General

Posted by matmjm on
URL: http://quantlib.414.s1.nabble.com/General-tp2062.html

Luigi,

It's not hard to move code from Java to C++ and conversely so if you find something in my code which you like please go ahead and take it.

It would certainly be good if our respective efforts could benefit from each other.

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.

So when you start working on this maybe focus your effort on interfacing with data source providers and definition of data structures for instruments
(caps, swaptions, these are needed for model calibration). Please let me also know who would be the person on your team working on this so I can get I touch with him.

Best of luck and congratulations for your effort,

Michael