Tag Archives: New York City

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!

DataGotham: Sept 13 & 14 @ NYU

Enthought is proud to announce its sponsorship of the upcoming DataGotham conference in NYC. DataGotham is meant to be a “celebration of New York City’s data community.” Organized by the likes of Drew Conway and Hillary Mason (and other pillars of the community), DataGotham is shaping up to be a highly concentrated concoction of everything data science-y. Just take a look at the ever increasing line-up of speakers. Even for those of you who don’t live or work in Manhattan, it’s probably worth the trip!

At Enthought, we use Python because it offers an effective combination pragmatism, clarity, and power. We have always argued that good tools “get out of the way,” allowing you to focus on the real problem at hand. As such, we are excited to support DataGotham’s effort to highlight how the NYC scientific community is tackling a wide variety of questions in urban planning, social media, education, etc.

Don’t forget to check out the tutorials! There will be tutorials on Data Journalism, MongoDB/R, Julia (recently featured at Scipy), and Real Time Data Science.