c++-C++ QuantLib：金融工程的开源利器

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摘要： C++ QuantLib：金融工程的开源利器项目概述 QuantLib 是一个用 C++ 编写的开源金融工程库，由 Luigi Ballabio 等人创建并维护。该项目旨在为金融...

C++ QuantLib：金融工程的开源利器

项目概述

QuantLib 是一个用 C++ 编写的开源金融工程库，由 Luigi Ballabio 等人创建并维护。该项目旨在为金融领域的专业人士和研究人员提供一个强大、灵活且可靠的量化金融工具集。QuantLib 不仅包含了丰富的金融模型和算法，还提供了完整的日期处理、现金流计算、随机数生成等基础设施。

核心特性

1. 全面的金融工具支持

固定收益产品（债券、利率互换等）
衍生品（期权、期货、互换等）
信用衍生品
结构性产品

2. 丰富的数学模型

随机过程模型（几何布朗运动、Heston模型等）
利率模型（Vasicek、CIR、Hull-White等）
波动率模型（局部波动率、随机波动率）
数值方法（蒙特卡洛模拟、有限差分法、树方法）

3. 强大的基础设施

日期和日历系统（支持全球主要金融市场）
货币和汇率处理
收益率曲线构建
现金流分析

安装与配置

基本安装

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# 克隆仓库
git clone https://github.com/lballabio/QuantLib.git
cd QuantLib

# 创建构建目录
mkdir build && cd build

# 配置和编译
cmake ..
make
sudo make install

使用 CMake 集成到项目

text

find_package(QuantLib REQUIRED)
target_link_libraries(your_target QuantLib::QuantLib)

实用示例

示例1：欧式期权定价（Black-Scholes模型）

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#include <ql/quantlib.hpp>
#include <iostream>

using namespace QuantLib;

int main() {
    // 设置估值日期
    Date todaysDate(15, May, 2024);
    Settings::instance().evaluationDate() = todaysDate;

    // 期权参数
    Option::Type type = Option::Call;
    Real underlying = 100.0;
    Real strike = 100.0;
    Spread dividendYield = 0.01;
    Rate riskFreeRate = 0.05;
    Volatility volatility = 0.20;
    Date maturity(15, May, 2025);

    // 创建标的资产
    DayCounter dayCounter = Actual365Fixed();
    Calendar calendar = TARGET();

    Handle<Quote> underlyingH(
        ext::make_shared<SimpleQuote>(underlying));

    Handle<YieldTermStructure> flatTermStructure(
        ext::make_shared<FlatForward>(
            todaysDate, riskFreeRate, dayCounter));

    Handle<YieldTermStructure> flatDividendTS(
        ext::make_shared<FlatForward>(
            todaysDate, dividendYield, dayCounter));

    Handle<BlackVolTermStructure> flatVolTS(
        ext::make_shared<BlackConstantVol>(
            todaysDate, calendar, volatility, dayCounter));

    // 创建标的资产过程
    ext::shared_ptr<BlackScholesMertonProcess> bsmProcess(
        new BlackScholesMertonProcess(
            underlyingH, flatDividendTS, flatTermStructure, flatVolTS));

    // 创建期权
    ext::shared_ptr<StrikedTypePayoff> payoff(
        new PlainVanillaPayoff(type, strike));

    ext::shared_ptr<Exercise> europeanExercise(
        new EuropeanExercise(maturity));

    VanillaOption europeanOption(payoff, europeanExercise);

    // 使用解析引擎定价
    europeanOption.setPricingEngine(
        ext::shared_ptr<PricingEngine>(
            new AnalyticEuropeanEngine(bsmProcess)));

    // 计算价格和希腊字母
    std::cout << "欧式期权定价结果：" << std::endl;
    std::cout << "NPV: " << europeanOption.NPV() << std::endl;
    std::cout << "Delta: " << europeanOption.delta() << std::endl;
    std::cout << "Gamma: " << europeanOption.gamma() << std::endl;
    std::cout << "Vega: " << europeanOption.vega() << std::endl;

    return 0;
}

示例2：债券定价

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#include <ql/quantlib.hpp>
#include <iostream>

void priceBond() {
    // 设置估值日期
    Date todaysDate(15, May, 2024);
    Settings::instance().evaluationDate() = todaysDate;

