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QuantLib is the reference free/open-source library for quantitative finance. Intended for academics and practitioners alike and eventually promoting a stronger interaction between them, it offers tools that are useful both for practical implementation and for advanced modelling. It includes features such as market convention, yield-curve bootstrapping, interest rate models, solvers, PDEs, Monte Carlo, exotic options, VaR, etc.
Today QuantLib is actively supported by StatPro. Luigi Ballabio, Senior Risk Architect at StatPro, administers the project together with Ferdinando Ametrano, Head of Quants at Monte Paschi Asset Management.
StatPro uses QuantLib as the building block for its proprietary financial pricing libraries, QuantLib2. QuantLib2 is a sophisticated set of object-oriented financial pricing libraries.