Projects / QuantLib

QuantLib

QuantLib is a cross-platform, quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life. It is also wrapped as Python/Ruby/Scheme modules. Extensions for Excel, R, and Mathematica are available. Other such extensions are under consideration. QuantLib offers tools that are useful both for practical implementation and for advanced modeling. It features market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.

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Recent releases

  •  05 Jun 2007 21:58

    Release Notes: This release adds support for Boost 1.34 on Linux systems.

    •  30 Dec 2004 16:51

      Release Notes: This release is in sync with QuantLib 0.3.8.

      •  30 Dec 2004 16:50

        Release Notes: This release is in sync with QuantLib 0.3.7.

        •  30 Dec 2004 16:48

          Release Notes: This release is in sync with QuantLib 0.3.6.

          •  30 Dec 2004 16:47

            Release Notes: This release is in sync with QuantLib 0.3.8.

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