[Rquantlib-commits] r229 - papers/rinfinance2010
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Apr 11 04:50:32 CEST 2010
Author: edd
Date: 2010-04-11 04:50:27 +0200 (Sun, 11 Apr 2010)
New Revision: 229
Modified:
papers/rinfinance2010/rquantlib_slides.tex
Log:
added 'stepwise' unveiling of parts
Modified: papers/rinfinance2010/rquantlib_slides.tex
===================================================================
--- papers/rinfinance2010/rquantlib_slides.tex 2010-04-09 03:18:26 UTC (rev 228)
+++ papers/rinfinance2010/rquantlib_slides.tex 2010-04-11 02:50:27 UTC (rev 229)
@@ -1,6 +1,6 @@
%% add 'handout' option for handouts, and pgfpages for 2-on-1
-%\documentclass[smaller,compress]{beamer}
+%\documentclass[handout,compress]{beamer}
\documentclass[compress]{beamer}
%\usepackage{pgfpages}
@@ -64,31 +64,6 @@
\section{QuantLib}
\subsection{Overview}
\begin{frame}
- \frametitle{A brief introduction to QuantLib}
- \framesubtitle{What is it, and who wrote is behind it?}
- \begin{columns}
- \begin{column}{1.5in}
- \includegraphics[width=1.5in]{figures/ql-svn.pdf}
- \end{column}
-
- \begin{column}{3.1in}
- \begin{itemize}
- \item \QL is a C++ library for financial quantitative analysts and developers.
- \item \QL was started in 2000 and is hosted on Sourceforge.Net
- \item \QL is a free software project under a very liberal license allowing
- for inclusion in commercial projects.
- \item \QL is primarily the work of Ferdinando Ametrano and Luigi Ballabio.
- %with a supporting cast of other contributors.
- \item \QL is sponsored by the Italian consultancy StatPro which derives
- consulting income from it.
- \end{itemize}
- \end{column}
- \end{columns}
-\end{frame}
-
-
-\subsection{Timeline}
-\begin{frame}
\frametitle{QuantLib releases}
\framesubtitle{Showing the growth of QuantLib over time}
@@ -147,22 +122,51 @@
\includegraphics[height=2.9in]{figures/qlReleases.pdf}
\end{column}
+ \pause
\begin{column}{2in}
- \begin{itemize}
- \item The initial release was 0.1.1 in Nov 2000
- \item The first Debian package was prepared in May 2001
- \item Boost has been a requirement since July 2004
- \item The long awaited 1.0.0 release appeared in Feb 2010
+ \begin{itemize}[<+-|alert at +>]
+ \item The initial \QL release was 0.1.1 in Nov 2000
+ \item The first Debian \QL package was prepared in May 2001
+ \item Boost has been a \QL requirement since July 2004
+ \item The long awaited \QL 1.0.0 release appeared in Feb 2010
\end{itemize}
\end{column}
\end{columns}
\end{frame}
+\begin{frame}
+ \frametitle{A brief introduction to QuantLib}
+ \framesubtitle{What is it, and who wrote is behind it?}
+ \begin{columns}
+
+ \begin{column}{1.5in}
+ \includegraphics[width=1.5in]{figures/ql-svn.pdf}
+ \end{column}
+
+ \pause
+ \begin{column}{3.1in}
+ \begin{itemize}[<+-|alert at +>]
+ \item \QL is a C++ library for financial quantitative analysts and developers.
+ \item \QL was started in 2000 and is hosted on Sourceforge.Net
+ \item \QL is a free software project under a very liberal license allowing
+ for inclusion in commercial projects.
+ \item \QL is primarily the work of Ferdinando Ametrano and Luigi Ballabio.
+ %with a supporting cast of other contributors.
+ \item \QL is sponsored by the Italian consultancy StatPro which derives
+ consulting income from it.
+ \end{itemize}
+ \end{column}
+ \end{columns}
+\end{frame}
+
+
+\subsection{Timeline}
+
\subsection{Architecture}
\begin{frame}
\frametitle{QuantLib Architecture}
\framesubtitle{How is it put togetherm and how do I use it?}
- \begin{itemize}
+ \begin{itemize}[<+-|alert at +>]
\item \QL is written in C++ and fairly rigourously designed.
