A comprehensive software framework for quantitative finance
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The QuantLib project is aimed to provide a comprehensive software framework
for quantitative finance. The goal is to provide a standard free/open source
library to quantitative analysts and developers for modeling, trading, and
risk management in real-life.
QuantLib plans to offer tools that are useful for both practical
implementation, with features such as market conventions, solvers, PDEs,
etc., and advanced modeling, e.g., exotic options and interest rate models.
QuantLib is meant to be used by academics and practitioners alike, eventually
promoting a stronger interaction between the two.
Finance is one area where well-written open-source projects could make a
tremendous difference. Almost every financial institution needs a solid,
time-effective, operative implementation of leading-edge pricing models and
hedging tools. However, to get there, currently one is forced to re-invent
the wheel every time. Even decade-old models with no market value, such as
Black-Scholes formula (1973), still lack a standard implementation. As a
consequences many good quants are wasting their time writing C++ classes
which have been already written thousands of times.