Questions tagged [library]
The library tag has no usage guidance.
13 questions
6
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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 ...
- 1,232
2
votes
1
answer
356
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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 ...
- 75
0
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1
answer
983
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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 ...
- 139
1
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1
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1k
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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 ...
- 113
1
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0
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300
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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 ...
- 23
1
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1
answer
2k
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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 ...
- 161
3
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1
answer
3k
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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 ...
- 221
1
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2
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714
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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 ...
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5
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6
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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.
...
- 319
5
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3
answers
3k
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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?
- 151
6
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5
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5k
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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 ...
- 61
4
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4
answers
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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 ...
- 345
14
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6
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8k
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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 ...
- 161