Projects

jFin

Open source derivatives trade processing.

JQuantLib

JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java. It provides "quants" and Java application developers several mathematical and statistical tools needed for the valuation of shares, options, futures, swaps, and other financial ... [More] instruments, also providing tools related to risk management and money management. JQuantLib is based on QuantLib, which is written in C++, aiming to be a complete rewrite of QuantLib, offering features Java developers expect to find. JQuantLib aims to be fast, correct, strongly typed, well-documented, and user-friendly. [Less]

Elementary Unleashed

This project is inspired by elementary, it shares and admires the goals of the elementary project that started with just an icon theme, and now on its way to become an iconic linux distribution that will bring linux to the mass with simplicity, innovation and elegance. Based upon this, we dream to ... [More] create a desktop that users will enjoy using- with simple but powerful tools to accomplish their tasks, and support for almost everything they want to do on their computer. We want to make computing fast, simple, beautiful and fun for anybody, you me and even John's grandma :) If this means going outside the box, we are ready to do so. [Less]

MarWiz

MarWiz is a market wizard framework for rapid development trading robots and backtesting trading strategies.

webfinance

The web project of a set of techniques that individuals and organizations (entities) use to manage their money.

localoptimization

LOVictor E. Bazterra Departament of Physics University of Illinois at Chicago (2007) DescriptionThis project is a small C++ library for local optimization. It is a general interface that implements local optimization of functions. It implements linear search algorithm with or without ... [More] derivatives and Powell method and Gradient Conjugate. Moreover it has several methods for evaluating numerical derivatives. The code is documented by using Doxygen and comes with a set of examples. InstallationIt is necessary to define LOROOT that should be ponting to the root directory where the library is install. After that just type 'make' in the LOROOT directory. Example: ~> tar xvfz lo-x.x.tar.gz ~> cd lo-x.x lo-x.x> export LOROOT=$PWD (for bash) setenv LOROOT PWD (for tcsh) lo-x.x> make [Less]

litequant

Only for C++ beginners. There is a C++ library, QuantLib. There are books explain how to implement derivative pricing by C++. However, I want very very intuitive derivative pricing design. Example1. Operator overloading I don't want to use operator() to get payoff at expiry. It is ... [More] supposed to be intuitive when using operator overloading. But at least for me operator() is not. The operator= is bad as well. See Google C++ Style Guide's operator overloading explanation. Just change it Equals() or CopyFrom() Example2. Naming In order to get payoff at expiry of the option, let's use GetPayOff() instead of operator() or any other bad function name. To set strike price of the option, use set_strike_price() method. For risk free rate, don't use double r. It's meaningless. What about double risk_free_rate? Example3. Class design Nested class. Do I really need to use? Really? Why option class have to calculate the price? In real life, my blank paper and pencil calculates the options price. My blank option pricing engine paper gets the option's parameters and payoff function. And according to my method, the paper starts to calculate. So, I'd like to have one class reflects option contracts, and the other reflects pricing papers. I don't like my option class have price calculating method, for example, europeanOption.NPV(). [Less]

smartoptions

SmartOptions is a derivatives pricing engine specifically designed to leverage multicore processors. Whenever possible it uses C++ templates in order to achieve maximum performance. The engine is currently being parallelized with the Intel threading building blocks library (TBB).

jfin-datemath

Financial date arithmetic, including date adjustment, schedule generation and day count fraction calculation.

fiqua

Pricing modeling, simulation and implementation of diverse strategies on derivatives, mostly futures and options. Mostly a learning exercise.