Re: Matlab Port

Posted by Dirk Eddelbuettel on Feb 05, 2003; 6:53am
URL: http://quantlib.414.s1.nabble.com/Matlab-Port-tp2390p2391.html


> Hello everyone.
>
> I'm going to be taking a crack at a matlab port of QuantLib and I wanted
> to see if anyone had any thoughts.
>
> The largest item nagging at the back of my mind is the exact method of
> binding in the Quantlib library.  SWIG doesn't (yet) support Matlab so
> this will have to be handwritten.  Unfortunately the best way that I

But there is matwrap -- I have used it with both Matlab and Octave. See
http://lnc.usc.edu/~holt/matwrap/ and if you're using Debian then simply
install the matwrap package.

> know of doing this is with a large switch statement inside a cmex file
> (c implemented matlab file).  For those that don't know matlab, I'll
> explain:
>
> Matlab requires that each function be implemented in a separate file
> (with classes implemented in a special directory structure).  If each
> Quantlib function were implemented as a separate cmex file (which are
> compiled as .dlls), they would also require an accompanying m-function
> file to provide the function prototype and help information.  
>
> Because of this nature the only way that I know of to manageably work
> with lots of external functions within matlab is to group them together
> inside one large cmex file.  I was thinking of writing one cmex function
> for each major Quantlib class.  This way it keeps the cmex side of the
> operation down to about 15 or so files to manage instead of hundreds.
> If anyone can suggest a better way I'd be grateful; one large switch
> statement just makes me feel dirty.
>
> Apart from that I'm going to look at how the Ruby and Python ports are
> implemented.  Although matlab does support a class structure it is quite
> common (and useful) for function calls to also allow many parameters.
> Perhaps an implementation that allows pre-defined class variables to be
> temporarily overwritten during a function evaluation would keep both the
> nature of QuantLib and Matlab intact.

You could also look at my nascent RQuantLib project of attaching QuantLib
to GNU R. R, as an implementation of the ACW-award winning S language, has
a rich class structure, but it would require some work to map from C++ into
S.

What I've done so far is to simply provide some wrappers for some (equity)
option functions.

Dirk

--
According to the latest figures, 43% of all signatures are totally worthless.