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QuantLib
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QuantLib is a free/open-source cross-platform software library, established in 2000, for quantitative finance, issued under the BSD License. It implements a wide range number of financial functions, including: * Business/Trading Calendars for many countries * General mathematical functions, such as interpolators, random number and pseudo-random number generators, solvers and distribution functions * Option pricing calculation engines, including finite differences, binomial and trinomial trees, Monte-Carlo, Black-Scholes and many other analytic and numeric options formulae. The library is written in ANSI C++ but uses SWIG to include support for multiple languages including: * * Java * Microsoft Excel * Mathematica * Python * Ruby Major contributors include Dario Cintioli, Global Head of Risk at StatPro Italia and founder of RiskMap, and Ferdinando Ametrano of Banca Caboto who remains a QuantLib Group member and administrator. Since its inception, QuantLib has been downloaded more than 74,000 times according to its statistics at Sourceforge. In 2007, QuantLib has firmly established itself as one of the most used financial quantitative analysis libraries globally, and in the preceding twelve months saw 150,000 downloads, with 4,000 returning users for each new release. 
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