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

commercial quant analytics library

July 10th, 2018, 7:49 pm

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

Re: commercial quant analytics library

July 16th, 2018, 9:05 pm

since when did fixed-income become linear? Isn't a bond's price a convex function of its yield?
 
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bearish
Posts: 6188
Joined: February 3rd, 2011, 2:19 pm

Re: commercial quant analytics library

July 17th, 2018, 1:14 am

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. 

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