|Quantitative Financial Risk Management
QuantRiskLib is a collection of standard risk functions and algorithms written in C#.
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Or look at each of the classes seperately:
Keywords: C#, convexity, duration, yield
Keywords: C#, copulas, Kendall's tau, Spearman's rho, Clayton copula, Gumbel copula, Frank copula, Joe copula, Independent copula, Farlie-Gumbel-Morgenstern copula, FGM copula, Monte Carlo
Keywords: C#, beta distribution, binomial distribution, chi-squared distribution, Irwin-Hall distribution, lognormal distribution, Non-Central Chi-Squared 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, F-distribution
Keywords: C#, Pareto distribution, Gumbel distribution, Frechet distribution, Reversed Weibull distribution, Extreme Value Theory
Keywords: C#, finite geometric series, infinite geometric series, half-life of geomteric series
Keywords: C#, matrix algebra, linear algebra, matrix class, matrix addition, matrix multiplication, transpose, matrix inverse, matrix decomposition, Cholesky decomposition, LU decomposition, Kroneker product
Keywords: C#, permutations, combinations, factorial, gamma function, beta function, incomplete beta function, regularized incomplete beta function
Keywords: C#, mean, standard deviation, skewness, kurtosis, covariance, correlation, coskewness, cokurtosis
Keywords: C#, Monte Carlo, random nomral, random Student's t, random Poisson
Keywords: C#, options, Black-Scholes, Black-Scholes-Merton, Greeks, European options, American options, Barone Adesi and Whaley, Bjerksund and Stensland, Cox-Ross-Rubinstein Binomial Tree, implied vol
Keywords: C#, regression analysis, linear regression, OLS regression, weighted least squares regression, betas, multivariate regression, R-squared, t-statistics, F-statistic, tracking error
Keywords: C#, root finding, secant method, Newton's method, Newton-Raphson, Halley method
Keywords: C#, serial correlation correction, autocorrelation correction, variance, covariance, correlation, VaR
Keywords: C#, VaR, Value at Risk, parametric, historical, hybrid
- 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.