I'm just starting to work with QuantLib and wonder if I'm going down a very wrong path.
I'm working on a site that presents the visitor with a table of streamed real-time options data, including Theoretical Value calculated by the stream provider. The visitor, as I envision it, is a normal-type casual retail customer.
Yesterday I'm thinking: Hey! Wouldn't it be nice to give the guy access to QuantLib so he can select one of the three (as it seems to me at the moment) option-pricing engines that QuantLib offers? I'm excited! I want to put just as much function as I can into an app. I love this!
Today I installed QuantLib on my win32 machine and started to look around. Come to find out (should be no surprise, I guess) that the three pricing engines deliver prices that differ by only miniscule amounts -- tenths or hundredths of pennies.
I don't believe that the visitor I have in mind cares about nickels and dimes per contract. Maybe the value that QuantLib delivers just does not justify its weight in server-side computation time.
Is it worth my while to integrate QuantLib on my server (a huge PITA)? Or should I just forget about it?