QuantLib/Projects

This page is regarding projects dealing with QuantLib

Here are some projects for newbies. If you are interested in any of these e-mail the quantlib-dev list


 * QuantLib/FinancialVisualization


 * QuantLib/VtkIntegration


 * Implement a new pricing engine - Global derivatives.com has equations for many derivatives which are not implemented.


 * Add some unit tests - Some classes that need some more unit tests are the time series classes, and the stochastic volatility classes


 * Profile the code to see where bottlenecks are


 * Create new volatility model classes


 * Finish up the GARCH model


 * Look at finite difference engine and make the time grid more consistent with the rest of the numerical methods


 * Annotate code - Go through the code and add notes and annotation using doxygen format


 * Add a section in quantlib wiki on careers and quant interviewing


 * Help with getting RSWIG to pass the SWIG conformance tests


 * Write some need RSWIG-Quantlib scripts


 * Always could use better documentation (books, tutorials, etc.)


 * Come up with a business plan for paid QuantLib support


 * Comp up with standard contract clauses or bureaucratic strategies to get commerical quantlib users to move code back to the main source tree


 * Project | Coding Skill | Financial Skill | Project Time |
 * Add Unit Tests | Low | Low | Low |
 * Quantlib could use some ore unit tests in test-suite. Examples include restructuring the unit tests for American options to compare all of them with a set of known results||||
 * Add Instruments | Low | High | Low |
 * Look at the ql/Instruments directory to see if we have a good list of instruments||||
 * Add Example Code | Low | Medium | Low |
 * Could always use more examples ||||
 * Tracing Code | Medium | Low | Medium |
 * Add tracing code to quantlib ||||
 * ConvertibleBonds | Medium | Medium | Medium |
 * Add support for convertible bonds ||||