Don,
Yes, yes, yes and yes. Work of this nature should continue. Some of this work should be done in F#. It would take a lot of effort, commitment and time. It would be very cool.
I wish that I had the time. Lately, my work and my new startup (IronWake) have consumed almost all of my time. I wish (and not lightly) that I had the time to pursue this type of work. This is exactly what I like to do and is exactly how I would like to spend my time. ((Sigh)) Day jobs always get in the way.
I think that there are a few key aspects of this library that would/could change. They include arbitrary precision maths, use of algorithms that are functional (and not just imperative; everyone here should know THAT context), etc.
FWIW, other similar libraries (QUANTLIB comes to mind) have seen their exposure change, i.e. they have refocused from a library with widespread platform support to a C++/Boost based library. I think that F# remains a platform that has the capacity to be a first class compute engine in Finance, Big Pharma, Oil Exploration, etc.
I have mentioned that I'd like to build a quant finance workbench using F# for analytics (and SQL Server 2005 w/Service Broker, BizTalk 2006 and a few other technologies), but I just don't have the time lately for that as well.
---O
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I notice that development on dnAnalytics seems to have halted for a while (I think Marcus said he needed to get a day job...) It's a shame, as the architecture of the library seemed very good - I liked the fact there appeared to be both managed and, optionally, Intel/AMD math-library-based versions.
I'm wondering if anyone has contemplated just taking the (BSD'd) dnAnalytics source code and transforming it into an F#-specialized version of this library? It could be even be translated en-masse to F#, though I don't know how much source there is. I've never looked at the dnAnalytics source code, and couldn't be involved myself, but I think the result could be pretty cool.
Of course such a project shouldn't be entered into lightly - it would be a major commitment involving a lot of work, and you'd need to be both strong F# programmers and good library designers. But this kind of programming can also be a lot of fun and very rewarding.
Just a thought,
don