Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, Value at Risk (VaR), and so on.
Finance is an area where well-written open-source projects can make a tremendous difference:
- Any financial institution needs a solid, time-effective, operative implementation of cutting edge pricing models and hedging tools. However, to get there, one is currently forced to re-invent the wheel every time. Even standard decade-old models, such as Black-Scholes, still lack a public robust implementation. As a consequence many good quants are wasting their time writing C++ classes which have been already written thousands of times.
- By designing and building these tools in the open, QuantLib will both encourage peer review of the tools themselves, and demonstrate how this ought to be done for scientific and commercial software. Dan Gezelter’s talk at the first Open Source/Open Science conference discussed how the scientific tradition of peer review fits well with the philosophy of the Open Source movement. Open standards are the only fair way for science and technology to evolve.
A few companies have committed significant resources to the development of this library, including StatPro, where the QuantLib project was born.
Using Quantlib at StatPro
We not only provide standard measures of risk and volatility, but we have also pioneered many enhancements that will help managers isolate critical drivers of risk. We employ advanced models yet present the results in a highly transparent and intuitive interface that can easily be digested by both sophisticated practitioners and concerned investors.
Based on advanced Quantlib models, StatPro uses full re-pricing methodology. StatPro has one of the industry’s widest asset coverage (with over 300 pricing functions), which makes it the perfect solution for many different types of asset managers.
See the other partners we’re working with.