Managed C++ and Quantlib

Posted by Alexander Ng on
URL: http://quantlib.414.s1.nabble.com/Managed-C-and-Quantlib-tp4126.html

Hi all,

Does anyone have any experience using Quantlib from a .NET environment
using managed C++?

I have a Microsoft Visual Studio .NET 2003 setup with Managed C++,
standard C++, C# installed.

Quantlib was successfully compiled on my setup.

According to the Microsoft C++ migration guidelines, it should be
possible to:

(a) compile Quantlib as standard C++ libraries using the C++ compiler in
VS .NET 2003.
(b) write a Managed C++ wrapper library containing managed C++ classes
which are thin wrappers to underlying Quantlib class methods.
(c) Invoke the Managed C++ classes from other .NET languages in
particular C#.

I am not trying to port the entire Quantlib functionality into a managed
C++ framework, but would start with basic functionality such as basic
matrix calculation, simple math functions.

Any suggestions about which Quantlib class to wrap as managed C++ and
invoke to do something basic like inverting a N by N matrix.

Also, the Quantlib website mentions failed attempts to port the library
to .NET.  Did they use my proposed approach?

Many thanks.  Alexander Ng