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From Greg Sterijevski <gsterijev...@gmail.com>
Subject Re: [math] OpenGamma library
Date Fri, 14 Oct 2011 18:08:47 GMT
I looked more closely at the package and it am impressed with the breadth of
material covered. Moreover, this package will do to finance what Mahout is
doing to companies like SAS and SPSS. Having spent a good part of my career
in finance, this package (and others) will put a lot of small 'analytics'
companies out of business (as well as people like me). There is excellent
coverage of pricing models (options and otherwise), fitting techniques (as
it pertains to term structures, volatility surfaces and so forth), but the
most impressive thing is that all of the functionality is presented in
framework. You can integrate what is called front office functionality
(trading, pricing, hedging) with middle and back office (risk and clearing)
operations. Most closed source packages are not this good.

So, a bit amateurish on the 'optimization' front, but the big picture is
very strong. Comparable closed source packages like this would run upward of
1M USD.

-Greg

On Fri, Oct 14, 2011 at 11:24 AM, Phil Steitz <phil.steitz@gmail.com> wrote:

> On 10/14/11 7:47 AM, Emmanuel Bourg wrote:
> > Hi,
> >
> > I just saw this article, that might be of interest for some of the
> > [math] devs. They claim to have found an optimization that is 1.6
> > times faster than Commons Math :
> >
> > http://www.opengamma.com/blog/2011/10/14/maths-library-development
>
> Thanks for sharing this.  We can certainly look at the specific case
> and evaluate pros and cons; but it looks like there may be some
> interesting areas for collaboration.  The license and CLA-type
> thingy look compatible and it looks like there are [math]
> dependencies and maybe some [math] source already used in there, so
> it would be great to get some collaboration going.
>
> Phil
> >
> > Emmanuel Bourg
> >
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