quantlib ☆
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Description:
Library for quantitative finance
Type: Formula  |  Tracked Since: Dec 28, 2025
Links: Homepage  |  formulae.brew.sh
Category: Developer tools
Tags: finance quantitative-finance c++ library derivatives-pricing
Install: brew install quantlib
About:
QuantLib is a free/open-source library for modeling, trading, and risk management in real-life quantitative finance. It provides a comprehensive set of tools for pricing derivatives, analyzing portfolios, and managing financial risks. The library is widely used by institutions, quants, and academics for its robust and well-tested models.
Key Features:
  • Comprehensive pricing models for options, swaps, and other derivatives
  • Advanced term structure and interest rate modeling
  • Pricing engines and market data structures for realistic simulations
Use Cases:
  • Pricing complex financial derivatives and structured products
  • Risk management and calculation of Value-at-Risk (VaR)
  • Academic research and prototyping quantitative finance models
Alternatives:
  • QuantLib-SWIG – Provides language bindings (Python, R, etc.) for QuantLib, making it accessible from other environments.
Version History
Detected Version Rev Change Commit
Sep 11, 2024 8:55am 0 VERSION_BUMP 0a2da5aa
Jan 24, 2024 6:57pm 0 VERSION_BUMP 47602d76
Jan 24, 2024 12:17pm 0 VERSION_BUMP 2885dfa6
Oct 20, 2023 4:39pm 0 VERSION_BUMP 150bf01b
Sep 27, 2023 12:07pm 0 VERSION_BUMP 7b93da64
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