QuantLib for Mere Mortals – Insights from QL User Meeting 2017

We have already used QuantLib at letYourMoneyGrow.com several times, in particular to provide a helpful scenario simulator for option traders. QuantLib User Meeting 2017, in which I also took part, provides insights on how to make QuantLib even more accessible for the "mere mortals".

In my presentation I talked about my attempts to popularize QuantLib, in particular among the students. The problem is: QuantLib is a very powerful gun ... often heavy enough to shoot your own foot. So even experienced quants and software engineers are often overstrained with it.
Fortunately, there are some successful attempts to make the usage of QuantLib more straightforward. Probably the most known one is the QuantLibXL, which seamlessly integrated QuantLib in Excel. However, QuantLibXL relieves a user only from technical overheads. An inexperienced user like a student or amateur trader might still get stuck, since e.g. in order to fit a yield curve with QuantLibXL, he has to specify all numerous parameters in the same way as one does it when calling QuantLib directly.

However, Deriscope is the alternative, targeting inexperienced but willing to learn users. According to its author (Ioannis Rigopoulos) Deriscope™ is a free Excel Add-In specializing in financial derivatives valuation. Its main innovative feature is an integrated wizard - the first of its kind in the financial industry - that helps you create spreadsheets with real time data (stock and fx live quotes) that deal with the pricing and risk management of diverse types of derivatives such as options, interest rate swaps, swaptions, credit default swaps, inflation swaps, basket options etc.
I have quickly tested Deriscope and to be honest the wizard is not 100% intuitive (I expected no miracles since a quantitative library can never be as intuitive as, say, an online shop or dating site). So some preliminary learning is still necessarily, in particular it is worth understanding the philosophy of Deriscope types (Data, Market, Model, Quotable, Tradable, Util). But if you want to start directly, have a look at comprehensive video tutorials that cover some most typical use cases.
Another practical feature of the Deriscope is that it can directly get data from Yahoo.Finance and AlphaVantage.



Second insight was inspired by Quaternion's talk on Open Source Risk Engine. They reported to have implemented some interesting business logic on amortizing assets. It is still a question whether the sponsor lets this implementation be freeware and opensource. But if it does, we will likely fulfill our intention to make an online calculator of Sondertilgungsoptionen (option to partially redeem a mortgage prematurely). As a matter of fact a mortgage annuity can be considered as an amortizing bond, but there is, so far, no implementation of CallableAmortizingBond in QuantLib. German mortgagers usually suboptimally use the options of partial early redemption, so such online calculator shall be useful.

Last but not least, it was very interesting to listen to Luigi's talk and in particular to watch the video on how QuantLib repository has evolved.
I also fulfilled my promise and bought Luigi's book Implementing QuantLib.

Finally I would like to thank the event sponsors (IKB, Quaternion and D-Fine) for making this event possible. QuantLib User Meetings are free of participation fee. Thus I find QLUM much better than the dubious conferences, by which one tries to charge a fee even from lecturers!

Like this post and wanna learn more? Have a look at Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

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Author: Vasily Nekrasov

Founder of letYourMoneyGrow.com

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