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I am writing some financial analysis software and need to do some calculations concerning stock options. I need to calculate the current value of a short position if it were closed by selling, by getting exercised, or by expiration. However, I do not have a good method to test if my calculations are accurate. Ideally, I would have a C++ library that could do these calculations for me. But, I am willing to use practically any language MATLAB, C++, Perl, R, Java, c#, etc to build a unit test against my code.

Does anyone know of a good financial analysis library?

User1
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I suggest you check out if QuantLib can help you.

Nicola Musatti
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  • Oh wow! This is way better than I expected, but my head is spinning with all the different types of options. For starters I just want to sell American put stock options. Can you recommend which class(es) to use? – User1 Aug 05 '11 at 23:13
  • I'm afraid not. I've known about QuantLib for a long time, but I've never been involved in a project where I could actually use it. Why don't you try out its mailing lists? – Nicola Musatti Aug 06 '11 at 06:13
  • This library looks like a dream come true for what I am doing. I hope google picks up this post and gets people using it and improving it. Thank you so much!!!! – User1 Aug 06 '11 at 14:14