QuoteOriginally posted by: outrunQuoteOriginally posted by: Traden4AlphaIt seems like the project needs some kind of the roadmap/status tracker and content management system that lets people contribute new research papers (or links to the literature), Matlab code, etc. and others can see the progressions and linkages from math to sandbox code to released code.Has any open source system ever used social media techniques to encourage semi-directed participation? I can envision a system where everyone votes on project priorities and the contributors that address those priorities get points or virtual currency in proportion to the priority of the need they filled. If a person's votes are weighted by their virtual currency earnings, then those that make the greatest contributions to the most crucial needs of the project will have the largest say in the direction of the project. The most valuable contributors could then strongly encourage others to contribute.regarding the voting: I see it more loosely coupled. Someone maintains a sub-library (e.g. PDE solver), and can say "this is my priority of future enhancements", which will be based on requests nby usersWill these ba a place where we can add new requirements/features for an engine/library?

QuoteOriginally posted by: hamsteris there an existing date/time class you prefer to use?In C++, Boost date and time I useIn C# we have a Date + Excel version (including day count)Maybe QL calendars?

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: hamsteris there an existing date/time class you prefer to use?In C++, Boost date and time I useIn C# we have a Date + Excel version (including day count)Maybe QL calendars?boost supports nanosecs (i guess clock, timespec).might be important to some ppl. however the code must be speedy. other ppl would prefer many day count methods (eg fixed income ppl).there is time_duration what might be used for actual/actual day count.but many day count methods arent actual.thus boost.Date_Time might be extended so can do something like this:double newdateclass:iffdaycountmethod0000000001(newdateclass &previousdate){//calculcate the corresponding year fraction..return yearfraction;} QL's big advantage are calendars.general questions:- what are the time scale users acting on? (long vs short time frame? many flops for safety vs speed?)- what securities are covered? --> what day count methods are needed? Who will add new day count methods in the future?- calendars?-

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QuoteOriginally posted by: frenchXI'll give a try on Friday evening. Forward grid shooting with FFT and characteristic function and keep in memories the value S* such as Option(S*)=Payoff(S*) for each time step. Sounds easy on the paper !! (I already have the algo now the implementation, always the trickier part).This is progressing slowly but surely. I'm using the FST method of Surkov. see herehttps://tspace.library.utoronto.ca/bitstream/1807/19300/1/Surkov_Vladimir_200911_PhD_Thesis.pdfI'm fighting with the fft of matlab at the momentI had the very classic problems :-the negative frequency problem (fullfil the hermitian symmetry to have a real valued option price and you 0 is put at N/2+1 so it's breaks the symmetry : ) ).-the tradeoff between the grid sampling and the frequency sampling (I wonder why someone didn't try to apply multiresolution scheme with wavelet to avoid such a problem)At the moment I'm in the debugging process for European option. My main problem is that I have very low price.The good points are:it's quickit works for every Levy process whose characteristic exponent is knownit gives the critical stock price (normally at least )

Totally agree!!!QuoteOriginally posted by: outrunGood question.the way I see it is:* it is the responsibility of contributors to suggest *and* create new things that are added to the scope.* we have a set of core C++ libraries that are efficient and work well together. These libraries will continue to grow, and continue to be efficiently working together.So, it's *not* a centralized organization where people work on centralized task-list which is part of a greater plan. There is a public peer review process for accepting new contributions, and in that process we all will look at * is there demand for the contribution?* does the contribution use the design patterns of the core libraries, and is the integration good?* is it documented?* is it tested?..so it will be up to *you* to define the scope by suggesting things, and your responsibly to get the contribution finished and peer reviewed .