Quant Libraries
DQ Core - Functions Library
Description: Exposes boost file system, regular expression, statististics and Eigen blas [check the attached help file and examples]
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Previous versions
Other libraries-
Schedule and Business Calendar - Functions Library
Description: Business calendar, schedule, DCF calculation, forward rates, discount factors
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Documentation.
Test cases.
Heston volatility Model - Functions Library
Description: Implementation for Heston stochastic volatility model. The model assumes that the volatility is stochastic and mean reverting.
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Documentation.
Matrix Functions Library
Description: Operations like matrix inversion, transpose, cholesky decomposition, SVD decomposition, Eigen value decomposition, solution to samultaneous linear equations etc.
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Documentation.
Random Number Generator Library
Description: Sobol sequence, Halton and Faure, normally distributed and log normally random variables.
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Documentation.
Option Formulae Library
Description: Analytical formulas for Black Scholes price , greeks for European options, Exotic option prices for Barrier and Digital options.
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Documentation.
Examples
Binary Operations
Description: Binary operators like left shit, right shift, BitXOR, BitAnd, BitOr etc.
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Documentation.
Examples
