Wilmott : Software Interoperability in Computational Finance, Part I: Foundations for Applications Using C++11 and C# in the .NET Framework

I have been granted an honor to publish our technical paper on Wilmott Quantitative Finance Journal with Daniel J. Duffy. The second paper of this series should be published on September issue, with comprehensive example on calling native C++ QuantLib program from C# and ultimately use that C# program in Excel.

Abstract

This paper is the first in a series of two papers on the design of software systems in computational finance. Both papers are concerned with applications using a combination of C++, C#, and C++/CLI in the Microsoft .NET Framework. In this first paper we discuss how to write and reuse code that has been written using a mixture of native C++, C#, and C++/CLI. In particular, we can call native C++ code from C# and we can call C# code from native C++. The language that makes this level of interoperability possible is C++/CLI.

The actual paper can be found in here. Check it out. Thanks for visiting.
-Mike