Introduction
This CD-ROM contains the application, excel spreadsheets, and code
libraries for the information discussed in the text, as well as
Appendices C through F.
System Requirements
* A computer with a processor running at 120 Mhz or faster
* At least 32 MB of total RAM installed on your computer; for best
performance, we recommend at least 64 MB
* A CD-ROM drive
NOTE: Many popular word processing programs are capable of reading
Microsoft Word files. However, users should be aware that a slight
amount of formatting might be lost when using a program other than
Microsoft Word.
What's on the CD
The following sections provide a summary of the software and other
materials you'll find on the CD.
QuantPro
QuantPro is a Windows Application for doing quantitative analysis of
equity and fixed income derivatives. Computes Monte Carlo simulations,
binomial trees, trinomial trees, implicit difference, explicit
difference methods for equity derivatives. Builds interest rate trees
to price bonds, bond options, swaptions, caps and floors using
different interest rate models such as Hull-White, Black-Karasinksi,
and Black Derman Toy.
Note: QuantPro does not include VC++/MFC source code-code for
application can be purchased separately. This application is an on-
going project that will include additional functionality in the next
release including database and charting support.
Quantitative Pricing Engine Library
Quantitative Pricing Engine Library includes many derivatives classes
in C++ for pricing and valuation of most derivative securities
including most equity, fixed income, and exotic derivatives.
* Includes many of my own proprietary C++ classes such as HJM
* Many complex pricing, statistical, and numerical algorithms and
classes
* Utilizes various numerical library classes such as QuantLib, NEWMAT
matrix classes, and GNU scientific classes in C++
Excel spreadsheets and QuantLibXL
Excel spreadsheets and QuantLibXL add-ins for doing quantitative
analysis such as modules for computing local volatility surfaces and
option valuation.
Additional and other Open Source C++ Libraries
Other libraries that can be installed and used separately on the users
machine including:
* QuantLib
* NEWMAT matrix library
* GNU Scientific Library
Appendices
* Appendix C - Fast Fourier Transform Method
* Appendix D - Building Models, Pricing Engines, and Calibration in
Practice
* Appendix E - Solving the Black-Scholes PDE
* Appendix F - Code Routines
Applications
The following applications are on the CD:
Adobe Reader
Adobe Reader is a freeware application for viewing files in the Adobe
Portable Document format.
Word Viewer
Microsoft Word Viewer is a freeware viewer that allows you to view, but
not edit, most Microsoft Word files. Certain features of Microsoft Word
documents may not display as expected from within Word Viewer.
Excel Viewer
Excel Viewer is a freeware viewer that allows you to view, but not
edit, most Microsoft Excel spreadsheets. Certain features of Microsoft
Excel documents may not work as expected from within Excel Viewer.
Shareware programs are fully functional, trial versions of
copyrighted programs. If you like particular programs, register with
their authors for a nominal fee and receive licenses, enhanced
versions, and technical support.
Freeware programs are copyrighted games, applications, and utilities
that are free for personal use. Unlike shareware, these programs do
not require a fee or provide technical support.
GNU software is governed by its own license, which is included inside
the folder of the GNU product. See the GNU license for more details.
Trial, demo, or evaluation versions are usually limited either by
time or functionality (such as being unable to save projects). Some
trial versions are very sensitive to system date changes. If you
alter your computer's date, the programs will "time out" and no
longer be functional.
Customer Care
If you have trouble with the CD-ROM, please call the Wiley Product
Technical Support phone number at (800) 762-2974. Outside the United
States, call 1(317) 572-3994. You can also contact Wiley Product
Technical Support at http://www.wiley.com/techsupport. John Wiley &
Sons will provide technical support only for installation and other
general quality control items. For technical support on the
applications themselves, consult the program's vendor or author.
To place additional orders or to request information about other
Wiley products, please call (877) 762-2974.
This software contains files to help you utilize the models described
in the accompanying book. By opening the package, you are agreeing to
be bound by the following agreement:
This software product is protected by copyright and all rights are
reserved by the author, John Wiley & Sons, Inc., or their licensors.
You are licensed to use this software on a single computer. Copying the
software to another medium or format for use on a single computer does
not violate the U.S. Copyright Law. Copying the software for any other
purpose is a violation of the U.S. Copyright Law.
This software product is sold as is without warranty of any kind,
either express or implied, including but not limited to the implied
warranty of merchantability and fitness for a particular purpose.
Neither Wiley nor its dealers or distributors assumes any liability for
any alleged or actual damages arising from the use of or the inability
to use this software. (Some states do not allow the exclusion of
implied warranties, so the exclusion may not apply to you.)
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