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Although I do more or less understand what a language binding is, I am struggling to understand how they work.
Could anyone explain how do you make a Java binding for WinAPI, for example?
You’ll find much better results if you search for Foreign Function Interface or FFI. The FFI is what allows you to call functions that were written in a different language, i.e., foreign ones. Different languages and runtimes have vastly different FFIs and you’ll have to learn each one individually. Learning an FFI also forces you to know a little more about the internals of your language and its runtime than you are ordinarily used to. Some FFIs make you write code in the target language, like Haskell (where FFI code must be written in Haskell), and others make you write code in the source language, like Python (where FFI code must be written in C).
Certain languages don’t use the term FFI (though it would be nice if they did). For Java, it’s called Java Native Interface, or JNI.