QuantLib for Mathematica
While using the QuantLib financial toolkit
for my own purposes (my master thesis) I discovered that it would make my
work with calculations and graphing a lot easier, if I had an interface to the
powerful mathematical program Mathematica.
Through the combination of MathLink, QuantLib and Mathematica code, I have made a Mathematica package, which exports some of the QuantLib functionality to Mathematica. The project is in its early stage and only contains few functions, but the basis framework for making more it more complete is there. You can download the first version, or see a demonstration.
To make a truly useful QuantLib package for Mathematica, the functions should take the "look and feel" of built-in Mathematica-functions and things like term structures, calendars etc. should be handled elegantly. For this purpose inspiration has been taken from a number of similar projects and products.
Realising that this will take quite some time, I have not pursued the project further, but hope to have the time some day. However if you have an interest in this project, don't hesitate to contact me either directly (mail@nielses.dk) or through the QuantLib mailing list.