During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our strategies, I believe there are 2 major disadvantages in implementing quantitative libraries (including statistics such as performance, standard deviation, etc) in-house:
- You take the risk of making a mistake in the implementation
- You waste a lot of time implementing and testing functions that already exist
I have hence been considering using available libraries as a foundation to develop a new quantitative analysis platform. Although I know there are a few open-source libraries, I think most companies would be ready (and would prefer) to pay for the guarantee of continued support and maintenance. I also would like to have a library that I can use from .Net. So I started looking and I found:
- MATLAB (as it can be compiled)
Is there something wrong in my argument, and do you know any other commercial library I could consider?