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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 ||||