring your own laptop computer with QuantLib and a C++ development environment installed.
Further Information Dates: 3 Days – June 18-20, 2018 Venue: Central London Cost: £1800 (exc VAT)
Registration Please Return Application form to: Financial Training MoneyScience Ltd, Radius Enterprise Center Clevedon Hall, Clevedon BS21 7RQ UK
Enquiries: Jacob Bettany Tel: +44 (0) 1275 795 823 mail:
[email protected]
Group Discounts 10% for 2 delegates, 20% for 3 or more delegates.
Email:
[email protected] Telephone: +44 1275 795 823
18-20th October, 2018 Registration Form 1st Participant Title (Dr / Mr / Mrs / Ms) 1st Participant Name 1st Participant Email Additional Participant Title: Additional Participant Name: Additional Participant Email: Contact Telephone Number
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Please Return Completed Application to: Financial Training, MoneyScience Radius Development Center Clevedon North Somerset BS21 7RQ UK Or Sign, Scan and Return to
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□ I have read and understand the Terms and Conditions on the page following. Cancellation If a person which has registered for this course is unable to attend for whatever reasons, a substitute representative may be appointed to participate in advance. Cancellation will be accepted only in written form no later than twenty calendar days prior to the date of the course while a cancellation fee in the amount of 10% of the price or block price will be charged. Cancellation of participation within a period of less than twenty calendar days prior to the date of the course is not possible for technical and organisational reasons. MoneyScience reserve the right at all times to cancel participation or cancel the entire seminar for whatever unspecified reasons, including possible force majeure. In this case, the price will be refunded in full to the applying participant.
Email:
[email protected] Telephone: +44 1275 795 823
Terms and Conditions MoneyScience Training Events are English-language seminars, training sessions and practical workshops delivered by expert, qualified tutors. Our objective is to provide industry professionals with advanced financial know-how and up-to-date analytical methods and skills.
Tuition Language MoneyScience Events are held in English and all relevant manuals, training software etc. are also provided in English. In order to benefit from participation, a good working knowledge of English, including common financial phrases and related terminology, is required. Registration Clients who decided to participate, should submit their registration by mail to us in advance. Subject to availability, the participant will then receive a confirmation of participation. The number of participants is strictly limited to preserve an effective and focused learning environment. Seminar Prices The quoted seminar prices are per person and include all course material, lunches and refreshments, The price does not include hotel accommodation. Quoted prices are exclusive of VAT. Discounts Bulk discounts are offered when submitting an application for the participation of more than one person. Please contact
[email protected] for further details. Invoicing and Payment An invoice for the seminar price will be sent to the participants on receipt of their Registration Form and should be paid within days. Full payment of the invoice must be made before the start of the course as a precondition of participation. Terms of Cancellation If for whatever reasons a registered participant is unable to attend, a substitute delegate may be appointed to participate instead. For cancellations received 20 days or more before the beginning of the seminar, a 10 % cancellation fee of the full price will be invoiced i.e. 90 % of the price is refunded. For cancellations received less than 20 days prior to the beginning of the seminar, the full price is payable i.e. no refund will be provided. All cancellations must be in writing. MoneyScience reserves the right to cancel the individual participation or cancel the entire seminar or part of it for whatever unspecified reasons, including possible force majeure. In this case, the price paid will be refunded in full or in part, accordingly.
Email:
[email protected] Telephone: +44 1275 795 823
