Quant Libraries

DQ Core - Functions Library

Description: Exposes boost file system, regular expression, statististics and Eigen blas [check the attached help file and examples]
Download library V 0.0.2 beta

Previous versions

V 0.0.1.

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