Reprise of JQuantLib

Asked by Yaser

I know the development is taking place now on gitHub, but didn't know how to ask a question on there. Anyway from the other forum post I was curious if you will reprise JQuantLib. If so I would like to help out, my background is a Software Eng Developer who is finishing up his Masters in Applied Statistics.

If you do reprise jquantlib will it be:

1. A wrapper over QuantLib? (I feel like dependency issues would be a headache)
2. Rewritten in Java?
3. Rewritten in Scala?

I see that you are a big fan of Scala for it can be very expressive and is statically typed and type safe, but would there be a performance hit for people who would use JQuantLib for low-latency HFT?

If you do reprise JQuantLib I would like to help out, by writing unit-tests, functional-tests, documenting the api, developing for s/jquantlib, setting up continuous integration, setting up a website, and so on.

Thanks for your time,


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Richard Gomes (frgomes) said :

Hello Yaser,

Unfortunately JQuantLib does not evolve as fast as QuantLib evolves.
JQuantLib is an unfinished piece of work based on QuantLib 0.9.7.
But QuantLib is now version 1.6.1.

Financial engineers are not interested in the Java version, only in the QuantLib/C++.
So, inovation does not reach JQuantLib. Maybe inovation could happen with Scala, atracting people more numerically capable than average Java developers. But translating QuantLib onto Scala is a titanic task, which I simply cannot embrace.

It's clear to me that JQuantLib is far more convenient for integration with Java than QuantLib is.
QuantLib requires tricks in order to wire native libraries in a Java/Scala application, which is very inconvenient from my point of view. On the other hand, QuantLib is far more inconvenient if you need a functionality that is not available yet in JQuantLib or if you need something that was fixed or improved in QuantLib but not yet in JQuantLib.

For these reasons, I'm not planning to revive JQuantLib.
I will possibly publish JQuantLib as it is in Maven Central or bintray, for the benefit of those willing to perform option valuation, which works well enough.

Thanks a lot for your help, anyway.

-- Richard

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