Risk Quantify was originally started by me – Brett Hutley – way back in 2000. It was used in the Razor Risk Engine, back when I was working for IT&e (which no longer exists). I don’t think that it used in Razor any more. I left IT&e back in 2004, and I did some desultory work on Risk Quantify, but essentially left it to languish.
So now I am doing some work on it again! I am working on a new project (around decision analysis) and want a fast risk engine to underlie it. You can download the source from Github here.
The text below is from the original documentation
Risk Quantify is an open source financial library, with a focus on managing the risk of financial instruments. The aim of this project is to provide people working in the financial industry with a good base to use in building their own applications. Risk Quantify provides functions for pricing, term structure building and management, calendar and event use, asset management and more.
Risk Quantify also provides a framework for pricing and managing and analysing the risk associated with financial products.
This means that Risk Quantify embodies a methodology for performing the tasks needed to manage financial instruments over their lifecycle
— quoting, trading, hedging, risk management, accounting and settling or expiring the trades. The framework should be general enough to cope with any financial product that is currently traded. Not everyone needs to use this framework however. Some people will just be interested in using the pricing algorithms, or the trade management functionality. Risk Quantify should be flexible enough so people with different needs can use the library easily and without taking on too much framework baggage.
Risk Quantify is very portable, and is actively being developed on MS Windows, Linux, MacOSX and *BSD Unix.
Currently Risk Quantify supports (to various extents) the following products:
- Interest Rate Derivatives
- Equities and Equity Derivatives
- Credit Derivatives