You once told me java can emulate the same quant lib functionality of C/C++. I asked quants in GS, MS, ML, Barcap and a few other banks. I don’t remember anyone saying their quant lib is in java. I now feel there’s no industry momentum behind such a migration. Further, I feel there’s no justification either. I’d go out on a limb and say there’s justification for sticking to C++.
A java implementation is less accessible from dotnet, python, and other scripting languages that could be making (slow) inroads into trading floors. In contrast, all major languages support an decent interface to integrate with a C library. C is the
More importantly, the sponsors of the quant lib are business users (not only traders) and they
know none of the languages but they know MSExcel. I’d say Excel integration is a must for every quant lib, otherwise traders may refuse to use it. C implementations easily integrate with MSExcel, via the
Microsoft COM interface and other interfaces. C# also integrates well with Excel.
Some quant libs are used in visualization and GUI. Dotnet and WPF are a market leader in GUI.
I also feel C implementation tends to be faster, at least no slower, than java quant lib. In pre-trade real time apps, a quant lib needs to be fast. A Barcap veteran told me the most important justification for C++ in quant lib is speed/performance.
In 2018 I asked an Executive Director in MS CVA team why java is not used. He said performance is the main reason.