Search Results for "quantlib"

A quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life. A cross-platform free/open-source tool for derivatives and financial engineering.

A real-time financial derivatives calculator supporting 171+ models from QuantLib, Financial Numerical Recipes in C++ and MetaOptions. Matrices of prices are created with iterating strikes and/or months. A strike control system can produce any strike. A generalized date engine can calculate re-occuring distances to any industry used expiration into the future. Spread engine with spread views. Models Supported: Black-Scholes, Merton-73, Black-76, Roll Geske Whaley, Garman KohlHagen, Jump Diffusion, Quanto, Vasicek Bond Option, Turnbull Wakeman Asian, TimeSwitchOption, Look Barrier, Bachelier, PartialTimeBarrier, GapOption, Extreme Spread Option, Simple Chooser, ComplexChooser, PartialFixedLB, Executive, CashOrNothing, Extendible Writer, OptionsOnOptions, BAWAmericanApprox, BSAmericanApprox, AssetOrNothing, Bisection, BAWbisection, BSbisection, Gfrench, Gcarry, Swapoption, Complex Chooser, Super Share, EquityLinkedFXO, Spread Approximation, BinaryBarrier and more

Elevations moves data from Excel to Unix systems. It connects VBA with Cygwin SSH, CGI and HTTP POST to deliver to a QuantLib C++ server through pipes. Provides C++ classes to process CSV files and the strings to C++ types. File schema definitions.

A simple payoff scripting language for structured products for IRD, Forex Equity.... The project was first integrated to QuantLib, with a targeted CUDA link. So I plugged it at the Kooderive pricer of Mark JOSHI via a generated CUDA code directly compiled and loaded into the GPU at runtime. Next steps: - Add "loop" script keyword - Add pricer for Forex and equity - Use PTX for better loading time - CUDA 7 with improve Runtime Compilation

Java ported quantlib (www.quantlib.org) with possible enhancements. Initially, the project would use the ideas from quantlib, but eventually it may diverse from it.

Portfolio Management System built with only open source tools. It's not clear yet what it will involve into but for now you can price and manage equity, bond and swap securities with a rigorous QuantLib pricing library. The system has a browser front-end and a MySQL back-end and is hosted at www.capitalmarkettools.org.

*** MOVED TO GITHUB : https://github.com/amaggiulli/qlnet *** QLNet is a financial library written in c# for the Windows enviroment derived primarily from its C++ counterpart, Quantlib, which has been used as a base reference for modelling of various financial instruments.