Features
From JQuantLib
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Contents |
What JQuantLib is about?
- It's a library of software, developed in Java, which interests to software developers focusing on financial applications;
- Performs valuation of a wide variety of financial instruments;
- Employs both analytical, stochastic and simulation algorithms;
- Offers functions for VaR (value at risk) valuation;
Released Features
- Date, Calendar and IMM support;
- Trading calendars for most important markets, covering 2004 to 2012
- Support for generic financial instruments;
- Support for generic pricing engines;
- Support for generic term structures;
- Support for generic 1D and 2D interpolations;
- European Options with Black-Scholes implemented;
- Financial Intruments
- European Options
- American Options
- Asian Options
- Pricing Engines
- Black & Scholes
- Barone Adesi Whaley for american exercise
- Bjerksund Stensland for american exercise
- IntegralEngine for european exercise
- Methods
- Lattices: CoxRossRubinstein, Trigeorgis, Additive EQP, JarrodRudd, Joshi4, LeisenReimer, Tian
- Finite Differences: Shout, Bermudan and American exercises; Tridiagonal operators
Improvements done
- Experimental code striped out
- Build process can use both Ant or Maven
- Issue management system installed and actively used.
Work in progress
- OSGi modules
- Date and Calendars rework to become Joda Time compatible
- More lattices
- More financial instruments
- More samples
- Yield curves;
- Code review and better documentation
- JSR-208 syntax for strong type checking
Status of 24-MAY-2009
- Version 0.1.2 released;
- Based on QuantLib 0.8.1
- Approx 43% translated;
Status of 21-SEP-2009
- Actively being developed: version 0.1.3 converging to a release;
- Based on QuantLib 0.9.7
More information
Richard Gomes 14:38, 21 September 2009 (UTC)
