QuantLib
Table of Contents
QuantLib is a free, open-source library "aimed at providing a comprehensive software framework for quantitative finance — modelling, trading, and risk management in real life." It has been the de-facto standard quantitative-finance library in C++ for over twenty years. ORE builds on top of it; ORE Studio depends on QuantLib transitively through ORE. Return to External knowledge / Knowledge.
1. Detail
1.1. Where it lives
- Upstream — github.com/lballabio/QuantLib (Luigi Ballabio et al).
- Project site — quantlib.org.
- In this repo — not vendored directly. We pull QuantLib via the same dependency chain as ORE (vcpkg / packaging that ORE specifies).
1.2. How ORE Studio relates to QuantLib
QuantLib is two hops upstream. ORE Studio interacts with QuantLib only through ORE's wrappers; nothing in the codebase calls QuantLib APIs directly, and QuantLib's instruments / day counters / calendars appear in our data only because ORE surfaces them.
ORE Studio does not extend or modify QuantLib. Any QuantLib bug, limitation, or convention is inherited as-is. Patches that belong upstream should be sent there.
1.3. Versioning
We track whatever QuantLib version ORE pins. Bumps come from ORE releases; we do not pin or override.
2. See also
- lballabio/QuantLib — upstream repo.
- quantlib.org — project home page.
- Wikipedia: QuantLib — independent description.