QuantLib User Meeting, London, 12 July 2016

Quaternion sponsored a QuantLib User Meeting at the Chartered Accountants’ Hall, One Moorgate Place, London EC2R 6EA on Tuesday 12th July 2016.

“The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life. […] Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them.” (http://quantlib.org)

With this meeting we want to provide a communication platform for both QuantLib users in the industry and QuantLib’s developers, contributors and creators, to help propagating QuantLib’s usage. This meeting continues a tradition of annual user forums and brings this event back to London where the first event of this type was held on January 18th, 2011.

Final Agenda / Speakers

08:15-09:00 User registration
09:00-09:15 Welcome Roland Lichters (Quaternion)
09:15-10:15 The abcd of Interest Rate Basis Spreads Luigi Ballabio (StatPro) and Ferdinando Ametrano (Banca IMI)
10:15-11:00 Open Risk Engine Peter Caspers, Niall O’Sullivan and Roland Lichters (Quaternion)
11:00-11:30 Tea/Coffee
11:30-12:15 Reposit 1.8 and the Future of Spreadsheet Addins Eric Ehlers (Reposit)
12:15-12:45 A simple application of the QuantLib observer pattern – Multi-Curve-Sensitivities Michael von den Driesch (IKB)
12:45-13:30 Lunch
13:30-14:15 QuantLibAdjoint News Alexander Sokol (CompatibL)
14:15-15:00 A sound modelling and backtesting framework for forecasting initial margin requirements Daniel Aziz (Credit Suisse)
15:00-15:30 Tea/Coffee
15:30-16:15 Calibration using Neural Networks Andres Hernandez (IBM)
16:15-16:45 Multi-Curve Convexity Sebastian Schlenkrich (d-fine)
16:45-17:00 Wrap up Roland Lichters (Quaternion)
17:15-20:00 Reception


The conference was held in the Auditorium and Atrium of the prestigious Chartered Accountants’ Hall at the Institute of Chartered Accountants, One Moorgate Place, London EC2R 6EA, details of which can be found here.

The location is easily accessible from Moorgate and Bank tube stations as can be seen here.


The presentations can be downloaded shortly from the QuantLib web site here.