http quantlib orgindex shtml 2010126 LOGO Outline v

http: //quantlib. org/index. shtml 碩一謝昌宏 2010/1/26 LOGO

Outline v. Introduction v. Prepare § Download Quant. Lib, Boost v. Boost Installation v. Boost Configuration v. Quant. Lib Installation v. Demo v. Reference Documentation LOGO

Introduction LOGO v. The Quant. Lib project is aimed at providing a comprehensive software framework for quantitative finance. Quant. Lib is a free/opensource library for modeling, trading, and risk management in real-life. v. Quant. Lib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme.

Prepare – Download Quant. Lib LOGO

The Base of Quant. Lib - Boost LOGO

Install LOGO

Boost Installation LOGO

Boost Installation Download boost source code Fit your version of VS LOGO

Boost Installation LOGO

Boost Configuration LOGO

Boost Configuration . . boost_140boost LOGO

Quant. Lib Installation Fit your version of VS. Vs 2003 => vc 7. sln Vs 2005 => vc 8. sln Vs 2008 => vc 9. sln LOGO

Quant. Lib Installation Choice mode that you want compile. Note: you can’t use Quant. Lib with some mode that without compile. LOGO

Quant. Lib Installation LOGO

Quant. Lib Installation Result LOGO

Demo - Configuration LOGO

Demo – contents of ql LOGO

Demo – Day Counter v #include "stdafx. h" v v #include <ql/quantlib. hpp> #include <iostream> v v int main(array<System: : String ^> ^args) { Quant. Lib: : Calendar my. Cal=Quant. Lib: : United. Kingdom(); Quant. Lib: : Date new. Years. Eve(31, Quant. Lib: : Dec, 2008); v v v std: : cout << "Name: " << my. Cal. name()<< std: : endl; std: : cout << "New Year is Holiday: " << my. Cal. is. Holiday(new. Years. Eve)<< std: : endl; std: : cout << "New Year is Business Day: " << my. Cal. is. Business. Day(new. Years. Eve)<< std: : endl; v std: : cout << "-------- Date Counter ----------" << std: : endl; v v Quant. Lib: : Date date 1(28, Quant. Lib: : Dec, 2008); Quant. Lib: : Date date 2(04, Quant. Lib: : Jan, 2009); v v v v std: : cout << "First Date: " << date 1 << std: : endl; std: : cout << "Second Date: " << date 2 << std: : endl; std: : cout << "Business Days Betweeen: "<< my. Cal. business. Days. Between(date 1, date 2) << std: : endl; std: : cout << "End of Month 1. Date: " << my. Cal. end. Of. Month(date 1) << std: : endl; std: : cout << "End of Month 2. Date: " << my. Cal. end. Of. Month(date 2) << std: : endl; return 0; } LOGO

Demo – Day Counter LOGO

Demo – Day Counter v #include "stdafx. h" country name ( qltimecalendars ) v v #include <ql/quantlib. hpp> #include <iostream> v v int main(array<System: : String ^> ^args) { Quant. Lib: : Calendar my. Cal=Quant. Lib: : United. Kingdom(); Quant. Lib: : Date new. Years. Eve(31, Quant. Lib: : Dec, 2008); Specific day v v v std: : cout << "Name: " << my. Cal. name()<< std: : endl; std: : cout << "New Year is Holiday: " << my. Cal. is. Holiday(new. Years. Eve)<< std: : endl; std: : cout << "New Year is Business Day: " << my. Cal. is. Business. Day(new. Years. Eve)<< std: : endl; v std: : cout << "-------- Date Counter ----------" << std: : endl; v v Quant. Lib: : Date date 1(28, Quant. Lib: : Dec, 2008); Quant. Lib: : Date date 2(04, Quant. Lib: : Jan, 2009); v v v v std: : cout << "First Date: " << date 1 << std: : endl; std: : cout << "Second Date: " << date 2 << std: : endl; std: : cout << "Business Days Betweeen: "<< my. Cal. business. Days. Between(date 1, date 2) << std: : endl; std: : cout << "End of Month 1. Date: " << my. Cal. end. Of. Month(date 1) << std: : endl; std: : cout << "End of Month 2. Date: " << my. Cal. end. Of. Month(date 2) << std: : endl; return 0; } LOGO

Demo – Day Counter modificatory This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. v v v #include "stdafx. h“ #include <ql/qldefines. hpp> #include <ql/version. hpp> #ifdef BOOST_MSVC # include <ql/auto_link. hpp> #endif v v v #include <ql/time/all. hpp> #include <iostream> using namespace std; using namespace Quant. Lib; int main(array<System: : String ^> ^args) { Calendar my. Cal=Taiwan(); Date new. Years. Eve(31, Dec, 2008); cout << "Name: " << my. Cal. name()<< endl; cout << "New Year is Holiday: " << my. Cal. is. Holiday(new. Years. Eve)<< endl; cout << "New Year is Business Day: " << my. Cal. is. Business. Day(new. Years. Eve)<< endl; v v v cout << "-------- Date Counter ----------" << endl; Date date 1(28, Dec, 2008); Date date 2(04, Jan, 2009); cout << "First Date: " << date 1 << endl; cout << "Second Date: " << date 2 << endl; cout << "Business Days Betweeen: "<< my. Cal. business. Days. Between(date 1, date 2) << endl; cout << "End of Month 1. Date: " << my. Cal. end. Of. Month(date 1) << endl; cout << "End of Month 2. Date: " << my. Cal. end. Of. Month(date 2) << endl; system("pause"); return 0; } LOGO

Reference Documentation LOGO

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