Search Results for "quantlib"

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

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.

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.

QLDDS is an open source project that simplifies the use of QuantLib in the distributed environment via OpenDDS. Using QLDDS, the functionality of the QuantLibAddin for C++ interface may be distributed across multiple computers running different operating systems, in real-time. This distribution is accomplished by publishing and subscribing to DDS data type messages that trigger corresponding QuantLibAddin for C++ calls with the received data.

...Altera OpenCL (on going, just for academic research) OpenCL/Perl/Bat/C++/DDR2/Ethernet/UcOS/Nios II/ Make modification of the Alter OpenCL SDK except the OpecCL C to HDL synthesis to use Ethernet to communicate between Host and Kernel. Rewrite the perl command lines to meet special aims. Monte Carlo Black Schole simulation and QuantLib based on OpenCL standard.

A quantitative finance .NET library wrapping QuantLib (http://quantlib.org/). A free/open-source tool for derivatives and financial engineering.

***** 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.

The aim of QuantHas is to produce a port of the QuantLib C++ project for quantitative finance in the Haskell functional programming language. please visit our project home page for more details.

Quantifa is an F# open-source library for quantitative finance and risk management. Quantifa can be viewed as a functional programming version of QuantLib and QLNet. Currently, the Quantifa Team is looking for developers.

QuantLibXL - an Excel addin for the QuantLib analytics library

QuantLibAddin implements a high level interface to the QuantLib analytics library for deployment on various platforms including Microsoft Excel and OpenOffice.org Calc.

This project hosts material for QuantLib (http://quantlib.org) based Quantitative Finance courses

Approximate C# port of quantlib. Most unit tests pass.