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I want to use QuantLib from Octave.

From the QuantLib site:

QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration.

However, I can't seem to find any documentation or examples that demonstrate how to do this?

Is there an Octave binding for Quantlib, and can someone provide either a snippet that shows how to use QuantLib from within Octave (or a link to such a snippet)?

I am thinking of writing SWIG wrappers around QuantLib for this purpose if nothing can be found - but I don't want to reinvent the wheel, if this has already been done ...

Homunculus Reticulli
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  • Actually, I have just noticed that the key sentence in the paragraph on the QuantLib site is: ` Bindings to other languages and porting to Gnumeric, Matlab/Octave, are **under consideration**.` It would appear that the Octave bindings are not available yet. So unless I am informed otherwise, I may have to start rolling my own SWIG bindings. – Homunculus Reticulli Aug 02 '12 at 13:11

2 Answers2

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You should have read the whole paragraph:

Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration. See the extensions page for details.

Sebastian Hoffmann
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You could look at what I did for RQuantLib and use the fact that both Octave and QuantLib are implemented in C++ -- but you will have to build bridges for the different object models.

Dirk Eddelbuettel
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