if you are looking to use QL from higher level languages (R or python for example) this is also available. Then you dont have to deal with the C++ part too much. You then build your application with those "high level" tools. But, the real difference to commercial packages is probably you have to take a bit a look yourself. Not many consultants around to help you here. But of course some specialised people are available. You can find them easily if you look for that.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.
is there a site for 'Available QL "consultants"?
I suppose there are many roads to Rome. Would be curious to know to how you did it. QL is based on public work so it could have been rewritten from scratch by mining the algorithms and test data? But you need a budget ::-) Technically,.it's not rocket science but it does not appeal to everyone..We tried here to rewrite it, and it was very difficult. Good times and good conversations though!
By we I meant the royal we on Wilmott! And they were good times trying to get that together.I suppose there are many roads to Rome. Would be curious to know to how you did it. QL is based on public work so it could have been rewritten from scratch by mining the algorithms and test data? But you need a budget ::-) Technically,.it's not rocket science but it does not appeal to everyone..We tried here to rewrite it, and it was very difficult. Good times and good conversations though!
One approach in the past was to write a generic interface that subsumes both COM and CORBA so as to learn 1 interface, as sold to management. The new system started leaking from all sides, so 3 interfaces had to be learned.
If only the core algorithms (the rest is fluff I/O) could have been extradited from Ball Of Mud. In fairness, we can attribute it to the OOP hype.
Personally, 90% of GOF patterns is outdated and/or redundant.