The QuantLib project is aimed at providing a comprehensive software
framework for quantitative finance. QuantLib is a free/open-source
library for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then
exported to different languages such as C#, Objective Caml, Java,
Perl, Python, GNU R, Ruby, and Scheme. An AAD-enabled version is
also available. The reposit project facilitates deployment of object
libraries to end user platforms and is used to generate QuantLibXL,
an Excel addin for QuantLib, and QuantLibAddin, QuantLib addins for
other platforms such as LibreOffice Calc. Bindings to other languages
and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica,
COM/CORBA/SOAP architectures, FpML, are under consideration. See
the extensions page for details.

WWW: https://www.quantlib.org/