QuantLib: The QuantLib Group

A free/open-source library for quantitative finance Reference manual - version 1.6

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The QuantLib Group

# Authors

The QuantLib Group members are:

- Ferdinando Ametrano, Banca IMI SpA, administrator
- Luigi Ballabio, StatPro Italia srl, administrator
- Marco Bianchetti, Banca IMI SpA
- Nicolas Di Césaré
- Dirk Eddelbuettel
- Neil Firth, Mathematical Institute, University of Oxford
- Nicola Jean, StatPro Italia srl
- Chris Kenyon
- Roland Lichters
- Marco Marchioro, StatPro Italia srl
- Klaus Spanderen
- Joseph Wang

# Contributors

We gratefully acknowledge contributions from Nathan Abbott, Samad Abdessadki, Kakhkhor Abdijalilov, Xavier Abulker, Toyin Akin, Marius Akre, Mario Aleppo, Grzegorz Andruszkiewicz, Driss Aouad, Jose Aparicio, Sercan Atalik, Ahmed Ayadi, Lluis Pujol Bajador, Nabila Barkati, Clément Barret, Christopher Baus, Thomas Becker, Michaël Benguigui, Adolfo Benin, Hachemi Benyahia, Luca Berardi, Sylvain Bertrand, Manas Bhatt, David Binderman, Theo Boafo, Francois Botha, Delphine Bouthier, Fakher Braham, Joe Byers, Xavier Caron, Marine Casanova, Peter Caspers, Antoine Cellerier, Yee Man Chan, Aurelien Chanudet, Yiping Chen, Yanice Cherrak, Meryem Chibo, Warren Chou, Scott Condit, Jon Davidson, Daniele De Francesco, Frédéric Degraeve, Piero Del Boca, Piter Dias, Michael von den Driesch, Francis Duffy, Cristina Duminuco, Dirk Eddelbuettel, Faycal El Karaa, Bernd Engelmann, Giorgio Facchinetti, Matt Fair, Paul Farrington, Lorella Fatone, Luca Ferraro, Chiara Fornarola, Silvia Frasson, Andreas Gaida, Matteo Gallivanoni, Riccardo Ghetta, Roman Gitlin, Nick Glass, Marek Glowacki, Richard Gomes, Johannes Göttker-Schnetmann, Henri Gough, Richard Gould, Florent Grenier, Sebastien Gurrieri, Tawanda Gwena, Cavit Hafizoglu, Michael Heckl, Laurent Hoffmann, Xiangyu Hong, Benoît Houzelle, Frank Hövermann, Shen Hui, Charles Chongseok Hyun, Simon Ibbotson, Norbert Irmer, Mike Jake, Rahul Kanchi, Andrey Karpov, Michal Kaut, Tomoya Kawanishi, Gary Kennedy, Matt Knox, Andrew Kolesnikov, Silakhdar Krikeb, Nathan Kruck, Yan Kuang, Allen Kuo, Paul Laderoute, Yasmine Lahlou, Fabien Le Floc'h, James Lee, Samuel Lerouge, Bernd Lewerenz. Cheng Li, Gang Liang, Robert Lopez, André Louw, Joao Paulo Magalhaes, John Maiden, Katiuscia Manzoni, Francesca Mariani, Slava Mazur, Paolo Mazzocchi, Enrico Michelotti, Andre Miemiec, Raso Mirko, Radu Mondescu, Bart Mosley, Tiziano Müller, Billy Ng, Bojan Nikolic, Jean Nkeng, Adrian O'Neill, Andrea Odetti, Mike Parker, Guillaume Pealat, Gilbert Peffer, Walter Penschke, Francesco Perissin, Robert Philipp, Marcello Pietrobon, Adrien Pinatton, Gianni Piolanti, Sebastian Poloczek, Nolan Potier, Mario Pucci, Ian Qsong, Paul Rädle, Alexandre Radicchi, J. Erik Radmall, Ilyas Rahbaoui, Fabio Ramponi, Maria Cristina Recchioni, Dimitri Reiswich, Sadruddin Rejeb, Alessandro Roveda, Mohamed Amine Sadaoui, Amine Samani, Alpha Sanou Toure, Tamas Sashalmi, Peter Schmitteckert, Ralph Schreyer, David Schwartz, Giacomo Sergio, Simon Shakeshaft, Michael Sharpe, Kirill Shemyakin, Eugene Shevkoplyas, Enrico Sirola, Leon Sit, Dale Smith, Maxim Sokolov, Niels Elken Sønderby, Andreas Spengler, Roland Stamm, Edouard Tallent, Marco Tarenghi, Yue Tian, François du Vignaud, Qingxiao Wang, Charles Whitmore, Stephen Wong, Bernd Johannes Wuebben, Sun Xiuxin, Jeff Yu, and Francesco Zirilli.

QuantLib also includes code taken from Peter Jäckel's book "Monte Carlo Methods in Finance".

QuantLib includes software developed by the University of Chicago, as Operator of Argonne National Laboratory.