Do Quants use QuantLib and ActiveQuant used it in industry vs academia Do Quant’s use QuantLib? (in practice, not just in academia) I would like to know whether QuantLib (or other open-source quantitative finance libraries) is actually used in practice, or is it mainly used just by academics. The reason I’m interested in this question is because sometimes there appear to be discrepancies between what is taught/used at university and what is used within the “real world” in finance.
In practice, do quants write C++ pricing algorithms from scratch… or do they reuse and build upon classes from existing libraries, such as QuantLib (or other open-source quantitative finance libraries)?
If you use QuantLib in practice, do you mainly use “convenience” classes such as Calendar and Date (to avoid recoding basic functionality), or do you actually use the Pricing engines too?
Are QuantLib the major (open-source) C++ quant finance library, what are some alternatives, and which would you recommended?
Thanks!
My answer to this kind of questions is very easy. It seems that I have explored these types of APIs/frameworks/libraries which are both written in Java or C++. I have no qualms in terms of these packages, The effort into developing and maintaining these code bases is huge. Some say that QuantLib is over-engineered but I say ba humbug. That is the old man in talking. There are lots of features and methods or functions to call here. I am sure they are used throughout many schools but probably would not find the same in industry. I would expect large investment banks or other institutions would have developed their own legacy based library. As one famous recruiter, said QuantLib would be the library of choice if many of the firms would have to re-do their legacy libraries (especially in C++). Unfortunately, I do not see many of these firms tossing their legacy libraries for something like QuantLib. Some companies would have been using this ranged from UBS to Nomura. Or there are at least people who have researched its use. I am not sure if this can confirmed that it is actually used in these kinds of companies.
Comments