QuantLib

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QuantLib
QL-title.jpg
QuantLib logo (Fontin Bold font)
Developer(s) QuantLib Team
Stable release 1.4 / February 27, 2014; 4 months ago (2014-02-27)
Written in C++
Type Numerical library
License modified BSD license
Website http://www.quantlib.org/

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++.

History[edit]

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, previously Head of Interest Rate Derivatives & Quants, Ferdinando (Nando) 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 Nando'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. However, it was Dario's courage and vision that firstly financed QuantLib's development and made it into a reality. Currently, the QuantLib project is headed by Luigi Ballabio and Ferdinando (Nando) Ametrano.

Release History[edit]

Version Release date Notes
0.1.1 November 21, 2000
0.2.0 September 18, 2001
0.3.4 November 21, 2003.
0.3.7 July 23, 2004. From this release onwards QuantLib requires Boost.
0.4.0 February 20, 2007.
0.8.0 May 30, 2007. The jump in version history was to converge to 1.0 faster
0.9.0 December 24, 2007
0.9.9 November 2009
1.0.0 February 24, 2010
1.0.1 April 20, 2010
1.1 May 23, 2011
1.2 March 6, 2012
1.2.1 September 10, 2012
1.3 July 24, 2013
1.3 February 27, 2014

Usage[edit]

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[edit]

QuantLib is released under a modified BSD license known as the XFree86-type license. It is GPL compatible.

Features[edit]

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:

See also[edit]

External links[edit]