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財務工程程式設計專業課程
Bridging FpML and QuantLib
Porting QuantLib to .NET/C#
用 C# 執行 Monte Carlo 模擬 -- 產生 Sobol 亂數
Mass Calculation of Correlation for Pair Trading

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September, 2008 (8)
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August, 2006 (2)
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 Tuesday, September 30, 2008
財務工程程式設計專業課程
Tuesday, September 30, 2008 3:35:49 PM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )
在證基會開課已經有一段時間了, 也很高興累積了一些 "粉絲", 有幾名學員上了到目前為止開的全部四堂課, 真是令我很感動. 原本擔心所講的課大家沒有興趣, 畢竟這些課程是很新的嚐試. 也很感謝證基會給我機會可以推出這些新的課程.

先前的課程比較不牽涉程式設計的部份, 十一月起會陸續開一些給財務人員的 C# 課程. 未來也計劃做一些衍生性商品評價和風險的 C# 程式設計.

我為這些課程做了一個專屬網站, 內容會陸續更新. 網址是 http://www.derivativepower.com/training

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 Sunday, September 28, 2008
Bridging FpML and QuantLib
Sunday, September 28, 2008 7:53:55 PM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )
I am tring to make FpML and QuantLib working together. I use a plain vanilla swap sample of FpML and convert it to VanillaSwap class of QuantLib. The experiment is successful and I can read an FpML document of vanilla swap and pricing it using QuantLib. I will put the workable version of ASP.NET on my site after I maintain a database of historical price of interest rate index, ie LIBOR, Euribor, and Tainwanese indexes.

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 Friday, September 19, 2008
Porting QuantLib to .NET/C#
Friday, September 19, 2008 9:50:08 PM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )
I have worked on porting QuantLib to C# for months. I am glad I have great progress on it.

I created a dedicated website to demostrate and to document the result. Please visit http://quantlib.derivativepower.com for docuemtation and examples.

Currently I have finished 3 examples: Convertible Bond, Interest Rate Swap, and Equity Option. These examples are cloned from original QuantLib examples for checking the correctness of this portion. More examples, such as BermudanSwaption, CDS, FRA, Repo will be available soon.

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 Wednesday, September 03, 2008
用 C# 執行 Monte Carlo 模擬 -- 產生 Sobol 亂數
Wednesday, September 03, 2008 11:35:59 AM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )
要執行 Monte Carlo 模擬, 要先有 Quasi Random Numbers 或是稱為 Low Discrepancy Sequences. 目前比較常用的是 Faure 或 Sobol 兩種演算法. 我將 Sobol 演算法用 C# 實作了一份 Sobol 產生器, 另外也有計算 L^2 Discrepancy. 有興趣的朋友歡迎到

http://www.derivativepower.com/dp/Demo/sobol.aspx

實際執行看看.

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 Tuesday, September 19, 2006
Mass Calculation of Correlation for Pair Trading
Tuesday, September 19, 2006 12:12:36 PM (台北標準時間, UTC+08:00) ( .NET Programming | Quant's Life )

We finished first release of RightPairs for pair trading last week. We are very happy because it is the most powerful generic calculation agent we ever developed.

First of all, it can run on multiple PCs and multi-threads. We tested the calculation on three 4-CPU servers, each server run calculation agents in 12 threads, without any problem. It takes full advantage of multi-processor and multi-thread. Currently it do only correlations, but it is quite easy to add more calculation features.

Our software is at http://www.rightpairs.com

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