Developer(s) QuantLib Team Type Numerical library | Written in C++ License modified BSD license | |
Stable release 1.8 / May 18, 2016; 9 months ago (2016-05-18) Website |
QuantLib is an open-source software library which provides tools for software developers interested in financial instrument valuation and related subjects. QuantLib is written in C++.
Contents
History
The QuantLib project was started by a few quantitative analysts who worked at RiskMap (currently StatPro Italia). The first e-mail announcing QuantLib to the world was sent on December 11, 2000, and signed by Ferdinando Ametrano, Luigi Ballabio and Marco Marchioro. RiskMap was founded by Dario Cintioli, Ferdinando Ametrano, Luigi Ballabio, Adolfo Benin, and Marco Marchioro. The people at RiskMap faced the problem, not for the first time in their life, to build a financial library from scratch. It was Ferdinando's idea to build an open source library that could be used by quants all over the world when starting to build a new quantitative library. Currently, the QuantLib project is headed by Luigi Ballabio and Ferdinando Ametrano.
Usage
QuantLib is available as C++ source code which is compiled into a library. It is known to work on Windows, Mac OS X, Linux and other Unix-like operation systems.
It can be linked with other languages via SWIG.
It can also be accessed in Microsoft Excel via QuantLibXL.
Licensing
QuantLib is released under a modified BSD license known as the XFree86-type license. It is GPL compatible.
Features
The software provides various facilities for computing values of financial instruments and related calculations. It is a major example of Mathematical finance. Its main use is in quantitative analysis.
The financial instruments and derivatives it can evaluate include
It has models for
It can compute derivative prices using methods including: