NesQuant - my extensions to QuantLib

As a part of my master thesis I am extending the QuantLib financial toolkit with some extra functionality.

I have dubbed my extensions NesQuant to make it clear what my work consists in and what others have to be credited for. As such NesQuant is in no way a fork of QuantLib, but rather an extension, which can be easily merged into the existing QuantLib source tree.

Download the code here:

• NesQuant-0.1.1-src.zip - zipped source code and project files for Visual C++

The most interesting part, which might show in the QuantLib library in the future, is the pricing engine for options in a model with stochastic volatility and jumps (SVJD). You can see the code here:

• svjdengine.hpp - header file
• svjdengine.cpp - implementation
• SVOption.cpp - example program using the engine

The routine for Gauss-Kronrod integration have been included in the official QuantLib 0.3.3 release. You can see the code here:

• KronrodIntegral.hpp - the header file with the integration routine
• KronrodIntegral.cpp - example code using the Gauss-Kronrod integration, demonstrating that the method requires considerable less function evaluations

To test the code you should download and unzip the zip-file. Also you need to have installed QuantLib 0.3.3. Finally, you should add the directory where you unzipped the file to the include-file-directories (In Visual C++: Tools -> Options -> Directories -> Include files.).

If you have comments to my code don't hesitate to contact me either directly (mail@nielses.dk) or through the QuantLib mailing list.