Monday, June 17, 2013

The Plan of the Book


Glad you asked.

If you've downloaded the table of contents from the book page linked above, you saw that the bird's-eye view is something like this:

1.Introduction
2.Financial instruments and pricing engines
3.Term structures
4.Cash flows and coupons
5.Parameterized models and calibration
6.The Monte Carlo framework
7.The tree framework
8.The finite-differences framework
9.Conclusion
A.Odds and ends
B.Code conventions

A few of the above are complete, as far as drafts go: those would be chapter 1, 2, 4, 6 and 7, and the short appendix B.

A couple more chapters are underway. Chapter 3 is mostly done; what's missing is a review of the available volatility term structures, but it's going to be a short one since I've made most of my points already while describing the base TermStructure class and yield term structures. Appendix A is some kind of haphazard collection; some sections are done, some are to do, and some I don't even know I need yet (I guess they will make for nice self-contained posts on his blog) but I don't foresee it ballooning out of size.

Chapter 9 should be some kind of conclusion. The final message of the book, if you will (no, not "We apologize for the inconvenience"). I'll need some time to think it over, some introspection, some soul-searching, and most probably a few pints. Or I'll just say a few words of goodbye to the readers. Either way, I'm guessing it will be very short.

And so, we come to the two stinkers—chapter 5 and 8. The first one is about a part of the library which I didn't design, but I'm somewhat familiar with; I've worked on it at times, and (even though I had a few surprises recently when I started looking hard at the code) I have a general idea of the thing. The finite-difference framework, on the other hand, is going to be more difficult. I'm familiar with the older part of the framework, covering the 1-dimensional case; however, I had no part in designing and writing the 2-dimensional code, so I'll have to study it (and possibly, the theory behind it) before I can write about it.

Well, I guess that's enough whining for now, isn't it? I'll try to tackle the thing and to start adding new content in some of the next posts.

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