Questions tagged [library]

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6 votes
2 answers

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 ...
Olórin's user avatar
  • 1,223
2 votes
1 answer

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 ...
Ant's user avatar
  • 75
0 votes
1 answer

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 ...
ryzhiy's user avatar
  • 139
1 vote
1 answer

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 ...
beta's user avatar
  • 113
1 vote
0 answers

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 ...
gencho's user avatar
  • 23
1 vote
1 answer

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 ...
Avagut's user avatar
  • 161
3 votes
1 answer

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 ...
mde's user avatar
  • 221
1 vote
2 answers

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 ...
Yuriy's user avatar
  • 133
5 votes
6 answers

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. ...
Karusmeister's user avatar
5 votes
3 answers

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?
kave's user avatar
  • 151
6 votes
5 answers

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 ...
kfeee's user avatar
  • 61
4 votes
4 answers

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 ...
Nikos's user avatar
  • 345
14 votes
6 answers

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 ...
MJB's user avatar
  • 161