Twofish's Blog

June 24, 2006

Got SWIG commit privileges!!!! QF update

Filed under: quantitative finance, quantlib — twofish @ 5:27 pm

I've been given commit privileges into the SWIG source tree to check in R-SWIG.  It will still take a few days before it happens.  I need to make a number of suggested fixes.  The most important of those is to get some decent unit test conditions.  The unit tests have been written, but not the test conditions.  Once that is done, the next steps are

1) Get everything working again

2) Sit down and examine the differencing in pde.hpp, I've gotten e-mail disagreeing with the difference scheme, and I need to look at it very closely

3) Write a fast fourier transform system in QuantLib

4) Add GARCH to QuantLib

Right now the three books I'm reading are Oksendal's Stochastic Differential Equations, Baaquie's Quantum Finance, and Cont's Financial Modelling with Jump Processes.  Of the three Cont is the most useful for what I'm actually trying to do, but Baaquie is a walk on the wild side, and Oksendal I'm mainly reading so that I can understand the mathematical language.

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