java library

[matmjm]

Greetings,

I am working on a java library devoted to Monte Carlo simulation in finance:
http://martingale.berlios.de/Martingale.html

Within a week I plan to add a Quasi Monte Carlo package and multidimensional assets both constant and deterministic volatility (constant correlations of returns).

Why did you choose C++?
Java is much nicer and it's not much slower either.

Have fun,

MJM

[Luigi Ballabio-4]

At 12:43 AM 5/14/02 -0400, [hidden email] wrote:
>I am working on a java library devoted to Monte Carlo simulation in finance:
>http://martingale.berlios.de/Martingale.html
>
>Within a week I plan to add a Quasi Monte Carlo package and
>multidimensional assets both constant and deterministic volatility
>(constant correlations of returns).
>
>Why did you choose C++?
>Java is much nicer and it's not much slower either.

Michael,
         I don't want to start a language war here: I had a go at half a
dozen languages myself (including Java) and each of them had features which
were nicer than all the others, and features which were not.

The two main reasons we chose C++ were a) we had more expertise in the
latter and b) most scripting languages can be interfaced with C/C++ (e.g.,
we currently export QuantLib to Python and Ruby, and work is being done on
Scheme as well) but not with Java.

As for your library, I think it is quite interesting. We won't be able to
exchange code, but we can still compare designs. What do you think?

Bye,
         Luigi

[Rod Pienaar]

I don't know how much work is involved in setting up and maintaining a sourceforge CVS but perhaps QuantLib could start a Java version.  I would be more than happy to contribute.  I had a stab at converting parts of Quantlib to Java just to do some comparisons in coding and design.  To do the whole library would be huge amounts of work but with a combined effort maybe it would speed along.

Even if it never took off or got completed it would raise some interesting design debates.

Rgds
Rod


---------------------------------------- Message History ----------------------------------------


From:  Luigi Ballabio <[hidden email]>@lists.sourceforge.net on 14/05/2002 10:16 CET

DELEGATED - Sent by:    [hidden email]


To:    [hidden email]; [hidden email]
cc:
Subject:    Re: [Quantlib-users] java library


At 12:43 AM 5/14/02 -0400, [hidden email] wrote:
>I am working on a java library devoted to Monte Carlo simulation in finance:
>http://martingale.berlios.de/Martingale.html
>
>Within a week I plan to add a Quasi Monte Carlo package and
>multidimensional assets both constant and deterministic volatility
>(constant correlations of returns).
>
>Why did you choose C++?
>Java is much nicer and it's not much slower either.

Michael,
         I don't want to start a language war here: I had a go at half a
dozen languages myself (including Java) and each of them had features which
were nicer than all the others, and features which were not.

The two main reasons we chose C++ were a) we had more expertise in the
latter and b) most scripting languages can be interfaced with C/C++ (e.g.,
we currently export QuantLib to Python and Ruby, and work is being done on
Scheme as well) but not with Java.

As for your library, I think it is quite interesting. We won't be able to
exchange code, but we can still compare designs. What do you think?

Bye,
         Luigi


_______________________________________________________________

Have big pipes? SourceForge.net is looking for download mirrors. We supply
the hardware. You get the recognition. Email Us: [hidden email]
_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users



--

This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and destroy this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden.

[Ferdinando M. Ametrano-2]

Rod Pienaar wrote:
>I don't know how much work is involved in setting up and maintaining a
>sourceforge CVS but perhaps QuantLib could start a Java version.
>   I would be more than happy to contribute.
The effort to create a Java CVS module is minimal. The effort to start
coding the Java module is significant, and please read below about SWIG. We
need interested developers. Anyone want to join Rod?

Michael Lewis wrote:
>In choice of language, interface might be important -
>hence having a PERL/RUBY interface to Quantlib would
>be great
QuantLib is already available as a Python and Ruby modules by means of SWIG
(http.//swig.org), as Luigi pointed out.
SWIG supports Java, Tcl, Perl5, Guile, and MZScheme besides Ruby and
Python, so this approach may easily help porting QuantLib to these
languages. Initial MZScheme and Guile modules are available in the QuantLib
CVS under QuantLib-SWIG. We welcome any contribution aimed at exporting the
library towards other programming languages; however, the use of SWIG is to
be preferred to hand-made approaches since it leads to more maintainable code.

If anyone familiar with SWIG wants to tackle Perl and/or Java, please let
us know

>even some XML definition and SOAP functions would be good for cross platform.
Yeah, please see http://quantlib.org/extensions.html

Michael J. Meyer wrote:
>I have a fully developed Libor market model which I wrote in C++ and which
>I would be willing to contribute to your cause. I might be willing to put
>in some effort once I have overcome my resistance to go back to C++ agai.
You're welcome. Please take a look at QuantLib and see how your code would
fit. I'm pretty sure we would be all interested, and Sad might have some
special interest ;-)

ciao -- Nando