Project Description
A .NET Library for quantitative risk management. This library provides functions to retrieve and store data from various sources, object model of financial products, valuation with models, and calculation of risk factors such as greeks and VaR.

There are some excellent open source libraries for quantitative finance. I would like to start a native .NET library for quantitative finance and risk management. Although I have plenty of source code in hand, this library will start from the beginning and hope it might be useful for someone who need it.

This library will contains the following features:
1. retrieves data from various data source, including DDE, Bloomberg, Reuters, and web pages,
2. provides object model for financial products, such as stocks, bond, futures, FX, swaps, and many other derivatives,
3. obtains position data in portofolios,
4. calculates value by various models,
5. calculates greeeks and VaRs.

I would like to receive ideas and request for features. Anyone wants to join this project is welcomed.

Alvin Cho

RiskLib Blog
RiskLib Product Coding Scheme
Scope of Release 1.0

Last edited Feb 22, 2009 at 2:48 PM by alvincho, version 7