[julia-users] Re: Any serious quant finance package for Julia?

I definitely wanted to start integrating some of the existing Julia packages for solvers etc that I basically wrote based off the C++ Quantlib code - maybe in a version 2. Why re-invent the wheel, so to speak (and you're right, they'd definitely be faster)? I'm probably going to start

[julia-users] Re: Any serious quant finance package for Julia?

We're using Julia: packages correctly designed with multiple dispatch (DifferentialEquations.jl, the direction that JuliaML and Optim.jl are going with the iterator interfaces, etc.) allow for these to be extendable: adding a new algorithm is just making a new dispatch or a new type. So if

[julia-users] Re: Any serious quant finance package for Julia?

I've only used Convex.jl extensively, and NLopt.jl a bit, so I don't really know whether Julia's optimization ecosystem would cover all possible eventualities, I'm just speaking from experience when I say that it's rare that I'm able to rely solely on off-the-shelf packages when writing

[julia-users] Re: Any serious quant finance package for Julia?

If you implement an optimization routine for a specific type of functions, why not have that maintained with the API and structure of Optim.jl, and then use it for your specific case? What about the JuliaML interfaces / the Optim iterator interface do you find would be a limitation to a quant

[julia-users] Re: Any serious quant finance package for Julia?

Ok Chris I'll definitely check out Plots.jl. As for optimization packages, more than one will probably have to be used depending on the problem: disciplined convex vs numerical vs global vs etc. And, as always, some optimization algorithms will have to be custom rolled out since established

[julia-users] Re: Any serious quant finance package for Julia?

I was saying that Quantlib, not Quantlib.jl, had rudimentary numerical methods. The main reason is probably because they only implemented a few here and there, instead of focusing heavily in the numerical solvers or using available libraries. There's no reason to do this in Julia: you have

[julia-users] Re: Any serious quant finance package for Julia?

I'd be interested in getting involved in this, I've been writing up some portfolio optimization and visualization routines in Julia with the help of Convex.jl and Gadfly.jl, this could possibly eventually be merged into Ito.jl or QuantLib.jl or w/e we decide is the official Julia quant finance

[julia-users] Re: Any serious quant finance package for Julia?

I had started the QuantLib.jl package, but the goal was basically a rewrite of the C++ package in Julia. I haven't given it much love lately, but I hope to pick it back up sometime soon. Anyone who wants to join in is definitely welcome! Chris On Saturday, September 17, 2016 at 11:28:36 AM

[julia-users] Re: Any serious quant finance package for Julia?

Thanks Femto Trader for bumping this. I took a quick look at Quantlib (and Ito) and I have to say, their numerical methods are very rudimentary (in fact, one of their methods for stochastic processes, EndPointEuler, doesn't have finite moments for its error due to KPS 1994...). For anything

[julia-users] Re: Any serious quant finance package for Julia?

Hi guys, Not sure if we can consider this package as a "serious quant finance" one... but I wrote some month ago https://github.com/femtotrader/TALib.jl It's a Julia wrapper for TA-Lib (technical analysis library) Status is still "Work In Progress" Kind regards Le vendredi 11 septembre 2015

[julia-users] Re: Any serious quant finance package for Julia?

I think the Ito package is a great start, and I've forked it to work on adding to it other features of Quantlib (as best as I can!). I'm glad someone mentioned the InterestRates package too as I hadn't seen that. I work at major bank in risk, and my goal is to at some point sell them on the

[julia-users] Re: Any serious quant finance package for Julia?

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

[julia-users] Re: Any serious quant finance package for Julia?

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

[julia-users] Re: Any serious quant finance package for Julia?

In case you haven't seen it yet, there's also the 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

[julia-users] Re: Any serious quant finance package for Julia?

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

Re: [julia-users] Re: Any serious quant finance package for Julia?

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