Price an interest rate swap or bond by integrating QuantLib into your own C++ trading system
Run value-at-risk calculations on a derivatives portfolio using built-in financial models
Build a custom options pricing engine using QuantLib's mathematical machinery
Validate in-house quant models against a well-cited open-source reference implementation
| lballabio/quantlib | wxwidgets/wxwidgets | alex313031/thorium | |
|---|---|---|---|
| Stars | 7,133 | 7,130 | 7,129 |
| Language | C++ | C++ | C++ |
| Setup difficulty | hard | hard | easy |
| Complexity | 5/5 | 4/5 | 2/5 |
| Audience | researcher | developer | general |
Figures from each repo's GitHub metadata at analysis time.
Must be compiled from C++ source, build instructions and installation guides are on the external project website, not in the repository.
QuantLib is an open-source software library written in C++ for quantitative finance. It provides a large collection of mathematical tools and models used in financial institutions for pricing financial instruments, managing trading risk, and building models around interest rates, derivatives, and other market products. The project has been active for many years and is one of the most widely cited open-source tools in the financial engineering field. The library is not a user-facing application or a graphical tool. It is a C++ codebase that developers and quantitative analysts integrate into their own software. If you are building a system that needs to price an interest rate swap, value an options portfolio, or run risk calculations on a bond, QuantLib provides the underlying mathematical machinery you call from your own code. The README itself is brief and mostly points to external resources: the project website for downloads and installation guides, a documentation site covering the design of the library, a changelog for past versions, and a mailing list for user questions. More detail on how to build and use the library lives in those external locations rather than in the repository README. QuantLib is licensed under a BSD-style license, meaning you can use it freely in both open-source and commercial software without the requirement to publish your changes. The project welcomes contributions and uses GitHub for issue tracking and pull requests.
QuantLib is a C++ library for quantitative finance that provides mathematical models for pricing derivatives, managing trading risk, and building interest rate and options models, used by developers and analysts inside financial institutions.
Mainly C++. The stack also includes C++.
Use freely in any project, open-source or commercial, without requiring you to publish your changes.
Setup difficulty is rated hard, with roughly 1day+ to a first successful run.
Mainly researcher.
This repo across BitVibe Labs
double-check against the repo, no cap.