|Developer(s)||Richard Gomes and the community|
|Stable release||0.2.4 / 23 January 2011|
JQuantLib is an open-source software library for developing financial instrument valuation and related subjects. JQuantLib is written in Java. Its source code is derived from QuantLib, which is written in C++.
Other early implementations
This is a list of previous attempts intended to port QuantLib to Java or at least provide means of calling QuantLib from Java programs:
- In August 2004 a project called java-quantlib attempted to create a port from QuantLib. The project is abandoned: it has only 11 classes with only a couple of edits.
- In September 2004 a project called QuanLib4J was started, but no files were committed to their repository.
- Also in September 2004, a project called sKWash was started. The project was active until June 2005 and produced Java Native Interface wrappers to QuantLib using a tool called SWIG. The project released files in May 2005. It's not clear if the resulting work from this project was absorbed by QuantLib and became the SWIG wrappers QuantLib has.[clarification needed]
0.1.0-RC1, 2008-06-23 is the first release. It implements the core necessary to support generic financial instruments and generic pricing engines. It also implements European Options valuation using the Black–Scholes model.
- Date, Calendar and IMM support;
- Trading calendars for the most important markets;
- Support for generic financial instruments;
- Support for generic pricing engines;
- Support for generic term structures;
- Support for generic 1D and 2D interpolations;
- European Options
- Black–Scholes model
- Platform independent