Quantifa - F# open-source library for quantitative finance and risk management

[Andy Nguyen]

Quantifa is an F# open-source library for quantitative finance and risk management. Quantifa can be viewed as a functional programming version of QuantLib and QLNet. Currently, the Quantifa Team is looking for developers.
QuantifaWiki

F# is a new programming language and will be integrated in Microsoft Visual Studio 2010, along with C++, Visual Basic and C#. Due to its multi-paradigm programming feature, writing code in F# can be both elegant and time-efficient.

- Designed for Use in F# Interactive
F# Interactive is used to run F# code interactively at the console or in a window in Visual Studio. In other words, F# can be viewed as a console application that you can get result immediately after writing the code.

This functionality is very helpful for developing financial engineering library, where what we need is just call the function in the library and get the result immediately or send it directly to other applications.

Many users have experience of using Financial Derivatives Toolbox in Matlab. Powered by F# Interactive, calling functions in Quantifa is quite similar to Matlab and you can get the result immediately.

- The First Financial Open-Source Project in F#
Quantifa is the first-ever and biggest financial open-source project in F#. As it is still a project under development, the Quantifa Team is looking for developers. If you are interested, please send an email to Ning Cao, Quantitative Developer & Administrator of the Quantifa Project. tony.ning.cao@gmail.com

 

[Connor]

I've been curious to try F# because apparently it has some roots in FORTRAN. Interesting. Thanks for the update Andy.

 

[alain]

... it has some roots in FORTRAN.

I'm sorry but tt doesn't have a single root in FORTRAN. It all comes from OCaml (I think version 3.10 specifically). Don Syme and Microsoft Research have done a great work.

F# is the only reason I will work with the .Net environment.

 

[cgorac]

I'm sorry but tt doesn't have a single root in FORTRAN.

Probably mistaken with Fortress programming language - both appeared approximately at the same time, and I remember I too was confused about which one is which back at the time.

F# seems rather nice language to me too, even surprisingly nice for something coming from Microsoft... And - I'm not sure, but I think you should be able to run it under Mono too, so .Net environment may not be necessary after all.

 

[Connor]

Alas it appears my memory has failed me again! :-k