Hello all, I just wanted to provide an update on this package. I haven't officially registered it yet (I still have more work I want to do, and I need to add more tests), but there have been significant updates in the past month. I've added QuantLib's Monte Carlo simulation features, as well some of its market model platform. There are examples which show how these are implemented and also an example which calculates CVA (credit valuation adjustment) based off of an example here: http://nbviewer.jupyter.org/github/mgroncki/IPythonScripts/blob/master/CVA_calculation_I.ipynb I've also added some documentation (http://quantlibjl.readthedocs.org/en/latest/) and some tests, but again, this is still very much a work in progress! Let me know if anyone runs into any issues!
Thanks! Chris On Tuesday, March 1, 2016 at 7:14:12 PM UTC-5, Christopher Alexander wrote: > > OK, I have renamed the package to QuantLib.jl. The package is located > here: https://github.com/pazzo83/QuantLib.jl > > Thanks again for all the feedback! > > - Chris > > On Tuesday, March 1, 2016 at 8:50:24 AM UTC-5, Jeffrey Sarnoff wrote: >> >> As Eric suggests, naming it QuantLib.jl works best with the package >> ecosystem and it is not in use elsewhere. >> >> On Tuesday, March 1, 2016 at 8:40:32 AM UTC-5, Luigi Ballabio wrote: >>> >>> 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 >>>>>> >>>>>
