I have had to turn my attention towards quantlib lately, in view of using it as a base for a system in a buy-side context, that is able to handle both valuation, risk, pnl as well as research in time series and scenario context. One important question I am trying to answer for myself, is how I should end up using it, meaning at what level and how much of it should I use and how much should I stay away from?
When I compare the library to what I have seen in top IBs or large buy side firms, I can't help but feel that it's quite poorly designed. It has a pretty academic feel to it and I have the feeling that many who have had a hand in its design aren't really market professionals. I can see that the authors took C++ design principles to heart, but this isn't really the problem you are trying to solve when writing a financial engineering library. I am happy to elaborate on what I think are pretty flaky aspects of quantlib.
But what I am trying to figure out is how people who use library in a professional production context use it? Are they using only failry low-level components of it and go from there or do they actually buy into the design pattern nonsense that comes with it? I am also thinking about overlays like quant_ext and ORE btw.
Any comments most welcome.
Thanks,
m