Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [library]

The tag has no usage guidance.

2
votes
0answers
76 views

Architecture of a global pricing library with immutable payoffs

By global pricing library I mean a library handling equity, rate etc, hybrid products having several models (BS, LV, SV, LSV) having several numerical methods (analytic formula, MC, PDE FD/FE) I ...
2
votes
1answer
63 views

Is there any open source library for commodities trading (pricing/risk managment)?

I think the question is no, as commodities trading requires far more exotic payoffs and hence higher variety of code. I know that there is a private company known Allegro, one of the main suppliers ...
-1
votes
1answer
630 views

Choosing programming language for the next generation of a pricing library [closed]

If I were to start development of a pricing library, which programming language would be most suitable to satisfy the following needs: Implement highly parallelizable pricing models using GPU or any ...
1
vote
1answer
293 views

Software library: Pricing financial instruments, such as FX Forwards

I am currently reading material on how to price financial instruments such as FX Forward deals. One way of doing this seems to be by calculating its Fair Value³. This value can be split into two ...
0
votes
0answers
126 views

are there quantitative tools to work with python pandas?

I have a code written in python and I have all my data in pandas dataframe. Are there quantitative tools to apply to these dataframes? For example, I want to calculate rsi, macd and other financial ...
1
vote
0answers
163 views

Open Source library for calculating exposures?

I would like to know an open source quantitative library/ies that can calculate exposures out of the box (I have investigated a bit on OpenGamma/Strata libraries with no luck and the website of ...
0
votes
1answer
301 views

Python Library To Calculate Porfolio Statistics

I am working through some backtesting ideas and I would love to capture the basic statistics results for comparison, (cumulative returns, annual returns, sharpe, omega etc.) Is there a python library ...
3
votes
1answer
613 views

Please advice free Java library for classical time series forecasting

I've got an ARIMA model (with a GARCH model for variance estimation) and parameters estimated in Matlab for my set of data. Now I need to use this model in my Java based application for making ...
1
vote
2answers
144 views

Java platform/lib widely use in industry

I am currently switching from Java dev to quant and for my self-study I want to code a few auto-trading algorithms to get my hands on the subject. Are there any must know platforms/libs that I should ...
3
votes
6answers
14k views

Which library shall I use for time series analysis in Java?

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. ...
5
votes
2answers
2k views

Are there Python algorithmic trading libraries supporting forex?

I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?
5
votes
5answers
4k views

Library for interactive financial charts

For my recent project I am looking to build a software capable of visualizing financial charts in a dynamically and interactive matter. The workflow is as follows: I gather data from my data provider ...
4
votes
4answers
2k views

What is the industry standard Quant Finance modeling library for F#

If it exists, has been agreed on, and F# programmers have used it extensively, I would like to know what is the industry standard Quant Finance library for F#. What typical finance scenario(s) have ...
11
votes
4answers
6k views

Library of basic indicators

I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make ...