Example data generated by QuantEngine
Example Distribution approximation generated by QuantEngine
This repository contains two distinct C++ programs: QuantLib and QuantEngine. These programs are the foundation for quantitative finance and statistical analysis, providing tools to work with financial data, analyse market trends, and develop complex financial models. The library can also be used in non-financial contexts, providing various mathematical functions not found in native libraries.
QuantLib is a comprehensive library written in C++ designed to provide statistical and financial functions to support the analysis of financial markets. It includes implementations for various quantitative finance models, ranging from simple statistical functions to other analysis tools and functions.
Key Features:
Statistical Functions: Includes various statistical tools, which can be applied to both financial and non-financial programs
Mathematical Functions: Provides various mathematical functions not included in the native C++ libraries, using optimised and efficient algorithms.
Financial Models: Will soon Implement standard quantitative finance models, such as Black-Scholes, Monte Carlo simulations, and interest rate modelling.
Pricing Tools: Tools for the pricing of derivatives, bonds, options, and other financial instruments.
Optimised for Performance: Written in C++ for high-performance computation, especially for large data sets and complex financial models.
QuantEngine is a data analysis and processing engine built on top of QuantLib. It provides an easy-to-use package for analysing financial data, running statistical analyses, and integrating complex financial models. QuantEngine is designed to leverage the full power of QuantLib while providing a simplified interface for data-driven tasks.
I will not be going into the mathematics involved, as this is assumed knowledge. Topics include probabilities, stochastic processes, statistics, ODEs and PDEs and Financial Mathematics. It might consist of explanation issues and mathematics later, but the implementation of algorithmic trading financial analysis and modelling is the aim of this project.