***** MOVED TO GITHUB: http://github.com/frgomes/jquantlib *****

JQuantLib provides a free, open-source and comprehensive framework for quantitative finance. It's a 100% Java translation of QuantLib, which is written in C++. JQuantLib provides pricing valuation of a wide range of asset classes, methods and models.

Features

  • Support to a wide range of financial instruments, including but not limited to European Options, American Options, Bermudan Options, Asian Options, Bonds, Swaps, FRA, Repo, Cap/Floors, etc
  • Several pricing engines: Black-Scholes, Barone-Adesi-Whaley, Bjerksund-Stensland, Ju Quadratic, Integral, Binomial Cox-Ross-Rubinstein, Binomial Jarrow-Rudd, Additive EquiProbabilities, Binomial Trigeorgis, Binomial Tian, Binomial Leisen-Reimer, Binomial Joshi, Finite Differences
  • Implemented as Java Library with minimum external dependencies
  • Coded with performance in mind. GC imposes minimalist performance penalty.

Project Activity

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Categories

Investment Management

License

BSD License

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JQuantLib Web Site

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Additional Project Details

Intended Audience

Information Technology, Financial and Insurance Industry, Science/Research, Developers

Programming Language

Java

Related Categories

Java Investment Management Software

Registered

2007-09-18
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