The year was 2007. It was less than a year before the financial crisis - the one that almost took down civilization as we know it - was already taking shape. All signals were there but we had no idea of what was lurking across the corner. No idea whatsoever.
We had, however, other ideas. What if we had a language to communicate financial models? The same description be used to formalize, simulate, test, and execute? And that description be mapped immediately to a computer language? What if?
That was the vision. We called that vision QuantLET. From the first drafts, on whiteboards, or napkins, sometimes accompanied by a few rounds of beer in NYC’s financial district, the vision started do take shape. With time QuantLET started to materialize in different bodies. We learned through try and error that C++ is fast, flexible, but old, typing intensive, lacks intuitive tools, and flow adverse. C is also old, fast, but limited. Java is an universe where everything is massive and slow. Python is great, but a nightmare when your project grows to a professional scale.
In engineering perfection is a fallacy, so there must be plenty of gripe. Always.
QuantLET grew. We added machine learning, optimization, and simulation functions to the original streaming and reactive constructs. More functions in financial engineering, in binomial pricing and term structures. And QuantLET kept growing.
