[Quantlib-dev] QuantLib usage in commercial appilcations...

[Toyin A. <toy...@ho...>]

Hi all,

Today I have posted up version #2 of my financial toolkit based largely upon 
QuantLib.

We, www.QuantTools.com, have tried to deliver a pricing platform, pretty 
similar to FinancialCAD, MBRM and other such commercial financial 
application frameworks. The main difference between the said systems and our 
framework is that we use objects heavily within our functions (rather than 
rectangular ranges of information).

Thus we have been able to provide functionality that is not possible under 
the said systems (ie - given an interest rate product, be able to compute 
interest rate yieldcurve/volatility curve/SABR risk within the library 
rather than within a spreadsheet).

We used as much public domain code as possible so that our own costs were 
low as well as allowing the users to have access to most of the algorithms.

You may have remembered that version #1 of my library (3 years ago) was 
based on .NET entirely and a free ASP.NET web site was created for the 
pricing of structured products.

Unfortunatly, our hosting company did not like the fact that the server was 
running at 100% capacity and thus delivering poor performance for other web 
sites also hosted on the same box.

I was advised to move this system onto a dedicated box, but that meant 
paying for one in which case the service would no longer be free.

Version #2 is a complete rewrite in C++.

The libraries can be downloaded and evaluated. There is an Excel Addin as 
well as C++, java (via JNI), .NET (does not use COM interp),  Excel VBA 
addin and an ActiveX (COM) component (for a small fee!!).

The Excel Addin and the libraries all have the same interface and expose 
over 2100 functions and practically exposes most of the functionality within 
the QuantLib library.

The library also boasts generic pricing routines via MonteCarlo, Tree and 
PDE frameworks as well as reading FpML files into Excel and applying XPath 
statement to display nodes.

There are online code samples (in 8 languages) and object diagrams to help 
understand the relationship between objects during a function call.

In summary I would like to thank the entire QuantLib team for providing such 
a wonderful framework.

The last three years of coding this version was certainly stressful. However 
without QuantLib we could have easily added three more years (as well as 
hiring a lot of very expensive consultants/contractors!!).

Check it out, I think you'll like it...

Best Regards,
Toyin Akin.
www.QuantTools.com

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