QuantLib is an open-source software library which provides tools for software developers and practitioners interested in financial instrument valuation and related subjects. QuantLib is written in C++.
History The QuantLib project was started by a few quantitative analysts 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 lives, 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 VersionRelease dateNotes 0.1.1November 21, 20000.2.0 September 18, 20010.3.4 November 21, 20030.3.7July 23, 2004From this release onwards QuantLib requires Boost.0.4.0February 20, 20070.8.0May 30, 2007The jump in version history was to converge to 1.0 faster0.9.0December 24, 20070.9.9November 20091.0.0February 24, 20101.0.1April 20, 20101.1May 23, 20111.2March 6, 20121.2.1September 10, 20121.3July 24, 20131.4February 27, 20141.6June 23, 20151.7November 23, 20151.8May 18, 20161.9November 8, 20161.10May 16, 20171.10.1August 31, 20171.11October 2, 20171.12February 1, 20181.12.1April 16, 20181.13May 24, 2018
Usage QuantLib is available as C++ source code which is compiled into a library. It is known to work on Windows, Mac OS X, Linux and other Unix-like operation systems.
It can be linked with other languages via SWIG. 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-in QuantlibXL.
Licensing QuantLib is released under a modified BSD license 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. Its main use is in quantitative analysis.
The financial instruments and derivatives it can evaluate include Options Asian options Basket options Cliquet options Compound options Digital options Lookback options Vanilla options Bonds Amortizing bonds Convertible bonds Fixed rate bonds Floating rate bonds Zero-coupon bonds Yield curve Date calculations Calendars Date calculations Day counting methods Swaps Asset swaps BMA swaps Year-on-year inflation swaps Vanilla swaps Quantos Currencies
It has models for Yield curves Interest rates Volatility
It can compute derivative prices using methods including: Analytic formulae Tree methods Finite difference methods Monte Carlo methods
See also Mathematical finance List of finance topics#Financial markets
References
External links QuantLib homepage Is QuantLib over engineered? QuantLib in C++ Reference