Quantitative Finance Library for .Net

In addition to our mathematical libraries, Quantitative Express is uniquely providing a wealth of financial classes for option pricing and risk analysis (incl. Value at Risk).

For sure, the Black & Scholes model is present, but so are the Barone Adesi and Whaley, the Bjerksund and Stensland, the Curran, the Haug Haug and Margrabe, the Heston, the Turnebull and Wakeman or the Asay 1982 models to just name a few.

All the four techniques Closed Form solutions, Trees, PDEs and Monte Carlo simulations are used to price European or American vanilla and exotic options such as barrier, digital or Asian options.

The table herebelow presents the derivatives supported (non exhaustive list)

OPTIONS - EXOTIC AND VANILLA

OPTION STYLE
  • Asian (Geometric & Arithmetic)
  • Forward start
  • Chooser
  • Compound
  • Lookback:
    • Extreme Spread
    • Floating Strike (incl. Partial)
    • Fixed Strike (incl. Partial)
  • Power & Quotient
  • Quanto
  • Spread
  • Single & Double Barriers
  • Binary:
    • Single & Double barrier (Trees, Simulations and PDEs)
    • Asset or Nothing
    • Digital (Cash or Nothing)
    • Gap
  • Multi-asset:
    • Baskets
    • Cliquets
    • Napoleon
  • Mountain range
    • Altiplano
    • Himalaya
  • American
  • Bermudan
  • European

VOLATILITY DERIVATIVES
  • Variance Swaps  (coming soon)
    • Conditional
    • Corridor
    • Capped / floored
  • Volatility swaps  (coming soon)
  • Variance Options  (coming soon)

OTHER EQUITY DERIVATIVES
  • Futures
  • Warrants – various structures (coming soon)
  • Convertible bonds  (coming soon)
    • Vanilla and user-defined deal
  • Total return swaps  (coming soon)

MODELS & METHODS
  • Local Volatility
  • Constant Volatility such as Black-Scholes
  • Stochastic Volatility
    • SABR
    • Heston
  • Binomial, Trinomial and higher Dimension Trees
  • PDEs (Implicit, Explicit and Crank-Nicholson)
  • Monte Carlo (Black Scholes, Heston)
  • Implied Volatilty
  • Greeks
  • Support for Discrete and Continuous Didivends
  • Highly Sophisticated Volatility object for implementing Vol Smiles, Curves and Surfaces

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All our libraries are written in 100% native C# and are compatible with  the .Net framework 2.0 upwards.

 

Why using our components?

  • Reusing professional components helps maximise return on investment, deliver projects on time, concentrate on key architecture aspects.
  • All our components are systematically and thoroughly tested with NUnit.
  • Our open source model means you can easily understand, extend any of the functions if you ever need to and easily port and test the code to another language or platform.
  • With our friendly support and services team you are guaranteed an answer to questions very quickly.

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