Directory of Open Source for Quantitative Finance and Trading
Username: Password: Not registered?
 
Quick Search:    (AJAX based: No need to press button)


Gauss Top 10 (Rating)
Rank Title Category Hits Rating Vote

.NET Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Yahoo Finance Pairs finder .NET 1746 9.00 1
2 Using Ta-Lib and WPF to calculate MACD Histogram .NET 2638 8.00 1
3 American Option Pricing in Variance Gamma using Finite Difference .NET 2191 0.00 0
4 Matrix Transpose in C# using GSL .NET 503 0.00 0
5 Multi regression with Standard Errors in C# using GSL .NET 557 0.00 0
6 ADF testing application in C# .NET 1118 0.00 0
7 Online Yahoo Quotes to MySQL Database Downloader application .NET 759 0.00 0
8 Pairs trade finder from Yahoo Finance in C# .NET 1764 0.00 0
9 GSL binaries to use in C# code for 64 bit .NET 570 0.00 0
10 Johansen Cointegration test for stocks in yahoo finance .NET 5300 0.00 0

Mathematica Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Credit derivatives pricing in HJM term structure Mathematica 1947 0.00 0
2 Pricing Asian Options by Contour Integration Mathematica 1024 0.00 0
3 Binomial tree for Ho Lee interest rate model Mathematica 3409 0.00 0

Excel Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Blundell/Ward filter Excel 1093 10.00 1
2 Implicit finite difference method Excel 4164 10.00 1
3 Large Collection of Math and Quant Finance Algorithms Excel 3157 10.00 2
4 Bootstrapping Yield Curve Excel 11003 10.00 1
5 Nelder Mead Simplex method tutorial Excel 4571 10.00 1
6 Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) Excel 5332 10.00 3
7 Excel Options monitor and strategy analyzer using Google Finance as data source Excel 6039 10.00 1
8 Example of using Levenberg Marquardt for Parameters calibration in Excel Excel 4759 10.00 1
9 US Recession prediction Excel 1994 10.00 1
10 Mersenne Twister VBA Class Excel 3929 10.00 3

C++ Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Heston calibration using Adaptive simulated annealing C++ 1505 10.00 1
2 American Option Pricing in VG model using Finite Difference C++ 2272 10.00 1
3 Quantlib C++ 1498 9.00 2
4 C++ Financial Algoritms (Financial Numerical Recipes) C++ 9128 8.00 1
5 NewMat C++ Matrix Library C++ 1849 8.00 1
6 Windows / Linux / Unix Real-time Options Calculator 136 Models C++ 1673 8.00 2
7 GNU Scientific Library C++ 1333 8.00 1
8 Meta Systems library C++ 1126 8.00 1
9 CDO pricing without Monte carlo simulation C++ 2112 8.00 1
10 Hodrick Prescott Filter C++ 1677 7.00 2

Matlab Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 SABR model calibration Matlab 6417 10.00 2
2 Matlab Code: "Correlation expansions for CDO pricing" Matlab 990 10.00 1
3 Derman Kani Implied Binomial Tree Matlab 2207 10.00 2
4 LSM Monte Carlo for American Options Pricing Matlab 5312 9.00 3
5 Efiicient frontier plot for Markowitz portfolio Matlab 3702 9.00 1
6 Inflation Indexed Convertible Bond Pricing using Binomial Tree Matlab 1713 9.00 1
7 Matlab website of Eric JONDEAU & Michael ROCKINGER Matlab 1074 9.00 1
8 Fast Scatter plot for Octave Matlab 1346 8.00 1
9 Spread Option using Three Dimensional Binomial Tree Matlab 1728 8.00 1
10 Matlab program files for Stochastic Differential Equations Matlab 2780 8.00 1

Java Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 ojAlgo: Maths and Optimisation for Finance Java 733 10.00 1
2 Analytic Vanilla pricers for Bates Model Java 644 9.00 2
3 High frequency trading Library Java 682 4.00 1
4 The Bubble Index Java 325 0.00 0
5 Quantitative Finance Library for Java by Idylwood Technologies Java 605 0.00 0
6 ActiveQuant Java 577 0.00 0
7 Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX Java 1612 0.00 0
8 Complex event processing in High frequency finance by Esper Java 614 0.00 0
9 Black-Litterman model Java 2638 0.00 0
10 Monte Carlo Pricers in Java Java 2201 0.00 0

Quantlib Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Analytical Heston Price in Excel with Quantlib server Quantlib 1146 2.00 1
2 Bermudan swaption pricing in Hull White model Quantlib 2666 0.00 0
3 Swaption Price in Hull White using Quantlib 0.9 Quantlib 1825 0.00 0
4 Forward rate dynamics demo for Short rate Models Quantlib 1040 0.00 0
5 Showing graphs in Quantlib Quantlib 722 0.00 0
6 Forward bond price in Hull White Model Quantlib 1229 0.00 0
7 Bond Option pricing in Hull White Model Quantlib 1414 0.00 0
8 Bond Option Pricing in Vasicek Model Quantlib 1311 0.00 0
9 Use Quantlib to get Fair Swap Rate in Vasicek Model Quantlib 741 0.00 0
10 Pricing an inarrear swap - Quantlib code snippet Quantlib 715 0.00 0

R Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Binomial trees with R R 1886 10.00 1
2 Beautiful Pairs trading code in R by Paul Teetor R 3748 10.00 1
3 CRAN Task View: Empirical Finance R 1052 0.00 0
4 RQuantLib: R interface to the QuantLib library R 991 0.00 0
5 Scripts for Modeling Financial Time Series with S-PLUS R 1829 0.00 0
6 Code snippet to price a vanilla option in R R 524 0.00 0
7 Bootstrapping TSY Yield Curve R 1400 0.00 0
8 pure R intraday trading framework R 627 0.00 0

SPlus Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Allan Variance SPlus 783 0.00 0
2 High Frequency Finance FX Library SPlus 859 0.00 0

SAS Top 10 (Rating)
Rank Title Category Hits Rating Vote
1 Gibbs Estimation of Microstructure Models SAS 1125 0.00 0

Similar Links:

Subscribe to RSS or daily email updates of latest quantitative finance code listings
Email address :
Copyright 2011 QuantCode Inc. All rights reserved.