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原文地址: http://www.whool.net/archives/11922

The Quantlib project is aimed at providing a comprehensive
software framework for quantitative finance. QuantLib is a freeopen-source
library for modeling, trading, and risk management in
real-life.

To help create a community around Quantlib, we have created a
page
QuantlibUniversity.

QuantLib is written in C++ with a clean object model, and is
then exported to different languages such as Python, Ruby, and
Scheme. An initial Excel add-in is also available. There are ports
to the .NET framework in C# (http://www.quantlib.net"
and http://www.capetools.net/).
Bindings to other languages (including Java), and porting to ddd,
Matlab/Octave, S-PLUS/R,
Mathematica,
COM/CORBA/SOAP architectures,
FpML, are under consideration. See the
extensions page for details.

Appreciated by quantitative analysts and developers, it is
intended for academics and practitioners alike, eventually
promoting a stronger interaction between them. QuantLib offers
tools that are useful both for practical implementation and for
advanced modeling, with features such as market conventions, yield
curve models, solvers, PDEs, Monte Carlo (low-discrepancy
included), exotic options, VAR, and so on.

Finance is an area where well-written open-source projects
could make a tremendous difference:

any financial institution needs a solid, time-effective,
operative implementation of cutting edge pricing models and hedging
tools. However, to get there, one is currently forced to re-invent
the wheel every time. Even standard decade-old models, such as
Black-Scholes, still lack a public robust implementation. As a
consequences many good quants are wasting their time writing C++
classes which have been already written thousands of times.
By designing and building these tools in the open, QuantLib will
both encourage peer review of the tools themselves, and demonstrate
how this ought to be done for scientific and commercial software.
Dan Gezelter’s talk<
at the first Open Source/Open Science conference discussed how the
scientific tradition of peer review fits well with the philosophy
of the Open Source movement. Open standards are the only fair way
for science and technology to evolve.
The library could be exploited across different research and
regulatory institutions, banks, software companies, and so on.
Being a free/open-source project, quants contributing to the
library would not need to start from scratch every time.
Students could master a library that is actually used in the real
world and contribute to it in a meaningful way. This would
potentially place them in a privileged position on the job
market.
Researchers would have a framework at hand, which vastly reduces
the amount of low-level work necessary to build models, so to be
able to focus on more complex and interesting problems.
Financial firms could exploit QuantLib as base code and/or
benchmark, while being able to engage in creating more innovative
solutions that would make them more competitive on the
market.
Regulatory institutions may have a tool for standard pricing and
risk management practices.

The
QuantLiblicense
is a modified BSD license suitable for use in both free software
and proprietary applications, imposing no constraints at all on the
use of the library.

A few companies have committed significant resources to the
development of this library, notably StatPro Italia, a
leading risk-management consulting firm in Italy, where the

QuantLib project was born and the Globewide Network
Academy, a non-profit organization whose goal is to promote
open source and distance education and scholarship.

Help deciding the development road-map and start contributing
to the library: the
project-overview page gives a summary of the work in progress.
Documentation
is also available.

Feedback and questions concerning this site and project can be
directed to the
QuantLib-users mailing list.