[Rquantlib-commits] r199 - papers/rinfinance2010
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Mar 16 03:52:53 CET 2010
Author: edd
Date: 2010-03-16 03:52:53 +0100 (Tue, 16 Mar 2010)
New Revision: 199
Modified:
papers/rinfinance2010/rquantlib_slides.tex
Log:
added some so-far rather lame slides
include figures from figures/
Modified: papers/rinfinance2010/rquantlib_slides.tex
===================================================================
--- papers/rinfinance2010/rquantlib_slides.tex 2010-03-16 02:52:21 UTC (rev 198)
+++ papers/rinfinance2010/rquantlib_slides.tex 2010-03-16 02:52:53 UTC (rev 199)
@@ -1,5 +1,6 @@
%% add 'handout' option for handouts, and pgfpages for 2-on-1
-\documentclass[smaller,compress, 9pt]{beamer}
+%\documentclass[smaller,compress]{beamer}
+\documentclass[compress]{beamer}
%\usepackage{pgfpages}
%\pgfpagesuselayout{2 on 1}[letterpaper,border shrink=5mm]
%\pgfpagesuselayout{4 on 1}[letterpaper,border shrink=5mm]
@@ -8,7 +9,7 @@
\usepackage{alltt}
\usepackage[latin1]{inputenc}
-\input {highlight.sty}
+\input{highlight.sty}
\include{beamer_setup} %% has all definitions etc
@@ -33,11 +34,13 @@
\titlepage
\end{frame}
-\section{Introduction}
+\iffalse
+\section{Introduction (draft, just an idea)}
\begin{frame}
\frametitle{Overview}
\framesubtitle{Presentation details}
\begin{itemize}
+\small
\item Brief overview of QuantLib
\begin{itemize}
\item History, about to release 1.0 after eight long years
@@ -62,7 +65,109 @@
\item Finish with Outlook / Agenda / Areas not yet covered
\end{itemize}
\end{frame}
+\fi
+\section{QuantLib}
+\subsection{Overview}
+\begin{frame}
+ \frametitle{A brief introduction to QuantLib}
+ \framesubtitle{WORK IN PROGRESS...}
+ \begin{itemize}
+ \item \QL was started in 2001 (see below)
+ \item \QL is hosted on Sourceforge.Net
+ \item It is a free software project under a very liberal license allowing
+ for inclusion in commercial projects.
+ \item \QL is sponsored by the Italian consultancy StatPro
+ which (AFAIK) derives consulting income from it.
+ \item \QL has seen almost a decade of contributions from maybe two dozen
+ people, however the project is primarily the work of Ferdinando
+ Ametrano and Luigi Ballabio.
+ \end{itemize}
+\end{frame}
+
+\begin{frame}
+ \frametitle{QuantLib architecture}
+ \framesubtitle{WORK IN PROGRESS...}
+ \begin{itemize}
+ \item \QL is written in C++ and \textsl{very} well designed.
+ \item Luigo Ballabio has draft chapters of a book on the design of \QL.
+ \item \QL makes extensive use of Swig and bindings for OCaml, Java, Perl,
+ Python, Ruby, C\#, ... exist
+ \item Eric Ehlers has written extension that provide support for XL
+ integration which seem popular.
