Does anybody has linked QuantLib and Quantrix together?
I am thinking trying to migrate at least some parts of the QuantLib code (C++) to Java and integrate it in Quantrix. It is a difficult but very interesting project.
Is there a general interest for this kind of project?
All remarks, tips and questions are appreciated very much.
I think that would be very interesting, but challenging as you say. I know Quantrix has looked to partnerships (like with ForecastPro) to pick up some statistical forecasting and financial analysis algorithms, but that requires that you do the forecasts outside Quantrix. In my mind Quantrix is the perfect UI for lightweight statistical forecasting, and a package that integrates the kind of thing QuantLib does would be great.
There’s another open source project called OpenForecast that is already built in Java, but it contains only the simplest forecasting models and nothing on the purely financial side like QuantLib.
As a side note, I’d be surprised if a 3rd party plugin market for Quantrix didn’t evolve as the product gets more distribution.