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

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