@Avik Sengupta Thanks for coding up Ito.jl even if it is really just the start. Comparing Ito's code with the Quantlib C++ code it helps a lot with understanding how C++ code translates into Julia code, especially for a newbie in Julia like myself. I just noticed you gave a talk on how to interface various languages with Julia on YouTube: https://www.youtube.com/watch?v=AyeArSTzas8 in June and posted only just a few days ago. Do you think it'd be easier to just call Quantlib C++ functions from Julia or re-writing that code in Julia would be easier. Quantlib object are certainly embedded into a complex structure, so translation may be difficult. I am just trying to find the most effective way of using Quantlib or Quantlib-like objects and functions with the least coding time overhead.
On Friday, September 11, 2015 at 2:13:30 AM UTC-4, 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? >> >
