Bojan Nikolic
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Computing Blog -- Complete Index and permanent links

This really is a blog: raw atom feed

QuantLib and related

See also the QuantLib Addin Documentation project, the company QuantLib pages, QLW Java interface pages .

  • A reworked EquityOption Example
  • Managing QuantLib source using Bazaar
  • A simple FX-Option Example in QuantLib
  • Using QuantLib to generate a Brownian Bridge
  • Example of Pricing an American Option on a Dividend Paying Stock
  • Fitting a Curve in QuantLib
  • Pricing options using the Heston model
  • Simple input/output of Date objects
  • Relinking Handles
  • Bumping Interest Rate Curves in QuantLib
  • Constrained fitting in QuantLib
  • Using QuantLib from Clojure (concentrates on the class-loader issue)
  • Using QuantLib from Clojure via the SWIG/Java binding (with example)
  • Parallelising QuantLib using Map-Reduce (White Paper)
  • Appearance at InfiniteConf 2017: "Simulation in a Big Data World"
  • Talk at InfiniteConf 2017

Quantitative Analysis in Finance

  • Heston model calibration
  • Implementation of the Heston model in QuantLib

C++ programming

  • Non-dependent name lookup in C++
  • Constrained Levenberg-Marquardt using the InMin library
  • Constrained minimisation using the Levenberg-Marquardt algorithm
  • C++ implementation of Khachiyan algorithm for the minimum enclosing (or covering) ellipsoid
  • Making use of std::map<> ordered property: interpolation
  • Lazy Code Generation (LzCG) and C++ Expression Templates
  • A Simple, Minimal, Example of C++ Expression Templates
  • Boost:
    • Overcoming trouble with private implementation using smart pointers
    • A potential pitfall when using boost::uniform_01
    • Simple input parsing using Boost
    • Common compile-time errors when using boost::bind
    • More on generating normally distributed random numbers using boost (there is also a short article on this topic below)
    • "Pointer Conflict" Errors in the Boost Serialization Library
    • From BoostCon 2011 -- Bulk Synchronous Parallelism using Hybrid MPI+OpenMP
    • From BoostCon 2011 -- The Geneva Optimisation library
    • BoostCon 2011 Report
  • Random Review series: randomly reviewing snippets of published codes:
    • About the Random Review Series
    • Small numerical values in C++
    • Basic random number generation
    • Basic generation of normally distributed random numbers
    • Avoiding Artificial Class Hierarchies
    • Avoiding Memory Allocation
    • std::vector<> instead of new[]
    • Generating random numbers in parallel for large-scale MC
    • Derived classes still have a default assignment operator
    • Template constructor in a non-template class
    • C++ & SWIG: using data pointed to by a pointer
    • Feature inheritance in SWIG -- doesn't apply to classes...
    • SWIG wrappers in Java and the C++ RAII pattern
    • SWIG %insert directive
    • Using SWIG-ed libraries from Clojure

High-performance computing

  • Finding Out and Visualising Hardware Locality
  • How to monitor the full range of CPU performance events
  • Using LD_LPRELOAD for testing of alternative implementations in large applications
  • How to easily measure Floating Point Operations Per Second (FLOPS)
  • Measuring Branch Prediction Accuracy Using Linux Perf Tools

OpenGamma

  • The OpenGamma Project

Python programming

  • Running Python.
    • Part I: Running Python from the command-line
    • Part II: Running Python Programs from Emacs
  • Python tips:
    • To Switch or not to Switch
  • Python/Excel Integration
  • cx_Freeze
  • Numba
  • Using PyTorch from Microsoft Excel
  • Is Python popular *because* it is slow?
  • PyTorch .detach() method
  • Fast Non-Linear Optimisation with PyTorch

Website/Company News and new projects

  • Internship opportunities 2012
  • Internship opportunities 2011
  • Numerical and Quantitative methods in C++ project
  • Version 0.1 of InMin library
  • Version 0.2 of InMin library
  • Runtime compilation in InMin of functions to be minimised

Emacs and related

  • Setting environment variables: link.
  • Byte Order Marks and Emacs

Web-publishing

  • React, Bootstrap and and simple check-boxes
  • How this website is made and re-made: link.
  • Producing Atom feeds using Kid
    • As an example of this, here is how to convert a directory of restructured text files to an Atom feed
  • Comments are now enabled on this blog

General

  • Another Employment Opportunity
  • Employment opportunity
  • Coccinelle
  • Cross compiling Boost V1.50 from Ubuntu 12.04 to Windows
  • Mixed static and shared linking of libraries
  • Linux Perf tools
  • The new "--as-needed" option to the GNU linker
  • The LD_DEBUG environment variable
  • Connecting Linux laptop to wireless Vodafone network via an E61
  • Debugging a collision with a CPP macro name
  • Unbound Variable errors in Bash scripts
  • Python Global Interpreter Lock (GIL) + numerical data processing
  • Quick-to-scale architecture for task-based processing
  • Who's eaten up all the (inotify) watchers?
  • Scalability Architecture of Apache Spark

Links

  • Links 2013-02-27
  • Links 2013-01-28
  • Links 2013-01-13
  • Links 2013-01-04

© 2008 to 2019, Bojan Nikolic. Send comments/enquiries to: webs@bnikolic.co.uk. Terms and Conditions.