Walter's DConf 2014 Talks - Topics in Finance

Russel Winder russel at winder.org.uk
Sat Mar 22 05:06:25 PDT 2014


On Sat, 2014-03-22 at 00:14 +0000, Daniel Davidson wrote:
[…]
> Maybe a good starting point would be to port some of QuantLib and 
> see how the performance compares. In High Frequency Trading I 
> think D would be a tough sell, unfortunately.

I would certainly agree that (at least initially) pitching D against the
Excel/Python/R/Julia/Mathematica is an easier fight. The question is how
to convince someone to take the first step. 

I suspect a rewrite of QuantLib in D is a bad idea, much better to
create an adapter and offer it to the QuantLib folks. The ones they have
already tend to be created using SWIG. JQuantLib is an attempt to
rewrite QuantLib in pure Java, but I do not know if it is gaining any
traction over the Java adapter to QuantLib.

The angle here to get D traction would be to have the data visualization
capability: the reason for the success of SciPy, R, Julia has been very
fast turnaround of changes to the models and the rendering of the
results of the computations.

Certainly in bioinformatics, and I guess in finance, there is a lot of
use of hardware floating point numbers, but also of arbitrary size
integers, not just hardware integers. If your languages cannot calculate
correctly factorial(40) then there is no hope in these domains, this is
why Python, R, Julia get traction they manage integers and the use of
hardware and software representations so that the programmer doesn't
have to care, it all just works. This is clearly not true of C++ :-)

-- 
Russel.
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Dr Russel Winder      t: +44 20 7585 2200   voip: sip:russel.winder at ekiga.net
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