4 packages tagged with “Quantlib”
A free/open-source library for quantitative finance
Cephei.QL is a complete wrapper of the Quantlib (QLNet) library using the Cell Framework for transparent multi-threaded calculation. Financial model are coded as a series of functional definitions and the dependency graph is derived at runtime as calculation is performed. Overall Cephei parallelism is significantly faster because: [1] Financial calculations are compute intensive with natural independence between instruments in a portfolio, [2] any number of market changes can trigger the need re re-value an instrument. Cephei.QL is a foundation for the Cephei.XL Excel addin that allows models to be built in Excel and saved as functional programs that are algorithmically identical to the source spreadsheet, but can be combined with application code for server deployment. Server deployment can include Cephei.Orleans for Financial “Digital Twin” of Portfolios for real-time risk The source types can be used as-is or as recipes for domain specific implementation with the Cell Framework.
The Cell framework provides a mechanism to declare a number of values and calculations like cells of a spreadsheet and have them background evaluated automatically in parallel whenever a value changes. Cells can be constructed with closures or profiled the first time they are evaluated, but will always be re-evaluated when a referenced cell has changed (and not otherwise). The Cell framework is designed for complex financial calculations that depend on ticking market data for pricing and real-time risk – where you can not determine which value is going to change for second to second. Cells can be grouped into a Model to encapsulate the implementation of the model in an obj that is IObserver<> for upstream values and IObservable<> for downstream values
Fork created by Quant Foundry for Risk First