nice undertaking!
On Monday, February 29, 2016 at 11:32:16 AM UTC-5, Christopher Alexander wrote: > > Hello all, I'd like to point people in the direction of a package I've > been working on: JQuantLib, to get some feedback. Basically, I am trying > to write a version of the very popular open-source quantitative finance > library QuantLib in pure Julia. The library itself is written in C++, but > it is commonly used in Python (via SWIG). I thought this would be a first > attempt at trying to solve a common problem in many financial firms where > you have basically two different dev environments: a calculation-heavy one > (where speed is important) in C++, C, etc and one that is increasingly in > Python to provide an abstraction to that lower level. Julia seems to be a > perfect fit for eliminating the myriad issues one can encounter with this > bifurcated dev setup. > > The package itself is located here: https://github.com/pazzo83/JQuantLib > > There is a bond pricing (NPV) example in the readme itself, and further > examples in the examples folder (these are under development still). I am > continuing to work on this and add to it, but I'd love some feedback! I'm > still relatively new to Julia, but working on this has definitely improved > my fluency of the language. > > Thanks! > > Chris >
