carrot-garden/quant_scala-quantlib

Using QuantLib with Scala

scala-quantlib

Using QuantLib with Scala

Installing

On Ubuntu

1. Install C++ Boost (>= 1.39) for building QuantLib and SWIG for building its Java Native Interfaces (JNIs):

   sudo apt-get install libboost-all-dev swig

2. Clone QuantLib from GitHub and build it (this can take a while):

   git clone https://github.com/lballabio/quantlib.git cd quantlib/QuantLib sh autogen.sh ./configure make # for multiple jobs at once: make --jobs sudo make install

3. Build the QuantLib JNIs using SWIG:

   cd ../QuantLib-SWIG sh autogen.sh #set JAVA_HOME if not already set, e.g. export JAVA_HOME=/usr/lib/jvm/java-7-openjdk-amd64 ./configure --with-jdk-include=${JAVA_HOME}/include --with-jdk-system-include=${JAVA_HOME}/include/linux make -C Java sudo make install

4. The resulting QuantLib.jar (and .so, etc.) are added to /usr/local/lib, so

###either:

add it to LD_LIBRARY_PATH (when using e.g. sbt):

  export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/usr/local/lib

###or:

run java with the option:

  -Djava.library.path=/usr/local/lib/

On Jenkins the above code needs to be added to JVM options

Note that the JAR references the other files added to /usr/local/lib, so adding it alone isn't enough

5. If you're using sbt, add to build.sbt:

   unmanagedJars in Compile += file("/usr/local/lib/QuantLib.jar")

6. Finally, in your application's boot code call:

   System.loadLibrary("QuantLibJNI")