Hello all, I'd like to point people in the direction of a package I've been working on: JQuantLib, to get some feedback. Basically, I am trying to write a version of the very popular open-source quantitative finance library QuantLib in pure Julia. The library itself is written in C++, but it is commonly used in Python (via SWIG). I thought this would be a first attempt at trying to solve a common problem in many financial firms where you have basically two different dev environments: a calculation-heavy one (where speed is important) in C++, C, etc and one that is increasingly in Python to provide an abstraction to that lower level. Julia seems to be a perfect fit for eliminating the myriad issues one can encounter with this bifurcated dev setup.
The package itself is located here: https://github.com/pazzo83/JQuantLib There is a bond pricing (NPV) example in the readme itself, and further examples in the examples folder (these are under development still). I am continuing to work on this and add to it, but I'd love some feedback! I'm still relatively new to Julia, but working on this has definitely improved my fluency of the language. Thanks! Chris
