QuantLib QuantLib is a free/open-source library for quantitative finance.
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library C++ library c++ quantitative finance finance library QuantLib

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QuantLib is a free/open-source library for quantitative finance. QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration. See the extensions page for details.Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.Finance is an area where well-written open-source projects could make a tremendous difference:any financial institution needs a solid, time-effective, operative implementation of cutting edge pricing models and hedging tools. However, to get there, one is currently forced to re-invent the wheel every time. Even standard decade-old models, such as Black-Scholes, still lack a public robust implementation. As a consequences many good quants are wasting their time writing C++ classes which have been already written thousands of times.By designing and building these tools in the open, QuantLib will both encourage peer review of the tools themselves, and demonstrate how this ought to be done for scientific and commercial software. Dan Gezelter's talk at the first Open Source/Open Science conference discussed how the scientific tradition of peer review fits well with the philosophy of the Open Source movement. Open standards are the only fair way for science and technology to evolve.The library could be exploited across different research and regulatory institutions, banks, software companies, and so on. Being a free/open-source project, quants contributing to the library would not need to start from scratch every time.Students could master a library that is actually used in the real world and contribute to it in a meaningful way. This would potentially place them in a privileged position on the job market.Researchers would have a framework at hand, which vastly reduces the amount of low-level work necessary to build models, so to be able to focus on more complex and interesting problems.Financial firms could exploit QuantLib as base code and/or benchmark, while being able to engage in creating more innovative solutions that would make them more competitive on the market.Regulatory institutions may have a tool for standard pricing and risk management practices.The QuantLib license is a modified BSD license suitable for use in both free software and proprietary applications, imposing no constraints at all on the use of the library.A few companies have committed significant resources to the development of this library, notably StatPro, a leading international risk-management provider, where the QuantLib project was born. What's New in This Release: PORTABILITY: · Microsoft Visual C++ configurations have been renamed. The default Debug and Release configurations now link to the DLL version of the common runtime library. The names of other configuration should now be more descriptive. · Fixes for Solaris build. BONDS: · Added bond example (thanks to Florent Grenier.) · Added support for amortizing bonds (thanks to Simon Ibbotson.) CASH FLOWS · Added two more cashflow analysis functions (thanks to Toyin Akin.) DATE/TIME · Added bespoke calendar. INDEXES: · Added GBP/USD/CHF/JPY swap-rate indexes. · Fixed USD LIBOR calendar (settlement, not NYSE.) MARKET MODELS: · Added first displaced-diffusion stochastic-volatility evolver. PRICING ENGINES: · Monte Carlo average-price options now uses past fixings correctly. QUOTES: · added LastFixingQuote, a Quote adapter for the last available fixing of a given index. EXPERIMENTAL FOLDER: · The ql/experimental folder contains code which is still not fully integrated with the library or even fully tested, but is released in order to get user feedback. Experimental classes are considered unstable; their interfaces are likely to change in future releases. New contributions for this release were... · time-dependent binomial trees (thanks to John Maiden.) · a new multidimensional FDM framework based on operator splitting using Craig-Sneyd, Hundsdorfer or Douglas schemes (thanks to Andreas Gaida, Ralph Schreyer, and Klaus Spanderen.) · implementations of Black-variance curve and surface taking a set of quotes as input (thanks to Frank H?vermann.) · synthetic CDO engines (thanks to Roland Lichters.) · variance options, together with a Heston-process engine (thanks to Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli.) · a commodity framework, including instruments such as energy futures and energy swaps (thanks to J. Erik Radmall.) · quanto-barrier options (thanks to Paul Farrington.) · amortizing bonds (thanks to Simon Ibbotson.) · a perturbative engine for barrier options (thanks to Lorella Fatone, Maria Cristina Recchioni, and Francesco Zirilli.)

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