JQuantLib is an open-source software library which provides tools for software developers interested on financial instrument valuation and related subjects. JQuantLib is written in Java

Java (programming language)

Java is a programming language originally developed by James Gosling at Sun Microsystems and released in 1995 as a core component of Sun Microsystems' Java platform. The language derives much of its syntax from C and C++ but has a simpler object model and fewer low-level facilities...

. Its source code is derived from QuantLib

QuantLib

QuantLib is an open-source software library which provides tools for software developers interested in financial instrument valuation and related subjects. QuantLib is written in C++.-History:...

, which is written in C++

C++

C++ is a statically typed, free-form, multi-paradigm, compiled, general-purpose programming language. It is regarded as an intermediate-level language, as it comprises a combination of both high-level and low-level language features. It was developed by Bjarne Stroustrup starting in 1979 at Bell...

.

Other early implementations

This is a list of previous attempts intended to port QuantLib to Java or at least provide means of calling QuantLib from Java programs:

• In Aug/2004 a project called java-quantlib attempted to create a port from QuantLib. The project is abandoned: it has only 11 classes with only a couple of edits.
• In Sep/2004 a project called QuanLib4J was started but no files were committed to their repository.
• Still in Sep/2004 a project called sKWash was started. The project was active until Jun/2005 and produced Java Native Interface wrappers to QuantLib using a tool called SWIG. The project released files in May/2005. It's not clear if the resulting work from this project was absorved by QuantLib and became the SWIG wrappers QuantLib has.

Release history

0.1.0-RC1, 2008-06-23 is the first release. It implements the core necessary to support generic financial instruments and generic pricing engines. It also implements European Options valuation using Black–Scholes model.

Licensing

It is distributed under a BSD License, which allows JQuantLib to be freely bundled with open and closed source applications. It depends only on QuantLib license, which is also BSD.

Features

• Date, Calendar and IMM support;
• Trading calendars for the most important markets;
• Support for generic financial instruments;
• Support for generic pricing engines;
• Support for generic term structures;
• Support for generic 1D and 2D interpolations;
• European Options
  Option (finance)
  In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
  
  
  • Black–Scholes model

External links

• JQuantLib homepage and community dedicated to develop JQuantLib
• QuantLib homepage
• Educational calculators developed using QuantLib
• OpenOffice Calc plugin for JQuantLib