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bio website dirk.eddelbuettel.com
location Chicago, IL
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  • See my blog for some updates on what I've been up to.
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Feb
2
revised What are the advantages of switching platforms/languages between strategy development and implementation?
added 6 characters in body
Feb
2
answered What are the advantages of switching platforms/languages between strategy development and implementation?
Feb
2
comment What are the advantages of switching platforms/languages between strategy development and implementation?
That's where Rcpp came from in the R and C++ hybrid. I used to write .oct files too but generally prefer R over Octave/Matlab now.
Jan
31
awarded  Yearling
Jan
27
awarded  Nice Answer
Jan
16
awarded  Nice Answer
Jan
11
comment What C++ math libraries are typically used by quants?
So you mean what other libraries you think you can use without putting up extra barriers to use and adoption?
Jan
11
comment What C++ math libraries are typically used by quants?
While technically true, you should keep in mind that Octave is written to support its interpreter, not provide an API. Hence little use of Octave as a library in the sense of the original question.
Jan
11
comment What C++ math libraries are typically used by quants?
I have worked with C++ for twenty years and your statement still makes no sense to me. Why don't you focus on release early, release often and feedback on actual code?
Jan
11
comment What C++ math libraries are typically used by quants?
Just produce a clean and useful API, bindings to other systems will then come easily---using e.g. Rcpp. And yes, if you do anything data releated (eg analysis, modeling, visualization, ...) then R is rather popular.
Jan
11
comment What C++ math libraries are typically used by quants?
Nope, I advocate using C++ and R. A happy marriage. ;-)
Jan
10
comment What C++ math libraries are typically used by quants?
It helps to look at it the other way: RcppArmadillo helps you to write simple C++ linear algebra, almost Matlab style, that is C++ fast. At run-time, it will indeed refer to whichever BLAS R uses, which may well be optimised, multicore, ... such as Goto or MKL. Makes sense? So the point is when you need to code something that R doesn't yet do, or does too slowly, the RcppArmadillo integration makes it pretty easy to get the job done.
Jan
10
answered What C++ math libraries are typically used by quants?
Dec
20
awarded  Nice Answer
Dec
18
awarded  Nice Answer
Dec
13
comment Usage of NoSQL storage in Finance
Fixed, thanks for catching that.
Dec
13
revised Usage of NoSQL storage in Finance
edited body
Nov
30
comment Quantlib in JavaScript?
Swig doesn't know server or client---it creates language bindings. How you deploy is up to you. And you can hardly have QuantLib in the client as the software once compiled is huge. So you probably need a connector of some sort to talk to a computer server which may have QuantLib for you. Somewhat harder.
Nov
30
answered Quantlib in JavaScript?
Nov
23
answered What's the difference between SA and SAAR?