QuantLib

Last updated
QuantLib
Developer(s) QuantLib Team
Stable release
1.34 [1]   OOjs UI icon edit-ltr-progressive.svg / 24 April 2024;52 days ago (24 April 2024)
Repository
Written in C++
Type Numerical library
License modified BSD license
Website https://www.quantlib.org/

QuantLib is an open-source software library which provides tools for software developers and practitioners interested in financial instrument valuation and related subjects. QuantLib is written in C++.

Contents

History

The QuantLib project was started by a few quantitative analysts who worked at RiskMap (currently StatPro Italia). The first e-mail announcing QuantLib to the world was sent on December 11, 2000, and signed by Ferdinando Ametrano, Luigi Ballabio and Marco Marchioro. RiskMap was founded by Dario Cintioli, Ferdinando Ametrano, Luigi Ballabio, Adolfo Benin, and Marco Marchioro. The people at RiskMap faced the problem, not for the first time in their lives, to build a financial library from scratch. It was Ferdinando's idea to build an open source library that could be used by quants all over the world when starting to build a new quantitative library. Currently, the QuantLib project is headed by Luigi Ballabio and Ferdinando Ametrano.

Release History

VersionRelease dateNotes
0.1.1November 21, 2000
0.2.0September 18, 2001
0.3.4November 21, 2003
0.3.7July 23, 2004From this release onwards QuantLib requires Boost.
0.4.0February 20, 2007
0.8.0May 30, 2007The jump in version history was to converge to 1.0 faster
0.9.0December 24, 2007
0.9.9November 2009
1.0.0February 24, 2010
1.0.1April 20, 2010
1.1May 23, 2011
1.2March 6, 2012
1.2.1September 10, 2012
1.3July 24, 2013
1.4February 27, 2014
1.6June 23, 2015
1.7November 23, 2015
1.8May 18, 2016
1.9November 8, 2016
1.10May 16, 2017
1.10.1August 31, 2017
1.11October 2, 2017
1.12February 1, 2018
1.12.1April 16, 2018
1.13May 24, 2018

Usage

QuantLib is available as C++ source code which is compiled into a library. It is known to work on Windows, Mac OS X, Linux and other Unix-like operation systems.

It can be linked with other languages via SWIG. The Python binding [2] can be installed via pip; the "RQuantLib" package makes parts of QuantLib accessible from R.

Much of QuantLib's functionality can be used in Excel via the add-in QuantlibXL.

Licensing

QuantLib is released under a modified BSD license known as the XFree86-type license. It is GPL compatible.

Features

The software provides various facilities for computing values of financial instruments and related calculations. It is a major example of Mathematical finance. Its main use is in quantitative analysis.

The financial instruments and derivatives it can evaluate include

It has models for

It can compute derivative prices using methods including:

See also

Related Research Articles

In finance, a derivative is a contract that derives its value from the performance of an underlying entity. This underlying entity can be an asset, index, or interest rate, and is often simply called the underlying. Derivatives can be used for a number of purposes, including insuring against price movements (hedging), increasing exposure to price movements for speculation, or getting access to otherwise hard-to-trade assets or markets.

Finance refers to monetary resources and to the study and discipline of money, currency and capital assets. As a subject of study, it is related to but distinct from economics, which is the study of the production, distribution, and consumption of goods and services. Based on the scope of financial activities in financial systems, the discipline can be divided into personal, corporate, and public finance.

In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular it is a "linear" IRD and one of the most liquid, benchmark products. It has associations with forward rate agreements (FRAs), and with zero coupon swaps (ZCSs).

In finance, the style or family of an option is the class into which the option falls, usually defined by the dates on which the option may be exercised. The vast majority of options are either European or American (style) options. These options—as well as others where the payoff is calculated similarly—are referred to as "vanilla options". Options where the payoff is calculated differently are categorized as "exotic options". Exotic options can pose challenging problems in valuation and hedging.

A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. Although options can be traded on a variety of swaps, the term "swaption" typically refers to options on interest rate swaps.

In finance, an exotic option is an option which has features making it more complex than commonly traded vanilla options. Like the more general exotic derivatives they may have several triggers relating to determination of payoff. An exotic option may also include a non-standard underlying instrument, developed for a particular client or for a particular market. Exotic options are more complex than options that trade on an exchange, and are generally traded over the counter.

In finance, a swap is an agreement between two counterparties to exchange financial instruments, cashflows, or payments for a certain time. The instruments can be almost anything but most swaps involve cash based on a notional principal amount.

In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of different interest rate indices that can be used in this definition.

Financial risk management is the practice of protecting economic value in a firm by managing exposure to financial risk - principally operational risk, credit risk and market risk, with more specific variants as listed aside. As for risk management more generally, financial risk management requires identifying the sources of risk, measuring these, and crafting plans to mitigate them. See Finance § Risk management for an overview.

A structured product, also known as a market-linked investment, is a pre-packaged structured finance investment strategy based on a single security, a basket of securities, options, indices, commodities, debt issuance or foreign currencies, and to a lesser extent, derivatives. Structured products are not homogeneous — there are numerous varieties of derivatives and underlying assets — but they can be classified under the aside categories. Typically, a desk will employ a specialized "structurer" to design and manage its structured-product offering.

In finance, a currency swap is an interest rate derivative (IRD). In particular it is a linear IRD, and one of the most liquid benchmark products spanning multiple currencies simultaneously. It has pricing associations with interest rate swaps (IRSs), foreign exchange (FX) rates, and FX swaps (FXSs).

Financial modeling is the task of building an abstract representation of a real world financial situation. This is a mathematical model designed to represent the performance of a financial asset or portfolio of a business, project, or any other investment.

In finance, a price (premium) is paid or received for purchasing or selling options. This article discusses the calculation of this premium in general. For further detail, see: Mathematical finance § Derivatives pricing: the Q world for discussion of the mathematics; Financial engineering for the implementation; as well as Financial modeling § Quantitative finance generally.

<span class="mw-page-title-main">Lattice model (finance)</span> Method for evaluating stock options that divides time into discrete intervals

In finance, a lattice model is a technique applied to the valuation of derivatives, where a discrete time model is required. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at "all" times before and including maturity. A continuous model, on the other hand, such as Black–Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par. The method is also used for valuing certain exotic options, where because of path dependence in the payoff, Monte Carlo methods for option pricing fail to account for optimal decisions to terminate the derivative by early exercise, though methods now exist for solving this problem.

The following outline is provided as an overview of and topical guide to finance:

In finance, inflation derivative refers to an over-the-counter and exchange-traded derivative that is used to transfer inflation risk from one counterparty to another. See Exotic derivatives.

Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations. The occupation is similar to those in industrial mathematics in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns.

Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field.

Riccardo Rebonato is Professor of Finance at EDHEC Business School and EDHEC-Risk Institute, Scientific Director of the EDHEC Risk Climate Impact Institute (ERCII), and author of journal articles and books on Mathematical Finance, covering derivatives pricing, risk management, asset allocation and climate change. In 2022 he was granted the PRM Quant of the Year award for 'outstanding contributions to the field of quantitative portfolio theory'. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.

In finance, a zero coupon swap (ZCS) is an interest rate derivative (IRD). In particular it is a linear IRD, that in its specification is very similar to the much more widely traded interest rate swap (IRS).

References

  1. "Release 1.34". 24 April 2024. Retrieved 25 April 2024.
  2. "QuantLib: Python bindings for the QuantLib library".