A free/open-source library for quantitative finance

quantlib.org

25 points·known··14 comments

Also, a list of related financial and programming books and topics from the site which I found very useful: http://quantlib.org/books.shtml

If this is what Lehman, AIG, etc. have been using, I'd stay away!

That's like saying stay away from PHP because that's what Yahoo uses.

It even worse a connotation. Just lame.

Tools are just meant to enhance productivity and aid people. Bottom line is people and strategy and not tools.

You can use this library to calculate call option price in Variance Gamma model

http://www.fftw.org/

Now where can I get some datasets that don't require me to work for a massive educational or corporate institution?

If you know python, google 'ystockquote'

It is a simple and awesome way to get historical stock data programztically from Yahoo. That should get you started. If you want fundamental data ftp.sec.gov is free, but you will need to do a bit more work to extract the data. Let me know if you get anywhere, I'm looking for fundamental data too.

are there fundamental data on ftp.sec.gov? All I can find is sec filings by the listed companies.

The data is there but you need to extract it from the individual 10-K and 10-Q.

You can actually get end of day pricing for stocks pretty reasonably. I think it's $40/mo from Multex (now Reuters) last I checked.

I haven't checked this library out yet, but in a former life I was a quant...

known you too, I actaully have experience using quantlib, use different tools now.

Are these tools also open? If so, can you share the information?

or im me at bkrmrk314

cbetz, I think I can help you there. Email me

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