Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jan 19

Meta Financial Functions Library

Posted by abiao at 11:00 | Code » C++ | Comments(1) | Reads(7158)
Meta Financial Functions Library is a free library for option pricing written in C++, as of now, Meta Systems offers no commercial products, and the library is still under beta, as indicated by its author: "The Meta Financial Formula Library implements many commonly used functions as correctly as possible once and then provides wrapper functions and code to be able to reuse the implemenation from other tools and languages."

At the moment Meta Financial Functions Library covers a wide range of vanilla and exotic options, which can be obviously seen from the name of functions, for example, a list of functions includes black76, black76_put, black76_call, blackscholes, gbs, gcarry, AmericanExchangeOption, AssetOrNothing, BAWAmericanApprox, BSAmericanApprox, BinaryBarrier, CashOrNothing, ComplexChooser, DiscreteAdjustedBarrier, DoubleBarrier, EquityLinkedFXO, EuropeanExchangeOption, ExchangeExchangeOption, Executive, ExtendibleWriter, ExtremeSpreadOption, FixedStrikeLookback, FloatingStrikeLookback, ForEquOptInDomCur, ForwardStartOption, GapOption, GeometricAverageRateOption, JumpDiffusion, LevyAsian, LookBarrier, OptionsOnOptions, OptionsOnTheMaxMin, PartialFixedLB, PartialFloatLB, PartialTimeBarrier, PartialTimeTwoAssetBarrier, Quanto, RollGeskeWhaley, SimpleChooser, SoftBarrier, SpreadApproximation, StandardBarrier, SuperShare, SuperShare_inlined, Swapoption, TakeoverFXoption, TimeSwitchOption, TurnbullWakemanAsian, TwoAssetBarrier, TwoAssetCashOrNothing, TwoAssetCorrelation, VasicekBondPrice, VasicekBondOption...

pig, what a long list! you shall download the library at http://www.metasystems.no/, which is free and the author makes the source code clean and publicly available, learning from others is always enjoying.


Tags:
Neil from finance world Homepage
This post is technically sound but good one. As a experienced blogger i do agree with what you said.
Not only this post there are few more financial posts you have made those are technically sound. Congrats for maintaining such a great & informative blog.
Pages: 1/1 First page 1 Final page
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]