Introducing QuantLib

Maybe you’re a financial engineer, or a quantitative developer, or even a technically literate trader and you need to write code that does some financial calculations.  Where do you start? Maybe a spreadsheet is your first inclination. However, what if you need to build a ‘real’ application that runs on a server, processes market data and executes trades? A spreadsheet is just not going to cut it.  Java and C++ are the most popular programming languages for this kind of application.  The choice of  language often comes down to the building blocks, the libraries, that are available in a given language to solve the kind of problems you’re facing now and are likely to face in the future.  A financial library, in particular, should have data types for fundamental financial concepts, such as interest rates, discount factors, holiday calendars  and volatility. It should offer classes to model cash flows, do date/time calculations, and price a variety of instruments.  Mathematical tools for optimization, calibration and interpolation would also be great. And, of course, who wants to pay a software license! So the library should be open-source, with a large, active user base and good documentation.  Seems like a tall order? Well, let me introduce you to QuantLib, an established, open-source C++ framework for quantitative finance that delivers on all these features and more by way of the following modules:

I think you’ll agree that the breadth and scope of functionality offered by QuantLib is truly impressive.  However, with so many modules covering so much ground, where does one start? For the answer to that question, you’ll have to check out my next post.
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About Mick Hittesdorf

Financial Systems Architect, Analyst and Developer
This entry was posted in QuantLib and tagged , , , , , , . Bookmark the permalink.

2 Responses to Introducing QuantLib

  1. yazidarezki says:

    Is there a link which explains how to install the quantlib using VS 2012.

    TIA
    Yaz

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