#175 Th (12/15/22) - OpenAI ChatGPT knows the C++ QuantLib and writes a training set generator for the Heston SVI model to price American options
Do you know the QuantLib library in C++? Yes, I am familiar with the QuantLib library. QuantLib is an open-source C++ library for financial quantitative analysts and developers. It provides tools and models for the construction of quantitative finance applications and pricing of financial instruments. Some of the features of the QuantLib library include: A large collection of financial instruments, including options, futures, swaps, and bonds Numerical methods for the pricing of financial instruments, including Monte Carlo simulation and finite difference methods A flexible framework for the construction of yield curve models Support for a wide range of currencies and calendars The QuantLib library is widely used in the finance industry, and is also popular among academic researchers and students studying finance and quantitative methods. It is available under the open-source Boost Software License. Using this library could you write a C++ program to generate a training dataset f...