+ \end{itemize}
+\end{frame}
+
+\subsection{TImeline}
+\begin{frame}
+ \frametitle{QuantLib releases}
+ \framesubtitle{WORK IN PROGRESS... this does not look that good yet}
+
+ \begin{columns}
+ \begin{column}{1.25in}
+ \scriptsize
+ \begin{tabular}{lrl}
+ % \toprule
+ Version & Date &\\
+ % \midrule
+ 1.0 & 24 Feb 2010 & \\
+ 0.9.9 & 11 Nov 2009 & \\
+ 0.9.7 & 18 Nov 2008 & \\
+ 0.9.6 & 06 Aug 2008 & \\
+ 0.9.5 & 30 Jul 2008 & \\
+ 0.9.0 & 24 Dec 2007 & \\
+ 0.8.1 & 04 Jun 2007 & \\
+ 0.8.0 & 30 May 2007 & \\
+ 0.4.0 & 20 Feb 2007 & \\
+ 0.3.4 & 06 Nov 2006 & \\
+ 0.3.13& 31 Jul 2006 & \\
+ 0.3.12& 27 Mar 2006 & \\
+ 0.3.11& 20 Oct 2005 & \\
+ \phantom{X} & &
+ \end{tabular}
+ \end{column}
+
+ \begin{column}{0.25in}
+ \phantom{XX} % empty, not shown
+ \end{column}
+
+ \begin{column}{2.75in}
+ \scriptsize
+ \begin{tabular}{lrl}
+ % \toprule
+ Version & Date &\\
+ % \midrule
+ 0.3.10& 14 Jul 2005 & \\
+ 0.3.9 & 02 May 2005 & \\
+ 0.3.8 & 22 Dec 2004 & \\
+ 0.3.7 & 23 Jul 2004 & first release using Boost \\
+ 0.3.6 & 15 Apr 2004 & \\
+ 0.3.5 & 31 Mar 2004 & \\
+ 0.3.4 & 12 Nov 2003 & \\
+ 0.3.3 & 03 Sep 2003 & \\
+ 0.3.1 & 04 Feb 2003 & \\
+ 0.3.0 & 06 May 2002 & \\
+ 0.2.1 & 03 Dec 2001 & (first RQuantLib Feb 2002) \\
+ 0.2.0 & 18 Sep 2001 & \\
+ 0.1.9 & 31 May 2001 & initial Debian package \\
+ 0.1.1 & 21 Nov 2000 & \\
+ \end{tabular}
+ \end{column}
+ \end{columns}
+\end{frame}
+
+\section{RQuantLib}
+\subsection{Overview}
+\begin{frame}
+ \frametitle{Overview}
+ \begin{itemize}
+ \item Initially: Standard Equity Options, both vanilla and exotics
+ \item First (external) contribution: Curves and Swaption
+ \item Second external contribution (as Google Summer of Code): Fixed Income
+ Functionality
+ \end{itemize}
+\end{frame}
+
%\begin{frame}[fragile] % fragile important when lstlisting used
% \frametitle{We can do code}
% \framesubtitle{Thanks to lstlisting}
@@ -90,7 +195,9 @@
% return rl;
%}
%\end{lstlisting}
+%\end{frame}
+\section{Fixed Income}
\begin{frame}
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Quick overview}
@@ -171,7 +278,7 @@
\hlstd{}\hlkwc{plot}\hlstd{}\hlsym{(}\hlstd{curves)}
\normalfont
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{discountCurve.png}}
+\resizebox{75mm}{!}{\includegraphics{figures/discountCurve.png}}
\end{center}
\end{frame}
@@ -249,7 +356,7 @@
\hlstd{}\hlkwc{plot}\hlstd{}\hlsym{(}\hlstd{z, xlab='Date', ylab='Zero Rates')}
\normalfont
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{fittedBondCurve.png}}
+\resizebox{75mm}{!}{\includegraphics{figures/fittedBondCurve.png}}
\end{center}
\end{frame}
@@ -944,7 +1051,7 @@
\column{2.8in}
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{cbspread.png}}
+\resizebox{75mm}{!}{\includegraphics{figures/cbspread.png}}
\end{center}
\end{columns}
@@ -1046,9 +1153,8 @@
\hlstd{}\hlsym{+\ }\hlstd{opts}\hlsym{(}\hlstd{}\hlkwc{title}\hlstd{}\hlsym{=}\hlstd{}\hlstr{'Effect\ of\ spread\ on\ a\ convertible\ bond'}
\normalfont
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{matlab_cbond.png}}
+\resizebox{75mm}{!}{\includegraphics{figures/matlab_cbond.png}}
\end{center}
-
\end{frame}
\begin{frame}
@@ -1056,7 +1162,7 @@
\framesubtitle{Graphical User Interface}
RQuantLib also comes with an user interface via the 'traitr' package by professor John Verzani.
\begin{center}
- \resizebox{90mm}{!}{\includegraphics{fbGUI.png}}
+ \resizebox{90mm}{!}{\includegraphics{figures/fbGUI.png}}
\end{center}
\end{frame}
@@ -1064,7 +1170,7 @@
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Graphical User Interface}
\begin{center}
- \resizebox{110mm}{!}{\includegraphics{dcGUI.png}}
+ \resizebox{110mm}{!}{\includegraphics{figures/dcGUI.png}}
\end{center}
\end{frame}
@@ -1073,7 +1179,7 @@
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Graphical User Interface}
\begin{center}
- \resizebox{90mm}{!}{\includegraphics{bondGUI.png}}
+ \resizebox{90mm}{!}{\includegraphics{figures/bondGUI.png}}
\end{center}
\end{frame}
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