Re: [sage-support] Re: moving spkg between versions - is it possible - QuantLib
William Stein
<Michael...@mathematik.uni-dortmund.de> wrote:
>
>
>
> On Feb 20, 4:10 am, tomanizer <thomas.haede...@mailwitch.com> wrote:
>
> Hi,
>
>> If I remember correctly it took around 14 hours, but my memory might
>> not be reliable.
>
> Ouch.
Holy crud. 14 hours! Gees.
>
>> I will try to build it for the new Sage version and let you know how
>> long it takes.
>
> Yeah, it needs way too much RAM to build on smaller systems, i.e. 2GB
> with gcc 4.1.2. And we have people regularly complain about LinBox
> which uses about 350 to 700 MB at peak to compile.
>
>> What do we need to do to make QuantLib a supported package?
>
> Well, it kind of is, but it is considered experimental, i.e. back at
> Sage Days 9 when Phaedon and I worked on them we ran into trouble with
> boost, OSX and the non-system Python. So it might be worthwhile to
> update it so it works on OSX, but it isn't a priority. If you want
> some pointers I am happy to give them to you. But making it a standard
> spkg in Sage won't happen for various reasons, the biggest one is just
> the sheer size and the resources it needs to be build.
>
> When I first played with Quantlib is was very impressed by its website
> and seemingly large number of users, but the first time I compiled it
> I instantly knew that Quantlib and Sage won't share a future together.
> It is a prime example why boost and templates are a bad idea when used
> in this way since the compile time is completely unacceptable.
>
>> I am interested in helping, but I am not a Python/Sage genius (yet).
>
> Excellent.
>
>> Generally, is there some interest in taking Sage further as a platform
>> for Quantitative Finance?
>
> Absolutely. There is already a Google group called sage-finance, but
> it has been quiet there for a while.
There were some messages just over a week ago so it isn't dead:
http://groups.google.com/group/sage-finance
Please join and start posting.
> Note that Sage contains excellent
> support for generalized hidden markov models for example. Phaedon is
> working on options pricing and also date functions and he promised to
> send some code soon :)
Yep, and Glenn Tarbox is also interested in pushing this functionality forward.
There is also the finance.[tab] functionality in sage, which is very fast.
>> I remember William mentioning in a post some time that he would like
>> to see more finance support in Sage too.
>>
>> If more people are interested we could
>> - support QuantLib on Sage and extend the SWIG interface (e.g.
>> docstrings, proper types, etc)
>
> The SWIG interface is autogenerated code, so this will be tough. I
> think given the above situation that the next suggestion is a much
> better use of your time.
That won't happen.
>
>> - port QuantLib to Python/Sage
>
> That is partially happening, but I am not sure what people want.
>
>> - create a new Quant Finance Platform for Sage
>
> Yes, all the way :)
Slowly but surely, this is happening.
>
>> Any suggestions? Any more volunteers?
>
> Glenn is working in this area, too, but I am not sure if he is reading
> this thread. We have a CUDA box up and running and will be working on
> getting code for las vegas models onto the GPU to get nice speedups :)
I'm cc'ing this to sage-finance.
William