QuantLib
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QuantLib is a free/open-source cross-platform software library for quantitative finance, issued under the BSD License. It implements a wide range number of financial functions, including:
- Business/Trading Calendars for many countries
- General mathematical functions, such as interpolators, random number and pseudo-random number generators, solvers and distribution functions
- Option pricing calculation engines, including finite differences, binomial and trinomial trees, Monte-Carlo, Black-Scholes and many other analytic and numeric options formulae.
The library is written in ANSI C++ but uses SWIG to include support for multiple languages including:
Major contributors include StatPro Italia and Banca Caboto. Since it's inception, QuantLib has been downloaded more than 74,000 times according to it's statistics at Sourceforge.
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