All Posts

Published on
February 20, 2020
Parsing ITCH Messages in C++
C++Trading
We review how to parse ITCH messages in C++ with configurable code
Published on
January 4, 2020
Local Volatility in PyQL
QuantLib
We discuss the use of the Local Volatility Surface in PyQL
Published on
January 4, 2020
Variance Swaps in PyQL
QuantLib
We review the Variance Swap replicating pricer in QuantLib and its implementation in PyQL
Published on
April 29, 2018
Simulating the Heston Process
Numerical-Methods QuantLib
We investigate different discretization schemes for the Heston Process, looking at issues of numerical bias and ease of implementation
Published on
March 4, 2018
Devito and Option Pricing
Numerical-Methods
Devito allows users to build finite difference schemes in python and "compile-down" to optimized C++

Parsing ITCH Messages in C++