SERVING THE QUANTITATIVE FINANCE COMMUNITY

mtsm
Topic Author
Posts: 352
Joined: July 28th, 2010, 1:40 pm

### commercial quant analytics library

Hi,

please recommend a commercial quant analytics library for use on the buy side mostly with linear (some non-linear) fixed income.

Should have fairly cutting edge curves building technology.

Needs to have an API.

Thanks very much!

hateeque
Posts: 21
Joined: October 7th, 2004, 2:43 pm

### Re: commercial quant analytics library

since when did fixed-income become linear? Isn't a bond's price a convex function of its yield?

bearish
Posts: 5361
Joined: February 3rd, 2011, 2:19 pm

### Re: commercial quant analytics library

It is, but that is not all that different from saying that a stock price is a convex function of the log of the stock price.