Intro to QuantLib C++ free open source library for quants with Excel and Java, Python, C#, Â R support
Here is an intro Youtube video to QuantLib which is a C++ open source quant library with tonnes of models included. It is quite popular and mature with excellent capaibilities to be bridged to other languages like Perl, Python, C#, Java, R, Matlab, etc. Also, there is another subproject for an Excel spreadsheet front end to play with these functions. I talk about the whole set up of it. Also, it seems there is excellent instructions on how to get a Visual C++ generated DLL accessible to another Visual C++ cient application. Â I struggled with other resources to accomplish but these instructions are really good for either Visual Studio 2008 or 2010. There is even Mac OSX.
Here is the video
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