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

QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, 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:

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.

The QuantLib license 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, a leading international risk-management provider, where the QuantLib project was born.