This project is read-only.
 RiskLib.NET Financial Risk Management Library News Feed 
Monday, April 27, 2009  |  From RiskLib.NET Financial Risk Management Library

I plan to redesign the popular RightPairs software to a more powerful calculation agent. Although it is already a multi-thread, multi-agent system and very stable, it is limited to calculation of pair-related factors such as correlations and regression lines. I think time to time about including data retrieval and delivery of reports as kinds of job like calculations. I can use SQL Agent to be the ultimate control of all jobs and my calculation agent can do any job generated by SQL Agent.

A first look of scope of namespace RiskLib.MultiAgent is at

Saturday, March 07, 2009  |  From RiskLib.NET Financial Risk Management Library

I released RiskLib.NET 0.1.1 yesterday after I finished a SQLCeDataSource and an example to retrieve and save data.

The idea I present in this release is getting data from any DataSource and save into any DataDestination. A datasource with IHistoricalSource or IDailyClosingSource interface can retrieve data and convert into generic HistoricalDataList format, then fire a HistoricalDataEvent (defined in IHistoricalBase). The example handle the event at application layer and call SaveData from any DataDestination instance, which can accept HistoricalData as input and save in specified table defined in derived DataDestination class.

The fundamental fields can be handled in the same way and I don't have plan to implement another example. I might focus on mathematical and portfolio parts of RiskLib.NET from now, after I add some content on scope of RiskLib.DataSource.

RiskLib.NET is an open source project hosted in You can visit the project at

Thursday, February 26, 2009  |  From RiskLib.NET Financial Risk Management Library

Rules of RiskLib Product Coding Scheme

Why Product Coding Scheme

If your company participates many markets and investment instruments, it is very difficult to consolidate so many different sources of market and position data. For example, if you trade US stocks only, you might have IBM stored in a field in your closing price and position tables. But after your portfolio extended into European markets, which are using alphabet as stock code, you will find it is not a good idea to just store the US stock code as a unique key in the table. For many Asian stock markets, including Japan, Hong Kong, Korea, and Taiwan, they are using numbers as stock code.

For fixed-income instruments, that is a more complicated case. Although all issues of bonds have ISIN (International Securities Identification Number), there are still many indices or interests rates have no common coding. ISIN is a good choice for bonds, but we need more.

Global futures market has its own coding scheme, I prefer to use Reuters' codes.

Product Coding Scheme is for Assets or Indices only, not for OTC or derivatives trades

Please note only standard assets (securities or indices) need standardized coding. Over-the-Counter or derivatives trades are usually one of a kind for each trade and is not necessary to define in a coding scheme.

Product Coding Scheme Used in Current Systems

I will introduce coding scheme used in Reuters and Bloomberg later.

Objective of RiskLib Product Coding Scheme

Where is a perfect coding scheme? I don't know. I think a good coding scheme is a key of good risk management system, unless your portfolio is simple and local. I think a good coding scheme should have the following attributes:
  • short
  • product type can be recognized from the code itself
  • connect to offical system

Thursday, February 26, 2009  |  From RiskLib.NET Financial Risk Management Library

I added 3 datasource to RiskLib.NET to demostrate how to implement two different interface: IDailyClosingSource, IHisotricalSource, and a special designed datasource: Bloomberg. I also added a example to retrieve data from these datasources.

Although there are still a lot should be modified, the example worked fine to retrieve data from these datasource.

Wednesday, February 25, 2009  |  From RiskLib.NET Financial Risk Management Library

THe first part of RiskLib.NET source code has been uploaded to It contains ready for use source code in namespace DataSource and Product. Although not all the code of these two namespace is finished, these are codes that might not be change until next major release.

The RiskLib.DataSource is designed to contain flexible and extensible classes for various financial information sources. A Bloomberg datasource implementation has been included. Bloomberg Professional Services is a very good source for informations for investment. I will include a working example using Bloomberg class to retrieve daily closing and real-time data. Please note: You must have a Bloomberg Professional Service terminal to use this class.

The RiskLib.Product contains object model for some basic financial product. This namespace might have some modification but not expected huge.

Friday, February 20, 2009  |  From RiskLib.NET Financial Risk Management Library

I created a new project named RiskLib.Net on

After developing software for financial industry for more than 10 years, I plan to develope an open source .NET library for derivatives and risk management. It is just started without any code. I invite anyone who have interests to join it.

Please visit the following link to see the project:

 RiskLib.NET Financial Risk Management Library News Feed 

Last edited Apr 27, 2009 at 5:15 PM by alvincho, version 4


mysqlproject Mar 21, 2010 at 3:19 AM 
Is this project still live?
I'll happily join/contribute, what language are you using (VB,C++,Java)?
I can provide expertise on derivatives, mainly equities' onesand Fx's.
Let me know if this thread still on, as I can see you requested this about a year ago!

kuoshengchang Feb 23, 2009 at 6:20 AM 
I am in.