QuantLib logo (Fontin Bold font)
|Stable release||1.4 / February 27, 2014|
|License||modified BSD license|
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.
|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|
|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|
It can be linked with other languages via SWIG.
QuantLib is released under a modified BSD license known as the XFree86-type license. It is GPL compatible.
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.
- Yield curve
- Date calculations
- Asset swaps
- BMA swaps
- Year-on-year inflation swaps
- Vanilla swaps
It has models for
It can compute derivative prices using methods including:
- Mathematical finance
- List of finance topics#Financial markets
- A Java reimplementation of QuantLib
- QLNet a C# reimplementation of QuantLib