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We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI.

We have tried Jquantlib, but it seems not 100% replica of original Quantlib which is written in C++ have bugs( for e.g. root not bracketed error in bond yield calculation).

So right now we can see two options opengamma and Maygard (the google archive) which is written in Pure Java.

Can any experienced users share their views on this two library or if they know any better pure Java-based libary alternative.

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    $\begingroup$ FINCAD has the F3 product, which is very flexible, and has built-in adjoint algorithmic differentiation, for very fast risk calcs. It is implemented internally in C++, but they have supported bindings for Java, .NET, MATLAB, and maybe Python. Disclosure: I work for FINCAD. $\endgroup$
    – experquisite
    Commented May 14, 2015 at 4:02
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    $\begingroup$ But FINCAD is not open-source. $\endgroup$
    – SmallChess
    Commented Dec 24, 2015 at 9:58

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The Strata project is the new pure Java market risk quant library from OpenGamma. For more information, see the documentation and GitHub. It is Apache v2 licensed.

Strata takes the experience of the OG-Platform codebase referenced in the question and turns it into a library - no need for databases, servers or similar. Ease of use is a big focus and there are examples to allow easy evaluation. See this link for asset class coverage.

Disclaimer: I work for OpenGamma, who develop Strata.

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    $\begingroup$ Hi JodaStephen, welcome to Quant.SE! $\endgroup$
    – Bob Jansen ♦
    Commented Dec 23, 2015 at 14:51
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    $\begingroup$ I was curious, so I checked out the source code. I'm not a fan of Java for numerical analysis or computational finance but the options pricers and some numerical routines look pretty decent. A few quibbles at the lower level (like unnecessary matrix inverses). Overall Strata looks like a pretty good library, particularly for risk. It seems better in several ways than QuantLib. $\endgroup$
    – Brian B
    Commented Feb 3, 2017 at 17:27
  • $\begingroup$ Thanks for taking a look! If there is anything that you saw that want us to try and fix, feel free to raise an issue at GitHub or on our forum. $\endgroup$
    – JodaStephen
    Commented Feb 4, 2017 at 23:18
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I did not tested it by now, but Google released a library similar to quantlib written in TensorFlow (tf-quant-finance). It may be worthwhile to test it (and to post here your views on it), because once you are in TF, you can

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  • $\begingroup$ Do you have a link to this library? $\endgroup$
    – Thomas Browne
    Commented Oct 26, 2020 at 10:50
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    $\begingroup$ @ThomasBrowne added in the answer $\endgroup$
    – lehalle
    Commented Oct 28, 2020 at 12:52
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QSTK is nice and open source , it is the QuantSciTookKit and it has some good functionality if you are interested in python programming. Here is the GitHub repo.

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    $\begingroup$ QSTK is terribly outdated. $\endgroup$
    – mac13k
    Commented Feb 14, 2021 at 18:41

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