Risk Quantify

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Risk Quantify is an open source financial library originally designed and built by Brett Hutley. It is designed to support the pricing, risk management, and trade management of financial instruments. In terms of financial instruments; Risk Quantify supports cash, equities, FX, interest rate derivatives, commodities and credit derivatives. We are aiming to support any instrument that can be traded.

The Risk Quantify library itself is developed under the LGPL, so you can build commercial systems on top of the library. The library source code itself must remain open however, and improvements to the library should be shared with the Risk Quantify community.

Risk Quantify has been under development since 1999, and was registered on SourceForge in 2000.

Platform Support

Risk Quantify is actively developed and tested on Linux, BSD Unix and Windows platforms.

29th November, 2002: I am adding proper commodity support to Risk Quantify. To support this I am changing the rq_asset_ccypair class to be rq_asset_commodpair (a commodity pair - that can give the default quote convention for things like XAU/AUD-type forward trades. Note that the quote convention needs to have a unit attached, so that we can represent X dollars per barrel of oil, or Y dollars per ounce of gold.

27th November, 2002: I have just released version 0.4 which is still a source-only release. The tar ball contains project files for MSVC, and a "configure" process for Unix/Linux boxen. I am planning to follow this release with a 0.5 release that will contain Unix/Linux and Windows binaries for all the sample programs, and with better documentation.

18th November, 2002: I have added a "src/apps/cmdline" directory, .

7th November, 2002: We are getting close to a new release! I am targeting mid-November for the release date. I am rebuilding the old out-of-date website in preperation for the new release.

7th November, 2002: PERL and Guile interfaces to the library have been completed. I have created a test subdirectory containing testing scripts that get executed when you run a "make check".