QuantLib/Projects
This page is regarding projects dealing with QuantLib
Here are some projects for newbies. If you are interested in any of these e-mail the quantlib-dev list
- Implement a new pricing engine - Global derivatives.com has equations for many derivatives which are not implemented.
- Add some unit tests - Some classes that need some more unit tests are the time series classes, and the stochastic volatility classes
- Profile the code to see where bottlenecks are
- Create new volatility model classes
- Finish up the GARCH model
- Look at finite difference engine and make the time grid more consistent with the rest of the numerical methods
- Annotate code - Go through the code and add notes and annotation using doxygen format
- Add a section in quantlib wiki on careers and quant interviewing
- Help with getting RSWIG to pass the SWIG conformance tests
- Write some need RSWIG-Quantlib scripts
- Always could use better documentation (books, tutorials, etc.)
- Come up with a business plan for paid QuantLib support
- Comp up with standard contract clauses or bureaucratic strategies to get commerical quantlib users to move code back to the main source tree
| Project | Coding Skill | Financial Skill | Project Time |
| Add Unit Tests | Low | Low | Low |
|Quantlib could use some ore unit tests in test-suite. Examples include restructuring the unit tests for American options to compare all of them with a set of known results||||
| Add Instruments | Low | High | Low |
|Look at the ql/Instruments directory to see if we have a good list of instruments||||
| Add Example Code | Low | Medium | Low |
|Could always use more examples ||||
| Tracing Code | Medium | Low | Medium |
| Add tracing code to quantlib ||||
| ConvertibleBonds | Medium | Medium | Medium |
| Add support for convertible bonds ||||