This is my first post to QuantLib, hence I'll try
not and create a language war
(OK I will, I can't help myself).
-------
C++ is a great language for quantitative work and
for QuantLib; having used it
since early AT&T versions, I still love it.
I'd love to say the same for Java, but the
performance just isn't there. For doing
anything serious numerical (e.g. root finding, BLAS
III etc) the performance is
terrible and the memory usage is huge. I
don't generally discriminate, purely
on performance, preferring good design, but in
fields such as finance you have
to be practical. I don't consider Java usabe
for numerical work.
On the other hand, it is worth checking out VB.net
and C# in the VC7/IDE. C#
is a fantastic language and along with over 20
languages, compiles to a common
machine language.
It's also great for building complex object
models. Our FpML 3 implementation
has over 200 classes and over 100K lines of
code. It compiles in about 5 seconds
compared to 5 minutes for the C++
version.
Not yet complete, but I've been running some
timings on a Mersenne Twister
RNG and a LINPACK benchmark. I'm not seeing
significant diffs between C#,
VB and C++.
Regards,
James Battle
Locked
