Archive for the 'Video' category

PyQL and QuantLib: A Comprehensive Finance Framework

Authors: Kelsey Jordahl, Brett Murphy

Earlier this month at the first New York Finance Python User’s Group (NY FPUG) meetup, Kelsey Jordahl talked about how PyQL streamlines the development of Python-based finance applications using QuantLib. There were about 30 people attending the talk at the Cornell Club in New York City. We have a recording of the presentation below.

FPUG Meetup Presentation Screenshot

QuantLib is a free, open-source (BSD-licensed) quantitative finance package. It provides tools for financial instruments, yield curves, pricing engines, creating simulations, and date / time management. There is a lot more detail on the QuantLib website along with the latest downloads. Kelsey refers to a really useful blog / open-source book by one of the core QuantLib developers on implementing QuantLib. Quantlib also comes with different language bindings, including Python.

So why use PyQL if there are already Python bindings in QuantLib? Well, PyQL provides a much more Pythonic set of APIs, in short. Kelsey discusses some of the differences between the original QuantLib Python API and the PyQL API and how PyQL streamlines the resulting Python code. You get better integration with other packages like NumPy, better namespace usage and better documentation. PyQL is available up on GitHub in the PyQL repo. Kelsey uses the IPython Notebooks in the examples directory to explore PyQL and QuantLib and compares the use of PyQL versus the standard (SWIG) QuantLib Python APIs.

PyQL remains a work in progress, with goals to make its QuantLib coverage more complete, the API even more Pythonic, and getting a successful build on Windows (works on Mac OS and Linux now). It’s open source, so feel free to step up and contribute!

For the details, check out the video of Kelsey’s presentation (44 minutes).

And here are the slides online if you want to check the links in the presentation.

If you are interested in working on either QuantLib or PyQL, let the maintainers know!

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Advanced Cython Recorded Webinar: Typed Memoryviews

Oct 07 2013 Published by under General, NumPy, Python, SciPy, Video, Webinars

Author: Kurt SmithWebinar_screenshot

Typed memoryviews are a new Cython feature for accessing memory buffers, such as NumPy arrays, without any Python overhead. This makes them very useful for manipulating blocks of memory in Cython directly without calling into the Python-C API.  Typed memoryviews have a clean declaration syntax and have a NumPy-like look and feel, supporting slicing, striding and indexing.

I go into more detail and provide some specific examples on how to use typed memoryviews in this webinar: “Advanced Cython: Using the new Typed Memoryviews”.

If you would like to watch the recorded webinar, you can find a link below (the different formats will play directly in different browsers so check to see which one works for you, and you won’t have to download the whole recording ahead of time):

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