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Quantitative Financial Risk Management

QuantRiskLib*
QuantRiskLib is a collection of standard risk functions and algorithms written in C#.
Download entire library
or just the
dll.
Or look at each of the classes seperately:
 BondMath.cs
Keywords: C#, convexity, duration, yield
 Copulas.cs
Keywords: C#, copulas, Kendall's tau, Spearman's rho, Clayton copula, Gumbel copula, Frank copula, Joe copula, Independent copula, FarlieGumbelMorgenstern copula, FGM copula, Monte Carlo
 Distributions.cs
Keywords: C#, beta distribution, binomial distribution, chisquared distribution, IrwinHall distribution, lognormal distribution, NonCentral ChiSquared Distribution, normal distribution, normal distribution probability density function, normal distribution cumulative distribution function, normal distribution inverse cumulative distribution function, Poisson distribution, standard normal distribution function, Student's t distribution, uniform distribution, Fdistribution
 Distributions.EVT.cs
Keywords: C#, Pareto distribution, Gumbel distribution, Frechet distribution, Reversed Weibull distribution, Extreme Value Theory
 GeometricSeries.cs
Keywords: C#, finite geometric series, infinite geometric series, halflife of geomteric series
 Matrix.cs
Keywords: C#, matrix algebra, linear algebra, matrix class, matrix addition, matrix multiplication, transpose, matrix inverse, matrix decomposition, Cholesky decomposition, LU decomposition, Kroneker product
 MMath.cs
Keywords: C#, permutations, combinations, factorial, gamma function, beta function, incomplete beta function, regularized incomplete beta function
 Moments.cs
Keywords: C#, mean, standard deviation, skewness, kurtosis, covariance, correlation, coskewness, cokurtosis
 MonteCarlo.cs
Keywords: C#, Monte Carlo, random nomral, random Student's t, random Poisson
 Options.cs
Keywords: C#, options, BlackScholes, BlackScholesMerton, Greeks, European options, American options, Barone Adesi and Whaley, Bjerksund and Stensland, CoxRossRubinstein Binomial Tree, implied vol
 Regression.cs
Keywords: C#, regression analysis, linear regression, OLS regression, weighted least squares regression, betas, multivariate regression, Rsquared, tstatistics, Fstatistic, tracking error
 Roots.cs
Keywords: C#, root finding, secant method, Newton's method, NewtonRaphson, Halley method
 SerialCorrelationCorrection.cs
Keywords: C#, serial correlation correction, autocorrelation correction, variance, covariance, correlation, VaR
 ValueAtRisk.cs
Keywords: C#, VaR, Value at Risk, parametric, historical, hybrid
Sample Apps*
 This sample application demonstrates how to calculate the mean, standard deviation, skewness, kurtosis, and beta for several securities.
Keywords: C#, stock returns, equity returns, risk statistics
*This code is freeware. The methods are not proprietary.
Feel free to use, modify and redistribute. That said, if you plan to
use or redistribute give credit where credit is due and provide a link
back to Risk256.com (or don't remove the link and references already in
the code). The code is intended primarily as an educational tool. No
warranty is made as to the code's accuracy. Use at your own risk.

