Sunday, January 24, 2016

QuantLib in C++

QuantLib is an open-source C++ Library for quantitative analysis in Finance, and the QuantLib project was started by a few Quants in 2000. Now QuantLib project is Luigi Ballabio and ferninando Ametrano.

Secondly, QuantLib has been ported to other languages:

    R: RQuantLib
    Python: PyQL
    Java: JQuantLib
    Excel: QuantLibXL provides a very good API Doc, but you may still want to take a look at other sources for API documents. The following is a short list of links for QuantLib API Docs.

QuantLib SourceCodeBrowser
QuantLib Java API Docs
QuantLib API Docs generated by Doxygen(v0.3.4)
Implementing QuantLib
C++ Design Patterns and Derivatives Pricing 2e
QuantLib on YouTube

In addition, some commercial software products are also available: QRM, FinCAD, Numerix, SunGard-FastVal, Savvysoft, Quantifi, Pricing Partners Cie, Bloomberg, Intex.

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