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Ideas about new open source quanfin project

Posted: September 30th, 2011, 6:47 pm
by renorm
Recently me and several other forum members decided to start our own open source quantfin library. The preliminary summary of what the project is going to be can be found in this Google-docs documents.Anyone can read and edit the summary by clinking the above link. If you have any thoughts or interested in participating please feel free to share your ideas. Thank you.

Ideas about new open source quanfin project

Posted: October 1st, 2011, 5:12 am
by semanticum
renorm,I am in here. Just updated our docs file to reflect the current status of discussion.Dominik

Ideas about new open source quanfin project

Posted: October 1st, 2011, 5:46 am
by renorm
Thanks semanticum.I did some editing too.

Ideas about new open source quanfin project

Posted: October 1st, 2011, 9:32 am
by Antonio
Dear renorm,Thank you very much for sharing this idea here.My first (series of) question(s) is the following: there are already quite a few open source quantfin libraries on the web (quantlib in particular). How different do you intend to be? Why not try to collaborate with them and the others to build a unique well-documented platform?One of the problem with Internet and code on the Internet is that you have zillions of pieces of code, in zillions of programming languages, some better than others, but with very little documentation and with very little structure to it. From my personal point of view the ideal thing would be a unique (online) platform where this code is directly available (can be run online) with a clear documentation, rather than have different half-documented open source platforms.Best,Jack

Ideas about new open source quanfin project

Posted: October 1st, 2011, 5:53 pm
by quantmeh
do it in Java, then it'll be useful

Ideas about new open source quanfin project

Posted: October 1st, 2011, 7:18 pm
by tagoma
I share Antonio's view. at the same time, a collaborative project in the financial computing area is exciting!

Ideas about new open source quanfin project

Posted: October 1st, 2011, 8:40 pm
by renorm
QuoteTo solve an interesting problem, start by finding a problem that is interesting to you.Item 18 from The Cathedral and the Bazaar.I am interested in computationally intensive problems that benefit from parallel processing. Clearly multi-threading is painful, especially when all you got is Boost threads, or Java threads, or C# threads. TBB makes things easier, but not as easy as it could be. One of the main goal of this project is the development of a framework that makes parallel coding easier. Users should be able to specify their models without worrying about thread synchronization, work balancing, how to create parallel random streams, collect and process samples from Monte-Carlo engines and etc.

Ideas about new open source quanfin project

Posted: October 2nd, 2011, 3:21 pm
by Cuchulainn
Quotedo it in Java, then it'll be usefulWhat do you suggest in concrete terms? What I/we don't accept is another C++/Java/Peyton Place soap here like that awful thread on Linkedin.

Ideas about new open source quanfin project

Posted: October 2nd, 2011, 3:49 pm
by quantmeh
QuoteOriginally posted by: CuchulainnQuotedo it in Java, then it'll be usefulWhat do you suggest in concrete terms? What I/we don't accept is another C++/Java/Peyton Place soap here like that awful thread on Linkedin.there's a lot of code in C++, and very little in Java, at least in public. so, the added value of C++ code is likely to be marginal.

Ideas about new open source quanfin project

Posted: October 2nd, 2011, 3:50 pm
by tagoma
QuoteOriginally posted by: CuchulainnQuotedo it in Java, then it'll be usefulWhat do you suggest in concrete terms? What I/we don't accept is another C++/Java/Peyton Place soap here like that awful thread on Linkedin.LOL there are numerous threads in linkedin groups where people debate about "which is the best programming language" . useless.btw, i'd like to make few questions about the future wilmott and friends quant library :- what is public targeted by ? - will there be derived proprietary language/classes/tools later on (R/S => S+ ) ?- were there talks with people of other quant libraries (QL ...) ? - what did spark the light ? why now (and not years before) ?

Ideas about new open source quanfin project

Posted: October 2nd, 2011, 4:03 pm
by Cuchulainn
Quote there's a lot of code in C++, and very little in Java, at least in public. so, the added value of C++ code is likely to be marginal.Thanks for the advice. But we have this a million times from javabean. I don't know anyone here who knows/uses/want to use Java. But if you read the prospectus, it's not just C++ (which, BTW is the gold standard for computational finance).Enuf said.

Ideas about new open source quanfin project

Posted: October 3rd, 2011, 8:53 am
by frenchX
By the way as a really noob in programming, for me the best library is the one with the more detailed and clear "help section" (mainly with examples). I love when there are comments in codes to explain what the code is doing.

Ideas about new open source quanfin project

Posted: October 3rd, 2011, 10:01 am
by tagoma
QuoteOriginally posted by: frenchXBy the way as a really noob in programming, for me the best library is the one with the more detailed and clear "help section" (mainly with examples). I love when there are comments in codes to explain what the code is doing.where is the button to retwitt ??

Ideas about new open source quanfin project

Posted: October 3rd, 2011, 10:55 am
by Cuchulainn
QuoteOriginally posted by: frenchXBy the way as a really noob in programming, for me the best library is the one with the more detailed and clear "help section" (mainly with examples). I love when there are comments in codes to explain what the code is doing.Good remark. I do this by default.