Re: [Quantlib-dev] Possible future works

[James <jam...@gm...>]

Hi Xiang Ni,

Thanks for your reply. I'm not surprised that there is a implementation already available. Actually, you can probably find available implementations for most algorithms that we are aware of. But whether the code we find fits the framework (QuantLib) is a question. For instance, the data structures used throughout the algorithm may need to be converted, and this task alone may not be trivial...

Whether an algorithm has already been implemented or not is a bit off the topic. I think a more important question should be - is this algorithm really needed for QuantLib? 

Regards,
James

-----Original Message-----
From: Xiang Ni [mailto:xn...@ca...] 
Sent: Friday, December 19, 2014 12:16 AM
To: James
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Possible future works

It seems that EM algo can be found here:

http://code.opencv.org/projects/opencv/repository/revisions/master/entry/modules/ml/src/em.cpp#L126

On Thu, December 18, 2014 3:09 pm, James wrote:
> Hi All,
>
>
>
> Having learned QuantLib for a while, I'm very impressed by the great 
> design of the software architecture, and I would love to contribute to 
> this project. I'm a software engineer from general signal processing 
> background, but I don't really have much experience on quantitative  
> finance. I have read the developers mail list archive but could not 
> find any topic related to possible future works that a developer like 
> me can contribute to. So I would be really appreciated if someone can 
> let me know what is currently missing and will be nice to have in 
> future QuantLib. A list of these possible future works will surely 
> benefit the development of QuantLib.
>
>
>
> To start with, do you think a general Expectation-Maximization 
> algorithm could be added into the future to-do-list?
>
>
>
> Thanks and regards,
>
> James
>
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--
Xiang Ni,

Department of Mathematics

California Institute of Technology

http://math.caltech.edu/people/xiang-homepage.html