using Quantlib from Java
One of these days I’m going to give an overview of all the excellent open-source software I use on a daily basis. Until that day comes, I’ll observe that finance remains one of the big areas where open-source software has made relatively limited inroads.
Two production-quality packages fight that unhappy state: QuantLib – a comprehensive framework for quantitative finance – and QuickFix – a full-featured FIX engine. Both are C++ libraries and both provide very nice interfaces to facilitate integration with other languages, including Java. QuantLib is a big and complicated library and integrating it with Java is not totally obvious. Below, I’ll describe how to build and use QuantLib from Java.
These instructions are based on a unix installation. I’m not really a windows developer and don’t have all the shiny tools that windows developers use, so it’s not an area of focus for me. That said, I have managed to build QuantLib under windows by using MinGW+MSYS but it wasn’t terribly easy and I don’t currently have a working installation, so I won’t cover that here. If this is your aim, don’t be dismayed as it is possible and it had all the functionality I enjoy under linux.
Using QuantLib from Java (on linux)
- Build QuantLib
- Requires a working version of Boost. This may prove to be the hardest step of all and you’ll need to use the ample documentation provided by the Boost team.
- Once you have a working copy of Boost, building QuantLib should require little more than
sh autogen.sh
./configuremake
sudo make install - Build QuantLib-SWIG
- Requires a working copy of SWIG. Again, look to the SWIG instructions, but it should be easy.
- Once SWIG is available, building the QuantLib/SWIG interfaces should only require:
sh autogen.sh
./configure \–with-jdk-include=${JAVA_HOME}/include \
–with-jdk-system-include=${JAVA_HOME}/include/linux
make -C Java
sudo make install
- Now you’ll have a Jar file with all of the SWIG/JNI stubs in it available in /usr/local/lib/QuantLib.jar. Add this to your classpath.
- Programs which call QuantLib functionality will need to have the
LD_LIBRARY_PATHset. This can be done by invoking the vm with something like:
-Djava.library.path=/usr/local/lib
- Programs which call QuantLib functionality will also need to explicitly load the QuantLib libraries. This can be done with something like the following static block appearing before your main method:
- That’s it. Now test your configuration by running the examples in Quantlib-SWIG/Java/examples.
static { // Load QuantLib
try { System.loadLibrary("QuantLibJNI"); }
catch (RuntimeException e) { e.printStackTrace(); }
}
It’s worth understanding how Quantlib is being used from java. SWIG is creating a JNI interface into those methods within Quantlib which have been exposed through their declaration in the swig *.i files. These files are found in Quantlib-SWIG/SWIG and they determine what functionality from Quantlib will be available to you. You’ll likely need to get familiar with a subset of those files that you care about. If you find that some functionality you care about isn’t exposed in those files, you may need to expose it yourself.
There’s a learning curve, but it’s worth traversing so you can get at all the rich functionality so many smart people have put together.
FIX Protocol, monte-carlo methods, open-source software, options pricing, technology
