lballabio/quantlib

★ 7,133C++Audience · researcherComplexity · 5/5LicenseSetup · hard

Mindmap

mindmap
  root((repo))
    What it does
      Quantitative finance
      Price derivatives
      Risk calculations
    Coverage
      Interest rate models
      Options pricing
      Bond valuation
    Tech Stack
      C++
    Use Cases
      Price rate swaps
      Value options portfolios
      Build risk models
      Validate quant models

mindmap root((repo)) What it does Quantitative finance Price derivatives Risk calculations Coverage Interest rate models Options pricing Bond valuation Tech Stack C++ Use Cases Price rate swaps Value options portfolios Build risk models Validate quant models

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Things people build with this

USE CASE 1

Price an interest rate swap or bond by integrating QuantLib into your own C++ trading system

USE CASE 2

Run value-at-risk calculations on a derivatives portfolio using built-in financial models

USE CASE 3

Build a custom options pricing engine using QuantLib's mathematical machinery

USE CASE 4

Validate in-house quant models against a well-cited open-source reference implementation

Tech stack

C++

Getting it running

Difficulty · hard Time to first run · 1day+

Must be compiled from C++ source, build instructions and installation guides are on the external project website, not in the repository.

Use freely in any project, open-source or commercial, without requiring you to publish your changes.

In plain English

QuantLib is an open-source software library written in C++ for quantitative finance. It provides a large collection of mathematical tools and models used in financial institutions for pricing financial instruments, managing trading risk, and building models around interest rates, derivatives, and other market products. The project has been active for many years and is one of the most widely cited open-source tools in the financial engineering field. The library is not a user-facing application or a graphical tool. It is a C++ codebase that developers and quantitative analysts integrate into their own software. If you are building a system that needs to price an interest rate swap, value an options portfolio, or run risk calculations on a bond, QuantLib provides the underlying mathematical machinery you call from your own code. The README itself is brief and mostly points to external resources: the project website for downloads and installation guides, a documentation site covering the design of the library, a changelog for past versions, and a mailing list for user questions. More detail on how to build and use the library lives in those external locations rather than in the repository README. QuantLib is licensed under a BSD-style license, meaning you can use it freely in both open-source and commercial software without the requirement to publish your changes. The project welcomes contributions and uses GitHub for issue tracking and pull requests.

Copy-paste prompts

Prompt 1

Using QuantLib in C++, show me how to price a simple European call option using the Black-Scholes model.

Prompt 2

I want to value an interest rate swap using QuantLib. Walk me through setting up a yield curve and pricing the swap.

Prompt 3

How do I calculate the duration and convexity of a fixed-rate bond using QuantLib in C++?

Prompt 4

I am integrating QuantLib into my trading system. What are the main classes I need to understand for pricing equity options?

Prompt 5

Where do I find the QuantLib build instructions, documentation, and mailing list for asking questions about the library?

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