Very interesting--drop me a line if you want me to add a link to your project on the QuantLib site. One thing though: the name JQuantLib has been taken for a while by another project (with which I'm not involved) that's writing a Java port of QuantLib; see <http://www.jquantlib.org/en/latest/>. You might want to come up with a new name to avoid confusion.
Now I just have to learn Julia to have a look at your code :) Luigi On Tuesday, March 1, 2016 at 7:56:45 AM UTC+1, Christopher Alexander wrote: > > Thanks guys! I still have a lot of work to do regarding writing tests and > all, but one awesome thing is that for the most part, I am matching or > beating the C++ timings for the examples I've created so far. > > On Monday, February 29, 2016 at 11:24:09 PM UTC-5, Viral Shah wrote: >> >> You've already got a nice body of code there! >> >> -viral >> >> On Monday, February 29, 2016 at 10:02:16 PM UTC+5:30, 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 >>> >>
