Manifesto
From JQuantLib
Contents |
JQuantLib - Quantitative Finance framework in Java
JQuantLib aims to provide a free, open-source and comprehensive framework for quantitative finance, written in Java.
Reasoning
As Java becomes more important and performs better and better, this programming language is gaining more respect in sectors previously dominated exclusively by Fortran and C/C++ programming languages. In spite Java has inferior performance in comparison to C/C++ and Fortran, Java offers notable advantages regarding the large amount of standard classes, rich documentation, wide range of applicability and shorter development cycle. Java is mature enough for a computational critical application like the complex calculations involved in the investiment banking business. The quantity of academic and scientific work based on Java is enough for providing sufficient apparatus of algorithms well implemented and largely tested. Combining this scenario with the increasing number of jobs available for Java professionals willing to join the financial and investiment banking business, we face probably all the necessary elements for adoption, support and enhancement of a professional framework for quantitative finance written in Java.
History
Maybe the most important open source initiative in the investiment banking sector to date at the time of this writing is QuantLib, which is written in C++. JQuantLib is based on QuantLib and aims not simply translate it to another programming language but perform a rewrite which takes advantage of features that Java can offer. In spite QuantLib has bindings for Java, these bindings are not able to cope sufficiently well with all the differences between these programming languages. The result is that sometimes these bindings are not adequate, seeming strange or much like a "foreign dialect" to a Java developer. Sometimes the necessary bindings for a certain functionality are completely missing. Instead of trying to fill in all the gaps of the binding thing, we decided to assume a much bigger and challenging task, but much more inspiring, which is: understand, translate and make the necessary changes in order to implement a proper framework for quantitative finance, written in Java.
The Challenge
At the same time that writing a framework for quantitative finance is a big task and means a lot of coding, it is also an opportunity to integrate well established Java based solutions, which means: more reusability, more productivity and less coding. Also, the advent of some standard Java scientific libraries and some becoming-to-standard scientific libraries contributes to speed up the development of JQuantlib. On the other hand, the development of JQuantLib contributes to the establishment of critical mass around these open source implementations. It's a lot of work... but it is challenging and inspiring.
RichardGomes 01:31, 23 January 2008 (UTC)
