QuantLib

  • Version

    1.1
  • Date Added
    (to site)

    October 31st, 2011
  • Author

    QuantLib Team
  • License

    BSD License (?)
  • Description

    QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme.

    Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.

  • Platforms Supported

    WindowsMacLinux
  • Website

QuantLib

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  • Overall

    3.67

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