qfin

Installing Marketcetera on Mac OS X 10.6 Snow Leopard: Home

indietrader — Tue, 02 Nov 2010 01:58:02 +0000

Installing Marketcetera on Mac OS X 10.6 Snow Leopard: Home.

JQuantLib

indietrader — Wed, 28 Jul 2010 01:48:18 +0000

JQuantLib.

And sure there is JQuantLib as well.

Hack the market » using Quantlib from Java

indietrader — Wed, 28 Jul 2010 01:45:55 +0000

Hack the market » using Quantlib from Java.

Here is good guide for using quantlib for Java(using SWIG). It’s pretty straightforward. (It works on mac)

Is QuantLib over engineered? (via CppDepend)

indietrader — Fri, 23 Jul 2010 14:21:13 +0000

Cppdepend on Quantlibs implementation and design.

QuantLib is a cross-platform, quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life.QuantLib offers tools that are useful both for practical implementation and for advanced modeling. It features market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on. With QuantLib we can adapt pricing, clendar , market and so on,it's very flexible bu … Read More

via CppDepend

Black Scholes Calculator

indietrader — Thu, 22 Jul 2010 02:49:50 +0000

Just created a black-Scholes Calculator webapp using sinatra in just 90 lines of code.

Here it is:

http://young-cloud-58.heroku.com/

Installing RQuantLib on mac.

indietrader — Fri, 02 Jul 2010 10:04:49 +0000

You must have quantlib + boost + R installed first.

either run “(sudo) R CMD INSTALL RQuantLib” from the terminal. Or run “install.packages(c(“RQuantLib”)) from within R(sudo R).

run the example to see if it works:

library(RQuantLib)
EO <- EuropeanOption(“call”, 100, 100, 0.01, 0.03, 0.5, 0.4)
print(EO)

more examples
http://dirk.eddelbuettel.com/code/rquantlib.html

Note that RQuantLib is not the full QuantLib.

Install Quantlib-SWIG Ruby

indietrader — Fri, 02 Jul 2010 06:57:21 +0000

First off you need SWIG and SWIG-ruby. Install these using macports

Now get the QuantLib-SWIG package

run ./configure

In the ruby directory write the following

ruby setup.rb wrap ruby setup.rb build ruby setup.rb test sudo ruby setup.rb install


Now try the examples to se if it works.
For me it causes a an error when creating a date object. Using QuantLib::date instead of date, and it works



Installing QuantLib on mac
indietrader — Fri, 02 Jul 2010 06:40:52 +0000
Just writing this for future reference.
First get macports(porticus is a nice gui to use) and install boost(and dependents).
To install boost(in terminal)

sudo port install boost  


Boost should install in /opt/local by default.
Then download quantlib. You want to download the tar.gz package and extract it

 tar -xzvf QuantLib* 


To install QuantLib(in terminal)

 ./configure -enable-static –with-boost-include=/opt/local/include/ –with-boost-lib=/opt/local/lib/ –prefix=/opt/local/ 



And at last


 make && make install 




And then try to compile the examples(terminal). For example

g++ -I /opt/local/include/ -I/opt/local/include/boost BermudanSwaption.cpp -o bermudanoption -L/opt/local/lib/ -lQuantLib