    // 债券参数
    Real faceAmount = 1000.0;
    Rate couponRate = 0.05;
    Frequency couponFrequency = Semiannual;
    Date issueDate(15, May, 2020);
    Date maturityDate(15, May, 2030);
    DayCounter dayCounter = ActualActual(ActualActual::ISMA);
    BusinessDayConvention accrualConvention = Following;
    BusinessDayConvention paymentConvention = Following;

    // 创建时间表
    Schedule schedule(issueDate, maturityDate,
                      Period(couponFrequency),
                      UnitedStates(UnitedStates::GovernmentBond),
                      accrualConvention, accrualConvention,
                      DateGeneration::Backward, false);

    // 创建固定利率债券
    FixedRateBond bond(
        0,  // 结算天数
        faceAmount,
        schedule,
        std::vector<Rate>(1, couponRate),
        dayCounter,
        paymentConvention);

    // 设置收益率曲线
    Handle<YieldTermStructure> discountCurve(
        ext::make_shared<FlatForward>(
            todaysDate, 0.03, dayCounter));

    // 定价引擎
    bond.setPricingEngine(
        ext::shared_ptr<PricingEngine>(
            new DiscountingBondEngine(discountCurve)));

    // 输出结果
    std::cout << "债券定价结果：" << std::endl;
    std::cout << "净现值: " << bond.NPV() << std::endl;
    std::cout << "应计利息: " << bond.accruedAmount() << std::endl;
    std::cout << "到期收益率: " << bond.yield(dayCounter, Compounded, couponFrequency) << std::endl;
}

示例3：蒙特卡洛模拟定价

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#include <ql/quantlib.hpp>
#include <iostream>

void monteCarloPricing() {
    // 基本设置
    Date todaysDate(15, May, 2024);
    Settings::instance().evaluationDate() = todaysDate;

    // 期权参数
    Option::Type type = Option::Call;
    Real underlying = 100.0;
    Real strike = 105.0;
    Rate riskFreeRate = 0.05;
    Volatility volatility = 0.30;
    Date maturity(15, May, 2025);

    // 创建过程
    Handle<Quote> underlyingH(
        ext::make_shared<SimpleQuote>(underlying));

    Handle<YieldTermStructure> flatTermStructure(
        ext::make_shared<FlatForward>(
            todaysDate, riskFreeRate, Actual365Fixed()));

    Handle<BlackVolTermStructure> flatVolTS(
        ext::make_shared<BlackConstantVol>(
            todaysDate, TARGET(), volatility, Actual365Fixed()));

    ext::shared_ptr<BlackScholesProcess> process(
        new BlackScholesProcess(underlyingH, flatTermStructure, flatVolTS));

    // 创建期权
    ext::shared_ptr<StrikedTypePayoff> payoff(
        new PlainVanillaPayoff(type, strike));

    ext::shared_ptr<Exercise> europeanExercise(
        new EuropeanExercise(maturity));

    VanillaOption option(payoff, europeanExercise);

    // 蒙特卡洛引擎
    Size timeSteps = 365;
    Size mcSeed = 42;
    Size requiredSamples = 10000;
    Real requiredTolerance = 0.02;
    Size maxSamples = 1000000;

    ext::shared_ptr<PricingEngine> mcEngine =
        MakeMCEuropeanEngine<PseudoRandom>(process)
            .withSteps(timeSteps)
            .withAbsoluteTolerance(requiredTolerance)
            .withMaxSamples(maxSamples)
            .withSeed(mcSeed);

    option.setPricingEngine(mcEngine);

    // 计算价格
    std::cout << "蒙特卡洛定价结果：" << std::endl;
    std::cout << "NPV: " << option.NPV() << std::endl;
    std::cout << "标准误差: " << option.errorEstimate() << std::endl;
    std::cout << "模拟次数: " << option.samples() << std::endl;
}