Re: [Quantlib-dev] Possible future works

[Joseph W. <joe...@gm...>]

FYI, I worked at a major investment bank until a year ago when I
started my own company, and the derivatives trading pricing code had
only one feature that quantlib doesn't have, and that's the ability to
dynamically load in parts of the code.

The issue is that because all of the derivatives code is in one
library, it becomes impossible to load in the entire pricing library.
So there is a slick infrastructure in which the derivatives library is
modularized into dozens of small dynamic modules.  When a system needs
to run a c++ class, the system tracks which module it is in and it
autoloads that module.  This was also a bit tricky since it had to run
on both Windows and linux systems.

It would be interesting to see if this could be implemented in
QuantLib.  The autoloading mechanism was written by one person who
took a few months to do it.  Personally, I don't think it would be
worth while to write an autoload mechanism from scratch, but I'd be
interested in knowing if there was some off the shelf system that
could be adapted for quantlib.

Something that would be more low hanging fruit which would be easier
would be to just generate several shared libraries instead of one big
shared library or to have a mechanism by which someone can add a class
to QuantLib, put it into a shared library and be able to work on that
without having to do a complete recompile/relink of the library.