Thursday, December 17, 2015

Christmas break

Welcome back.

Just a short note to tell that, as the song says, I'll be home for Christmas. And unlike the song, it won't be only in my dreams.


Blogging will resume after the holidays (not that I have a very regular schedule anyway, but still).

Have a wonderful time, everybody.

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Thursday, December 10, 2015

Screencast: my talk at the QuantLib user meeting 2015

Welcome back.

In last post, I promised more info on my talk on QuantLib, IPython Notebook and Docker at the QuantLib user meeting. Well, I managed to record a screencast on my laptop while I was presenting, so you can now watch and listen to it. It's just the good parts, too, as you can see the screen but not my face.

And by the way, most speakers have now contributed their slides; so when you're done here, go to the meeting page and have a good look.

Enjoy.





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Thursday, December 3, 2015

Report from the QuantLib user meeting in Düsseldorf

Hello everybody.

I'm back from the QuantLib user meeting (it was last Monday and Tuesday). While I was there, I was told that it must be nice to see all the things that people did with the library.

Oh, yes. Definitely.

As usual, it was great to be there. A good variety of talks, good organization, and on top of that, the chance to see people that I usually just exchange emails with. As usual, a big thanks goes to Michael von der Driesch for preparing the meeting and for keeping it running smoothly, as well as this year's sponsors IKB and CompatibL.

Here is a short summary of the event. For more details, you can check the meeting page on the QuantLib site; slides are being collected and published, so you should find them all there in a week or two.

The first day started with a talk by Jörg Kienitz. He described the recent research on SABR models and the ways that people are making them work with negative rates (one of the several themes of the meeting). There was a lot of stuff covered; you'll find it in the slides when they're available. As Jörg mentioned, QuantLib contains an implementation of the SABR and ZABR models, even though it's not up to date with all the recent developments.

The second talk was from Alexander Sokol, describing the work done by his company on the tapescript library. It provides a numerical type meant to be a drop-in replacement for double in AAD calculations; as a proof of concept, they managed to recompile the whole QuantLib using it. It's an all-or-nothing approach that can be used to quickly convert an existing legacy library to AAD. The typescript library is available on GitHub.

After lunch, the afternoon started with a joint talk by Ferdinando Ametrano and Paolo Mazzocchi describing their results on modeling tenor basis spread between overnight and forward curves. As it turns out, an abcd parameterization provides quite a nice fit of the observed basis and can be made an exact fit with some small correction coefficients. The approach looks promising, the slides are already published, and an initial implementation is available on Paolo's fork of QuantLib on GitHub (look for the new code in the ql/experimental/tenorbasis folder). A paper will follow.

Next, a more technological talk. Eric Ehlers reported on the status of his reposit project, the successor to ObjectHandler to be used in future versions of QuantLibXL. It looks good. Also, Eric left the podium for part of his presentation to Cristian Alzati from Sayula, who demonstrated their joint work on the =countify platform, making Excel spreadsheets available on the cloud. QuantLibXL is one of the available addins.

In the final talk of the day, Klaus Spanderen and Johannes Göttker-Schnetmann presented the conclusion of the work, previewed in last year's meeting, on the calibration of stochastic local volatilities. Their code is available as a pull request, and will be probably merged in the next QuantLib release.

And then there was beer and a well-deserved rest.

The second day was opened by Peter Caspers, who made two short presentations because that's how he rolls. The first was on AAD, and described his efforts in enabling part of QuantLib to use it. His approach complements that of Alexander, and trades ease of conversion for better performance. You can read about it on his blog, too. I'll be watching closely for a possible synergy of the two approaches; in any case, it's nice to have the choice. In his second presentation, Peter reviewed the work done to enable QuantLib work with negative rates. In short: we're almost there, but there's still a couple of pull requests missing.

Andreas Pfadler, the next speaker, had the best opening line of the meeting. Quoting from memory, it was something like "this work is the fruit of many lonely nights in a hotel". Andreas reported on his development of an open-source architecture for distributing calculations, using the QuantLib Java bindings among other tools and adding scripting capabilities via Scala. During his demo, he also overcame a technical glitch on his computer. Another speaker later confessed over coffee that he would have been crushed by it. Andreas took it in stride by moving the demo to the Amazon cloud.

In the last talk of the morning, Roland Lichters fought bravely with a sore throat to tell us about CSA pricing using QuantLib, especially in the context of the added complexity and the pricing changes caused by using negative rates for collateral discounting. The details are on the slides, and caused an interesting discussion afterward since there's not a lot of agreement on how the effects should be modeled.

In the afternoon, another couple of talks. In the first, Sebastian Schlenkrich came back to the topic of tenor basis spreads; his take was on transforming rate volatilities in this kind of models. Again, you'll be able to read all about it in his slides when they're available. In the second one, I described shortly how I used the IPython Notebook and Docker together with QuantLib. Stay tuned on this channel for more information.

And with that, we were off to our flights. Again, thanks to the organizers, the sponsors, the speakers, and all the participants. Here's to meeting again next year.

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