While Julia has had a brilliant C interface from the start, calling C++ has been much more difficult. There is work going on under Cxx.jl to make it easy to call C++, but it is still not seamless (it needs a newer version of LLVM compared to base Julia, for one, and there are other limitations).
I would hope that Julia has fast native implementation of many of the algorithms in Quantlib. A lot of the code in Quantlib is core mathematical routines, which are already present in base Julia or many of its packages. So given the difficulties in calling C++, I would personally favour a native implementation. But of course, such decisions depends heavily on your situation. Regards - Avik On Friday, 11 September 2015 17:29:32 UTC+1, Ferenc Szalma wrote: > > @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? >>> >>