\item Luigi Ballabio has draft chapters on the \QL design and
implementation at \url{http://sites.google.com/site/luigiballabio/qlbook}.
@@ -180,7 +184,7 @@
\begin{frame}
\frametitle{Key Modules}
\framesubtitle{A rough guide, slight re-arranged from the QuantLib documentation}
- \begin{itemize}
+ \begin{itemize}[<+-|alert at +>]
\item Currencies and FX rates
\item Date and time calculations (Calendars, Day Counters)
\item Pricing engines (Asian, Barrier, Basket, Cap/Floor, Cliquet, Forward, Quanto,
@@ -208,8 +212,11 @@
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %
+ \end{verbatim}
+\pause
+ \begin{verbatim}
Method European Bermudan American
Black-Scholes 3.844308 N/A N/A
Barone-Adesi/Whaley N/A N/A 4.459628
@@ -234,8 +241,8 @@
\begin{frame}[fragile]
\frametitle{Errors from discrete hedging (Derman and Kamal)}
-{ \tiny
- \begin{verbatim}
+ { \tiny
+\begin{verbatim}
$ DiscreteHedging
Option value: 2.51207
@@ -248,12 +255,13 @@
Run completed in 16 s
\end{verbatim}
-}
+ }
-Other examples include \texttt{SwapValuation}, \texttt{Repo},
-\texttt{Replication}, \texttt{FRA}, \texttt{FittedBondCurve}, \texttt{Bonds},
-\texttt{BermudanSwaption}, \texttt{CDS}, \texttt{ConvertibleBonds},
-\texttt{CallableBonds} and \texttt{MarketModels}
+ \pause
+ Other examples include \texttt{SwapValuation}, \texttt{Repo},
+ \texttt{Replication}, \texttt{FRA}, \texttt{FittedBondCurve}, \texttt{Bonds},
+ \texttt{BermudanSwaption}, \texttt{CDS}, \texttt{ConvertibleBonds},
+ \texttt{CallableBonds} and \texttt{MarketModels}
\end{frame}
@@ -262,9 +270,9 @@
\subsection{Key components}
\begin{frame}
\frametitle{Overview}
- \begin{itemize}
+ \begin{itemize}[<+-|alert at +>]
\item Initial implementation: Standard equity option pricing:
- \begin{itemize}
+ \begin{itemize}[<+-|alert at +>]
\item pricers and greeks for European and American options
\item first set of exotics using barrier and binaries
\item also implied volatility calculations where available
@@ -280,7 +288,8 @@
\begin{frame}[fragile]
\frametitle{Option Valuation and Greeks}
\framesubtitle{Analytical results where available}
-\tiny \begin{verbatim}
+ \tiny
+\begin{verbatim}
R> example(EuropeanOption)
ErpnOpR> # simple call with unnamed parameters
@@ -314,7 +323,7 @@
\end{verbatim}
\end{frame}
-%$#
+
\begin{frame}
\frametitle{Option Valuation and Greeks}
\framesubtitle{The \texttt{demo(OptionSurfaces)} provides some animation}
@@ -328,12 +337,14 @@
\includegraphics[width=0.82in]{figures/animation/Theta01}
\includegraphics[width=0.82in]{figures/animation/Vega01}
+ \pause
\includegraphics[width=0.82in]{figures/animation/Value04}
\includegraphics[width=0.82in]{figures/animation/Delta04}
\includegraphics[width=0.82in]{figures/animation/Gamma04}
\includegraphics[width=0.82in]{figures/animation/Theta04}
\includegraphics[width=0.82in]{figures/animation/Vega04}
+ \pause
\includegraphics[width=0.82in]{figures/animation/Value07}
\includegraphics[width=0.82in]{figures/animation/Delta07}
\includegraphics[width=0.82in]{figures/animation/Gamma07}
@@ -342,7 +353,6 @@
\end{frame}
-
\section{Fixed Income}
\subsection{Overview and development}
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