QuantLib is an open source and freely distributed library software implemented mainly in C++, exported to C#, Java, Ruby, Perl, Objective Caml, GNU R, Python, and Scheme.

In another words a cross-platform free/open-source tool for derivatives and financial engineering.

QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.

At the moment, it has been successfully tested with several distributions of Linux, but it should be compatible with all GNU/Linux operating systems.

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