QuantLib is an open-source software library which provides tools for software developers and practitioners interested in

financial instrument Financial instruments are monetary contracts between parties. They can be created, traded, modified and settled. They can be cash (currency), evidence of an ownership interest in an entity or a contractual right to receive or deliver in the form ...

valuation and related subjects. QuantLib is written in C++.

History

The QuantLib project was started by a few

quantitative analyst Quantitative may refer to: * Quantitative research, scientific investigation of quantitative properties * Quantitative analysis (disambiguation) * Meter (poetry), Quantitative verse, a metrical system in poetry * Statistics, also known as quantit ...

s who worked at RiskMap (currently StatPro Italia). The first e-mail announcing QuantLib to the world was sent on December 11, 2000, and signed by Ferdinando Ametrano, Luigi Ballabio and Marco Marchioro. RiskMap was founded by Dario Cintioli, Ferdinando Ametrano, Luigi Ballabio, Adolfo Benin, and Marco Marchioro. The people at RiskMap faced the problem, not for the first time in their life, to build a financial library from scratch. It was Ferdinando's idea to build an open source library that could be used by quants all over the world when starting to build a new quantitative library. Currently, the QuantLib project is headed by Luigi Ballabio and Ferdinando Ametrano.

Release History

Usage

QuantLib is available as C++ source code which is compiled into a library. It is known to work on

Windows Windows is a group of several proprietary graphical operating system families developed and marketed by Microsoft. Each family caters to a certain sector of the computing industry. For example, Windows NT for consumers, Windows Server for ...

Mac OS X macOS (; previously OS X and originally Mac OS X) is a Unix operating system developed and marketed by Apple Inc. since 2001. It is the primary operating system for Apple's Mac computers. Within the market of desktop and lapt ...

Linux Linux ( or ) is a family of open-source Unix-like operating systems based on the Linux kernel, an operating system kernel first released on September 17, 1991, by Linus Torvalds. Linux is typically packaged as a Linux distribution, which i ...

and other Unix-like operation systems. It can be linked with other languages via

SWIG The Simplified Wrapper and Interface Generator (SWIG) is an open-source software tool used to connect computer programs or libraries written in C or C++ with scripting languages such as Lua, Perl, PHP, Python, R, Ruby, Tcl, and other langu ...

. The Python binding can be installed via pip; the "RQuantLib" package makes parts of QuantLib accessible from R. Much of QuantLib's functionality can be used in Excel via the add-i
QuantlibXL

Licensing

QuantLib is released under a modified

BSD license BSD licenses are a family of permissive free software licenses, imposing minimal restrictions on the use and distribution of covered software. This is in contrast to copyleft licenses, which have share-alike requirements. The original BSD li ...

known as the XFree86-type license. It is GPL compatible.

Features

The software provides various facilities for computing values of financial instruments and related calculations. It is a major example of

Mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that requir ...

. Its main use is in

quantitative analysis Quantitative analysis may refer to: * Quantitative research, application of mathematics and statistics in economics and marketing * Quantitative analysis (chemistry), the determination of the absolute or relative abundance of one or more substanc ...

. The

s and

derivatives The derivative of a function is the rate of change of the function's output relative to its input value. Derivative may also refer to: In mathematics and economics *Brzozowski derivative in the theory of formal languages *Formal derivative, an ...

it can evaluate include * Options **

Asian option An Asian option (or ''average value'' option) is a special type of option contract. For Asian options the payoff is determined by the average underlying price over some pre-set period of time. This is different from the case of the usual European ...

s **

Basket option A basket option is a financial derivative, more specifically an exotic option, whose underlying is a weighted sum or average of different assets that have been grouped together in a basket. A basket option is similar to an index option, where a nu ...

s ** Cliquet options **

Compound option A compound option or split-fee option is an option on an option. The exercise payoff of a compound option involves the value of another option. A compound option then has two expiration dates and two strike prices. Usually, compounded options are u ...

s ** Digital options **

Lookback option Lookback options, in the terminology of finance, are a type of exotic option with path dependency, among many other kind of options. The payoff depends on the optimal (maximum or minimum) underlying asset's price occurring over the life of the opti ...

s ** Vanilla options * Bonds ** Amortizing bonds **

Convertible bond In finance, a convertible bond or convertible note or convertible debt (or a convertible debenture if it has a maturity of greater than 10 years) is a type of bond that the holder can convert into a specified number of shares of common stock ...

s ** Fixed rate bonds ** Floating rate bonds **

Zero-coupon bond A zero coupon bond (also discount bond or deep discount bond) is a bond in which the face value is repaid at the time of maturity. Unlike regular bonds, it does not make periodic interest payments or have so-called coupons, hence the term ze ...

s *

Yield curve In finance, the yield curve is a graph which depicts how the Yield to maturity, yields on debt instruments - such as bonds - vary as a function of their years remaining to Maturity (finance), maturity. Typically, the graph's horizontal or ...

*Date calculations **

Calendars A calendar is a system of organizing days. This is done by giving names to periods of time, typically days, weeks, months and years. A date is the designation of a single and specific day within such a system. A calendar is also a physi ...

** Date calculations ** Day counting methods * Swaps ** Asset swaps ** BMA swaps ** Year-on-year inflation swaps ** Vanilla swaps * Quantos *

Currencies A currency, "in circulation", from la, currens, -entis, literally meaning "running" or "traversing" is a standardization of money in any form, in use or circulation as a medium of exchange, for example banknotes and coins. A more general defi ...

It has models for *

s *

Interest rate An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, t ...

s * Volatility It can compute derivative prices using methods including: * Analytic formulae * Tree methods * Finite difference methods *

Monte Carlo methods Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be deter ...

References

{{Reflist

External links

QuantLib homepage

Is QuantLib over engineered?

Free computer libraries Mathematical finance Free software programmed in C++