compiling quantlib upon Visual Studio 2008...

Spent couple months digging in Microsoft HPC Server 2008 (a.k.a HPC v2) deployment and now it's time to toy some HPC codes. As I am working for servicing Financial Industry, and recently got tasks to write some financial model codes to test in HPC v2, I started digging into the domain knowledge of financial computing.

it's pretty good that there is a popular financial computing library called QuantLib writting in C++ to use for coding, save a lot of time to prevent reinventing the wheels. also there is a C# project porting QuantLib in to .NET framework 3.5 called QLNET, not trying it yet but will do it soon.

the current version of QuantLib 0.9.0 can be compiled from VS2005 and its previous, I tried to compile it under VS2008 but there will be compiling errors saying not supported compilers. by searching the net found the article from Dave Programming introducing how to build 0.9.0 from VS2008, which solved the problems here.

As QuantLib also required Boost library, Dave also had another post about compiling Boost 1.34.1 in VS2008. (the latest version of Boost is currently 1.35.0).

been a while not blogging while working since too much work to do and lazying on writing, will start writing often to record things I've learned and experienced. knowledge needs to be recorded, or else it will just be forgetten~~

Technorati Tags: finance,computing,derivatives,quantlib,visualstudio,boost

Comments

• Anonymous
  May 30, 2008
  The easiest way to get boost working is get the binary packages from http://www.boost-consulting.com They now provide 1.35.0 (the latest) with VS2008 support. Just FYI.