DerivaQuant

The alpha release of DerivaQuant has been released. It is working as a proof-of-concept with basic modules built : a database for dividends, interest rates, dictionary of underlying names, a GUI pricing interface, and links to a modified version of Financial Recipes library. European and American options pricing with and without dividends (Black Scholes and Binomial trees) have been implemented. The marginal effort to link the finite differences and Monte Carlo pricings is very small.

This is an alpha release, i.e. a wrong input in the parameters will send the pricer to nowhere land, the installation is a bit of a hassle because you have to create the database (instructions are provided), and the portfolio module and graph module is not here yet. However, elementary bricks are here. We will launch at some point of time an audit of the pricing routines and tests against known results.

Remarks are all welcome !