I'm interested too. Relatedly, I started writing a limit order book matching engine package last week. Right now, it only has a single reference implementation -- think, "so simple that there are obviously no deficiencies." It's (almost) well-tested, and will serve as verification scaffolding for elaborated engines, tailored to the use case. Right now, I see a MCMC-ready engine and a speed-optimized one. (Fast enough for algorithmic trading, not HFT. I have no delusions there.)
I'll probably push v0.0.1 next month. (If you want, send me a private email, and I'll be sure to email you when I do.) I think it's a wonderful way to show of Julia, and I want it for myself. But, my dissertation proposal defense just got scheduled for the 30th. Priorities, shifted. On Fri, Sep 11, 2015 at 8:39 AM, Ferenc Szalma <[email protected]> wrote: > I missed this package while searching for a quantlib-like package > yesterday. I just took a quick look, I saw various models like the > Swensson, Nelson-Siegel and spline interpolation, but I haven't got to the > point of how various country's calendars are taken into account, or > handling the trade date - settlement date and next settlement date > problems, etc. I'll take another look later. Thanks. > > > > On Friday, September 11, 2015 at 6:40:38 AM UTC-4, Ken B wrote: >> >> In case you haven't seen it yet, there's also the InterestRates.jl >> <https://github.com/felipenoris/InterestRates.jl> package. >> >> On Friday, 11 September 2015 08:13:30 UTC+2, Avik Sengupta wrote: >>> >>> My hope has been that Ito would become the consolidated financial math >>> package, with functionality similar to Quantlib. Unfortunately, while I >>> laid down the base, I haven't made as much progress as I would have liked >>> (primarily for lack of time), but I do hope to rectify that in the near >>> future. Needless to say, contributions welcome. >>> >>> >>> On Friday, 11 September 2015 07:05:39 UTC+1, Ferenc Szalma wrote: >>>> >>>> Are there any quant finance packages for Julia? I see some rudimentary >>>> calendar and day-counting in Ito.js for example but not much for even a >>>> simple yield2price or price2yield or any bond objects in Julia packages on >>>> GitHub. What is the best approach, using C++ function/object from Quantlib, >>>> to finance in Julia? >>>> >>>
