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Hi Fabrice,

In some areas there is allot of overlap between QuantLib and QuantExt, that is true, it’s an open question if some things should be moved over, for example we added a few additional Calendar classes and some other volatility term structures that worked with a floating reference date. Also we have added to QuantLib itself over the years, so we have no problem with both approaches.

We have deliberately kept QuantExt to be C++98 compliant so it is compatible with QuantLib. OREData and Analytics use C++11.

Our initial motivation was to release ORE that worked out of the box with a fully released QuantLib, to avoid any conflicts and dependancies it was easier for us to just add classes to QuantExt. Then we would see what people thought (including the QuantLib community of course) and see what the best thing to do was, so in that sense I’m interested in your feedback, and so your point about SWIG is a good one.

Can you tell us what specifically what classes you were looking at in QuantExt? I’m not sure they would all be suited to QuantLib, but it’s a matter of opinion.


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