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Quantlib
Jul 20, 2023
C++ library for quantitative finance
The 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. An AAD-enabled version is also available. The reposit project facilitates deployment of object libraries to end user platforms and is used to generate QuantLibXL, an Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for other platforms such as LibreOffice 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.
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