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
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
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 I am rebuilding the old out-of-date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