QuantLib evaluation

[Zartow]

Hi QuantNet forum.

I have some questions about the open source QuantLib library.

I've just handed in a master thesis about the pricing of exotic options with stochastic volatility where I developed all my code from scratch. Since it was out of the scope of the paper to develop a calibration algorithm I looked around for some pre-developed open source libraries.

• Do any of you have experience with QuantLib (available at http://www.quantlib.org)?
• If so what is your recommendations? Is it an acceptable alternative for developing all the source code?
• And most important - is it reliable?
• Do you prefer an alternative library with source code for quantitative finance?

I am aware of the existing threads. But since they are quite old I hope someone out there has gained some usefull insight in the library.

Best regards,
Zartow

 

[Andy Nguyen]

Quantlib is the most advanced open source for quant finance in C++. It may be the only one as far as I know. It's well supported so chances are you will get more help.
Many Quantnet members (lugh, mark joshi) are main developers of Quantlib and they do high quality work.