A lightweight C++ library for quantitative finance applications.

Thursday, December 22, 2005

Release 1.0

Today we submitted the final version of the project for the course. It was a lot of hard work but it was a great team effort and we had a lot of fun along the way! Of course we celebrated afterwards with some drinks and conversation about what else...rainbow options, Cholesky decompositions, convertible bonds, etc. ;-) Even though this is the end of our semester, we've called this Release 1.0 in the hope what has been started here will be built upon by ourselves and others.

terreneuve-1.0.tar.gz - The full release includes code, Visual Studio .NET project file and documentation.

Project Report - The final report describing the project design and validation.

Doxygen documentation - Explore the code online. Also available as a (huge) PDF.

Send comments, kudos and complaints to the terreneuve-devel mailing list.

Happy holidays from the Terreneuve Team - Simon Leger, Aloke Mukherjee, Joseph Perez and Yann Renoux!
|| aloke, 11:19 PM || link  

Thursday, October 27, 2005

Welcome to Terreneuve

What is Terreneuve? Simply: "A lightweight C++ library for quantitative finance applications."

In more detail, Terreneuve is our team name for the project in the Fall 2005 Computing in Finance course at NYU's Courant Institute Masters in Math Finance. Working from this specification we hope to design a useable C++ library for some important quantitative finance applications.

Our target audience (aside from our prof ;-)) is students in quantitative finance and those seeking a gentle introduction to financial computing. Obviously, we also intend to use the project as a learning opportunity. We refer those looking for a more comprehensive (and complex) library to the quantlib project.

Also...why Terreneuve? Well, we're three Frenchmen and one Canadian, so we picked something a little French and a little Canadian. Terreneuve is French for "Newfoundland", one of Canada's provinces, as well as signifying the new world we're exploring with this project.

- the Terreneuve team
|| aloke, 8:29 PM || link