Directory of Open Source Software for Quantitative Finance & Trading

Today’s Popular Quantitative Finance Code

Type	Title	Download	Hits	Share
Excel	Principal Component Analysis PCA	Download	9	Share
Excel	Cointegration analysis using Johansen procedure	Download	7	Share
Excel	Augmented Dickey Fuller Test (ADF) in Excel VBA	Download	7	Share
Excel	OLS - Ordinary Least Squares without Microsoft Addins	Download	6	Share
Excel	Caplet pricing using Black's formula	Download	5	Share
Excel	Linear Interpolation	Download	5	Share
Matlab	Solve the PIDE arising from a jump diffusion model	Download	5	Share
Matlab	Demo of using Importance sampling in pricing of a Plain Vanilla Option	Download	4	Share
Matlab	Andrew Patton's Copula toolbox for Matlab	Download	4	Share
Matlab	Barrier option price using Explicit Finite difference method	Download	4	Share
R	Beautiful Pairs trading code in R by Paul Teetor	Download	4	Share
Excel	Efficient Frontiers via the Mean Variance Optimization Method	Download	4	Share
Excel	Black Karasinki Model	Download	4	Share
Excel	Portfolio Optimization using Markowitz Model	Download	4	Share
Excel	Excel Options monitor and strategy analyzer using Google Finance as data source	Download	4	Share
Excel	Bilinear interpolation function in VBA	Download	4	Share
Excel	Gaussian, Student ,Clayton, Frank and Gumbel copulas	Download	4	Share
C++	Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer	Download	4	Share
Excel	Bootstrapping Yield Curve	Download	4	Share
Matlab	American Option Price using Explicit Euler Finite Difference Method	Download	4	Share