QuantLib, a free/open-source library for quantitative finance (original) (raw)

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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#, Java, Python, and R. A separate project provides QuantLibXL, an Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for other platforms such as LibreOffice Calc. See the extensions page for details on bindings, ports to other languages, and AAD-enabled versions.

Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike. QuantLib offers tools that are useful both for practical implementation and for advanced modeling.

The library can be used across different research and regulatory institutions, banks, software companies, and so on.

• Students can master a library that is actually used in the real world and contribute to it in a meaningful way. This can potentially place them in a privileged position on the job market.
• Researchers can have a framework at hand which vastly reduces the amount of low-level work necessary to build models, so to be able to focus on more complex and interesting problems.
• Financial firms can use QuantLib as base code and/or benchmark, while being able to engage in creating more innovative solutions that would make them more competitive on the market.
• Regulatory institutions can have a tool for standard pricing and risk management practices.

The QuantLib license is a modified BSD license suitable for use in both free software and proprietary applications, imposing no constraints at all on the use of the library.

A few companies have committed significant resources to the development of this library; notably Confluence (formerly StatPro), a leading international risk-management provider, where the QuantLib project was born. CheckSig, a crypto custodian and service provider, is sponsoring the hosting of this site.