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Does anyone know of an open source financial library that implements Yield To Maturity and other fixed income calculations? The library needs to be callable from .Net.

General Grievance
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Gratzy
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2 Answers2

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Here is a .NET implementation of all of Excel's financial functions, including yield to maturity.

mattnewport
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  • Yes I saw this in my initial investigation. I know very little of f# and was hesitant to try it hoping to find something else. Is this an irrational hesitation? – Gratzy Jul 23 '09 at 18:23
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    You don't need to know F# to use the library. It's available as a self contained .NET assembly so if you just want to use the functionality then you don't need to know anything about F#. The behaviour matches that of the Excel functions and you can refer to the Excel documentation for usage. If you think you will need to modify the code then the fact that it is implemented in F# might be an issue. – mattnewport Jul 23 '09 at 18:27
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Have you looked at Quantlib? Seems to offer a wide array of pricing tools and is callable from .Net, I believe. There's also a port to Java called JQuantLib as well, though I don't believe it implements everything in Quantlib quite yet.

Richard Gomes
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David
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