Financial library for C/C++

Question

Do you know of a good open source financial library written in C (preferably) or C++?

I already looked at Quantlib, which seems too complicated for me, since I just want some basic computations (total cost of credit, all in-cost credit rate...)

Thank you very much!

Answer 1

When programming for financial derivatives, I absolutely loved Bernt Arne Ødegaard's resource here:

http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/node1.html

It probably has what you want, and then some. If it doesn't, I have to agree with James Black.

Answer 2

Try:

http://www.metasystems.no/downloads/index.html

Download the Meta Financial Functions Library Beta 0.0.4

Also take a look at my application which uses both Financial Recipes in C++ and the Meta Financial Functions Library to generate option chains for 120 models.

General website: http://opensourcefinancialmodels.com

GPL3 Source Code: http://opensourcefinancialmodels.com/optionmatrix.tar.gz

Windows Installer: http://opensourcefinancialmodels.com/installoptionmatrix.exe