Yes, watching just now Keno Fischer's talk at JuliaCon 2015 after watching yours, I can see the big difference in complexity between the C and C++ interfaces. Still it seems like Keno figured C++ out eventually and what he shows is pretty impressive. Do you have any info on how stable Julia 0.4 is on the necessary newer version of LLVM? Also what do you see as other limitations that you mention?
On Friday, September 11, 2015 at 5:48:55 PM UTC-4, Avik Sengupta wrote: > > 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? >>>> >>>
