Statements (96)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:software
|
| gptkbp:application |
risk management
derivatives pricing financial instrument modeling |
| gptkbp:domain |
quantitative finance
|
| gptkbp:feature |
gptkb:Monte_Carlo_simulation
gptkb:credit_default_swaps gptkb:credit-linked_notes option pricing statistical analysis stochastic processes curve fitting finite difference methods finite element methods date calculations mortgage-backed securities structured products scenario analysis stress testing optimization tools random number generators counterparty risk interest rate futures bootstrap methods interest rate swaps commodity derivatives convertible bonds sensitivity analysis exotic derivatives interest rate models model calibration callable bonds inflation-linked bonds securitized products bond pricing swaption pricing yield curve modeling credit risk analysis risk metrics American option pricing business day conventions day count conventions market conventions market data feeds calibration tools numerical solvers FX derivatives Asian option pricing European option pricing Greeks calculation ISDA conventions analytic pricing formulas barrier option pricing basket option pricing calendar support cap/floor pricing cash flow modeling chooser option pricing collateral modeling compound option pricing correlation modeling credit models date schedules digital option pricing equity models exposure calculation exposure profiles inflation modeling lookback option pricing market data bootstrapping market data handling market risk analysis multi-asset derivatives portfolio valuation pricing engines quanto option pricing repo instruments spread option pricing swap pricing term structures volatility surfaces |
| gptkbp:firstReleased |
2000
|
| gptkbp:founder |
Ferdinando Ametrano
Luigi Ballabio |
| https://www.w3.org/2000/01/rdf-schema#label |
QuantLib
|
| gptkbp:license |
gptkb:BSD_License
|
| gptkbp:programmingLanguage |
gptkb:C++
|
| gptkbp:repository |
https://github.com/lballabio/QuantLib
|
| gptkbp:supportsLanguage |
gptkb:Java
gptkb:Python gptkb:C# |
| gptkbp:usedBy |
academia
financial institutions |
| gptkbp:website |
https://www.quantlib.org/
|
| gptkbp:bfsParent |
gptkb:Open_Source_Risk
|
| gptkbp:bfsLayer |
7
|