Java language binding for QuantLib

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This repository provides Java language binding for the QuantLib library, a powerful open-source library for quantitative finance, using their QuantLib-SWIG interface. The language binding allows you to seamlessly integrate QuantLib functionality into your Java projects.

This project and its maven module io.github.ralfkonrad.quantlib_for_maven:quantlib does not add any functionality to the existing ones in QuantLib and QuantLib-SWIG but makes them available including the native libraries for Linux, macOS and Windows.

Introduction

QuantLib is a widely-used library for quantitative finance that provides a comprehensive set of tools for pricing, risk management, and modeling of financial derivatives. It is written in C++ and offers an extensive collection of classes and functions for various financial instruments, market data handling, and numerical methods.

QuantLib-SWIG provides the means to use QuantLib from a number of languages; currently their list includes Python, C#, Java and R.

SWIG, the Simplified Wrapper and Interface Generator, is a software development tool that connects programs written in C and C++ with a variety of high-level programming languages. It automates the process of creating language-specific interfaces, allowing you to seamlessly use QuantLib from Java.

This repository provides a SWIG language binding for QuantLib specifically for Java. The binding includes the necessary native libraries for Linux, macOS and Windows and is designed to be used with Maven, a popular build automation and dependency management tool for Java projects and all other build tools like Gradle, sbt which can include maven modules.

Installation

To use the QuantLib SWIG Java binding in your Maven-based project, follow these steps:

1. Add the QuantLib SWIG Java binding as a dependency in your Maven project's pom.xml file or add the dependency to your favorite build system:

<dependencies>
  <dependency>
    <groupId>io.github.ralfkonrad.quantlib_for_maven</groupId>
    <artifactId>quantlib</artifactId>
    <version>1.36.0</version>
  </dependency>
</dependencies>

2. Build your Maven project, and the QuantLib SWIG Java binding and its dependencies will be automatically downloaded and included.

Usage

To use the QuantLib SWIG Java binding in your project, import the necessary classes and packages from the QuantLib library. You can then use the QuantLib functionality in your Java code.

Here's an example of an unit test using the QuantLib SWIG Java binding to calculate the price of an European call option:

package io.github.ralfkonrad;

import org.junit.jupiter.api.Test;
import org.quantlib.*;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import java.time.LocalDate;

public class EuropeanOptionTest {
    private static final Logger LOGGER = LoggerFactory.getLogger(EuropeanOptionTest.class);

    @Test
    public void testEuropeanOption() {
        var localDate = LocalDate.of(2023, 7, 28);
        var today = Date.of(localDate);
        Settings.instance().setEvaluationDate(today);

        // Set up the option parameters
        var strikePrice = 105.0;
        var maturityDate = LocalDate.of(2023, 12, 31);

        // Create the option objects
        var payoff = new PlainVanillaPayoff(Option.Type.Call, strikePrice);
        var exercise = new EuropeanExercise(Date.of(maturityDate));
        var europeanOption = new EuropeanOption(payoff, exercise);

        // Create the market data object
        var dayCounter = new Actual360();
        var calendar = new NullCalendar();

        var spotPrice = 100.0;
        var spotPriceHandle = new QuoteHandle(new SimpleQuote(spotPrice));

        var riskFreeRate = 0.05;
        var riskFreeRateHandle = new QuoteHandle(new SimpleQuote(riskFreeRate));

        var volatility = 0.2;
        var volatilityHandle = new QuoteHandle(new SimpleQuote(volatility));

        var yieldTermStructure = new YieldTermStructureHandle(new FlatForward(today, riskFreeRateHandle, dayCounter));
        var blackVolTermStructure = new BlackVolTermStructureHandle(new BlackConstantVol(today, calendar, volatilityHandle, dayCounter));

        // Create the AnalyticEuropeanEngine
        var process = new BlackScholesProcess(spotPriceHandle, yieldTermStructure, blackVolTermStructure);
        var engine = new AnalyticEuropeanEngine(process);

        // Calculate the NPV for the European option
        europeanOption.setPricingEngine(engine);
        var npv = europeanOption.NPV();

        // Print the result
        LOGGER.info("Option price: {}", npv);
    }
}

Taken from quantlib_for_maven_test.

Please refer to the QuantLib documentation and examples for further details on using the QuantLib SWIG Java binding and its various functionalities.

Releases

The maven module tries to follow the release cycle of QuantLib (approx. every three to four month) and uses the same semantic versioning starting with v1.31.0. Therefore, a new release of QuantLib will mean a new version of this maven module.

Also, there will be regular SNAPSHOT-builds¹ reflecting the current development of QuantLib and QuantLib-SWIG.

Supported JDK version is jdk17

Starting with 1.33.0-SNAPSHOT we are building against jdk17.

The latest release for jdk11 was v1.32.0 as it is no longer under active support.

Supported Platforms

The QuantLib SWIG Java binding supports the following platforms:

• Linux
• macOS (arm64 architecture is supported since 1.36.0-SNAPSHOT)
• Windows

The binding should work on these platforms as long as the required dependencies are available for your specific operating system.

Build the maven artifact from source code

Have a look here if you are interested in build the maven artifact yourself using c++, cmake and maven.

Contributing

Contributions to this repository are welcome! If you encounter any issues, have suggestions for improvements, or would like to add support for additional platforms, please feel free to open an issue or submit a pull request.

Please keep in mind: This maven module does not add any new functionality to QuantLib and QuantLib-SWIG. It just uses their official releases² to build a maven module from it. If e.g. the above European option unit tests runs on your machine you probably do not want to open an issue or pull request here but more likely in QuantLib or QuantLib-SWIG itself.

When contributing, please adhere to the following guidelines:

• Clearly describe the problem or improvement in the issue or pull request.
• Provide detailed steps to reproduce the problem or demonstrate the proposed enhancement.
• Follow the existing code style and structure.
• Write clear and concise commit messages.

License

The QuantLib SWIG Java Binding is released under the BSD 3-Clause License. You can use it in both commercial and non-commercial projects. However, please note that the QuantLib library itself has its own licensing terms, and you should consult the official QuantLib documentation for further information.

Also, the module uses functionality by Adam Heinrich which is provided under the MIT License.

Footnotes

1. You find SNAPSHOT builds at https://s01.oss.sonatype.org/content/repositories/snapshots/io/github/ralfkonrad/quantlib_for_maven/quantlib/ ↩

2. Look at https://github.com/lballabio/QuantLib/releases and https://github.com/lballabio/QuantLib-SWIG/releases ↩