Wednesday, October 7, 2009

Is QuantLib over engeniering?

QuantLib is a cross-platform, quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life.QuantLib offers tools that are useful both for practical implementation and for advanced modeling. It features market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.