Java Libraries for Black–Scholes and Other Quantitative Models
Summary
The question asks for an open-source, all-Java implementation of Black–Scholes and related quantitative models, with a preference for code the team can inspect without relying on C++. The replies name finmath-lib as a Java library and describe its broader coverage, including interest-rate and binomial models. They also mention Java bindings for QuantLib through SWIG, which expose a C++ library to Java, and point to Maygard as another option.
The discussion is a set of recommendations rather than a technical comparison: it supplies no benchmarks, feature matrix, maintenance assessment, or pricing-accuracy evidence. It also reports that JQuantLib was an independent port with a substantial portion of an earlier release implemented, but the status claims may be dated. A team choosing a library would need to check its current code, supported models, license, and integration requirements against its own needs.
Key ideas
- Finmath-lib is suggested as a Java library for Black–Scholes and additional quantitative models.
- QuantLib can be accessed from Java through SWIG bindings, though its core implementation is in C++.
- Maygard is mentioned as another library option.
- The thread does not compare implementations through benchmarks, current maintenance data, or model validation.
- Library selection requires checking present-day support, licensing, model coverage, and language integration.
Tags
Full text
# Is there an all Java options-pricing library (preferably open source) besides jquantlib? # Is there an all Java options-pricing library (preferably open source) besides jquantlib? I am looking for an all-java implementation of black scholes, preferably open source. I found jquantlib and quantlib (C++). Any other recommendations? The jquantlib site seems to be down. I'd prefer to stay away from a C++ implementation that runs on a jvm like quantlib seems to be. My team would like to look at the code if open source and none of us are C++ capable. ## Answer by Andr (score 13) https://quant.stackexchange.com/a/1918 Black Scholes in java? This guy, Christian Fries http://www.christian-fries.de/, has some impressive codes and a book on these topics. You can find http://www.christian-fries.de/finmath/book/index.html the contents as well as the library itself http://www.finmath.net/finmath-lib/. As well as your request, you'll see LIBOR model, HJM model, binomial model, etc. Of course there are numerical algorithms to solve these problems like Box Muller transform, etc.. He also has a straight forward approach to theoretical stuff on the topics(probably much straight forward than others) Hope it helps! ## Answer by Dirk Eddelbuettel (score 6) https://quant.stackexchange.com/a/1910 QuantLib itself also provides Swig interfaces which can be used to create bindings for dozens of languages, Java included. Quoting: > SWIG is a software development tool that connects programs written in C and C++ with a variety of high-level programming languages. SWIG is used with different types of target languages including common scripting languages such as Perl, PHP, Python, Tcl and Ruby. The list of supported languages also includes non-scripting languages such as C#, Common Lisp (CLISP, Allegro CL, CFFI, UFFI), D, Go language, Java, Lua, Modula-3, OCAML, Octave and R. See the QuantLib site for more on support for other languages and extensions. On the other hand, JQuantLib is an independent project that was last reported to have a good sized portion of a prior release ported to Java. ## Answer by El Prezidenté (score 4) https://quant.stackexchange.com/a/7870 Yep, there is one and it's leagues better than jquantlib. https://code.google.com/p/maygard/
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