idylfin
=======

Quantitative Finance Library for Java by Idylwood Technologies

Features:
Pure 100% Java implementation
Numerics library which is faster and more accurate than other Java numerical libraries
Thread safe design
Lightweight

API to Yahoo Finance
Sharpe Ratio and other financial statistics
Split and dividend adjustment

Dependencies:
IdylFin currently depends on Apache Commons Math, Jsoup and GRAL, forks of which are included in this source tree. In future versions the dependencies may be removed so that the code is self contained.

License:
Apache 2.0. You can view the terms of the license at http://www.apache.org/licenses/LICENSE-2.0.html. Idylwood Technologies is not responsible for any damages resulting from the use or misuse of this code.

Typical use cases for this project include recording large volume timeseries, managing financial reference data and other information. You can also backtest and run trading systems in production. You might also want to plug in applications written in other languages through a SOAP Service Facade or Matlab to access that data. It is also possible simulate trading, high frequency and low frequency and to move seamlessly from simulation to production through one of the trading venue interface implementations.

This is the code for the book
"Financial Modelling, Theory, Implementation and Practice (with Matlab Source)" by Kienitz and Wetterau.
This book shows how to cope with the usage and the implementation of models for derivatives pricing, asset allocation and hedging.
We cover Non-Gaussian (StochVol, Levy, StochVolLevy, LV) using state-of-the art Transformation methods, Monte Carlo and we give calibration algos.

The corresponding book can be found here:
http://www.amazon.co.uk/Financial-Modelling-Implementation-Practice-Finance/dp/0470744898/ref=sr_1_1?ie=UTF8&qid=1351061102&sr=8-1