Re: [Quantlib-users] Integration with Octave

[Dirk E. <ed...@de...>]

[ line wrapping is always appreciated on public lists ]

On Sat, Nov 15, 2003 at 01:23:01PM -0800, amar singh wrote:
>  
> I am wondering, if there is some demo/example available to use Octave with Quantlib, or can someone please give some guidelines? (I am trying to use Kalman filtering and time series analysis stuff, which is not avaliable in Quantlib, I guess?? Is it expected to be there in Quantlib next release by any chance?)

Cool -- Nando had that on the wish list for QL for a long time.

Alternatively you could go with GNU R for which I have built some simple
prove-of-concept wrappers around a few option pricers; look for RQuantLib.
  
> Or, is there any other Time series analysis C++ code(freeware), which is easy to integrate with Quantlib?

My very personal $0.02: I used to code a lot with Octave, but the things I
am interested in are really more data driven and data analysis focussed --
and I have come to appreciate the incredible power of the S language.
Consequently, I pretty much do all I do (apart from C wrappers and simple
Perl tools) in GNU R, the open source dialect of the S language.

As for S, I can only concur with the ACM software systems award to the
language creator John Chambers: 

   "will forever alter the way people analyze, visualize, and manipulate 
    data . . . S is an elegant, widely accepted, and enduring software 
    system, with conceptual integrity, thanks to the insight, taste, 
    and effort of John Chambers"     

    [from http://www.acm.org/announcements/ss99.html ]

John Chambers is a member of the R Core group which is pushing GNU R to new
heights. Most statistical research pretty much happens there, as opposed to
the commercial S-Plus dialect.  R is written in portable plain C with calls
to standard libraries as well as some specialised packages. R already has
some Kalman filtering in the standard ts (== 'time series') package, and
more in Paul Gilbert's add-on package dse.

That said, and reverting back to the original questions :), I once 'glued'
the parts I needed from the Fixed Income toolkit of the major investment
bank I was working for at the time to Octave. Worked well for bondmath and
all that. But some Octave internals have changed, so not sure how much help
I could offer you now. Come over to the Octave lists, I'm sure people will
give you a hand there.

Good luck, and keep us posted, Dirk

PS  Incidentally, I am involved in the program for the upcoming 'useR! 2004'
    conference in Vienna next May. If someone wants to do something with 
    R in a financial econometrics context let me know!  More info is at
    http://www.ci.tuwien.ac.at/Conferences/useR-2004/  --  maybe I finally
    get to meet some of you fellow Europeans over there?

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx