A free open-source pricing and valuation engine (quant library) for financial products, written entirely in the Java programming language.


News: A free open-source pricing and valuation engine (quant library) for financial products, written entirely in the Java programming language.

  1. I've been working on a project for a Hedge Fund for the past couple years and we've introduced Java for business logic to gradually replace the C++ legacy code previously used by the client. The database is Oracle. We've had to implement most of the models and mathematical algorithms by hand as we could not find suitable open-source quant library - we found jquantlib in 2009 but we didn't understand how to use it as there is no documentation and it's actually a cpp2java op so not very intuitive. Recently a fellow developer introduced us to Maygard. We intended to use it experimentally at first but then we found that it gave us fast and accurate results for pricing our exotic options. This API has literally saved my life and saved the team tons of work. I just felt I should share this new API on this website where I believe it will be appreciated by Java Developers who want to do Quantitative Finance programming but couldn't find the right API. Get a beta copy of Maygard here: https://code.google.com/p/maygard/ Would like to see what posters here think after they've tried it out. The results I'm getting are fantastic, it's almost too good to be true! Cheers, Prajit.

    Threaded Messages (10)

  2. Tests?[ Go to top ]

    I didn't see any unit tests in the git repository. And only one committer. Seriously, good work - but how can I trust this library?
  3. Source code[ Go to top ]

    Was thinking the same thing, but the source code is available so you can see what's going on under the hood. Hopefull some unit tests will materialise soon, the API is quite awesome.
  4. eGit/Eclipse[ Go to top ]

    I downloaded a read-only copy using eGit in Eclipse and compiled it myself. But it's exactly the same as maygard-beta-0.1.jar
  5. Yet another?[ Go to top ]

    Why? When we have OpenGamma and QuantLib?
  6. Not really[ Go to top ]

    Quantlib is not Java, i've used OpenGamma and its just not the same as maygard.Personally I've found maygard much more useful and intiutive. OpenGamma has solutions for fixed-income but I don't think it has much code for exotic options. Also OpenGamma is really a product targeted at marketing departments, it's not as open as I would like. Maygard is targeted specifically at Developers and Quantitative Analysts, who need to get work done fast and just need the right library to help them do their work - they don't really want bells and whistles. That said, OpenGamma does seem to be very good for bonds, but so is Maygard and Maygard has an impressive collection of out-of-the-box solutions of much more financial products.
  7. Hi, Prajit, I'm one of the founders of OpenGamma and the original architect, and I'm pretty surprised by your opinion of OpenGamma. You've stated that we don't have much code for exotic options. That surprises me as we've been compared very favorably to closed-source legacy systems on options, and have end-to-end support for more modern products like 2nd-generation (barrier and digital) FX Options and more complex equity products like equity variance swaps. Was there a particular instrument you couldn't find support for? I'm also very concerned that you've stated that OpenGamma is targetted at marketing departments and isn't open. We built the system from the ground up to make sure that every single point that a developer was likely to need was fully open and extensible. Our developer and customer base seems to agree. Was there some extension point that you were missing? The two systems are very different: - Maygard appears to be a pure analytics library (like Numerix, FinCad, or QuantLib) - The OpenGamma Platform is a full risk and analytics platform, which just happens to have a state-of-the-art analytics library in it. It also has things like market data management, web GUIs, trade data management, a real-time calculation engine, etc. It might be that you were attempting to use OpenGamma just as an analytics library. If that's what had you frustrated, we understand. It's not as easy as it should be, and we're working on making our analytics library easier to use without the rest of the Platform for situations where people want that. Anything I can help with?
  8. Thanks[ Go to top ]

    Thanks, however I can't afford consultants as I'm the consultant on this project. Maygard gives complete coverage of what I need right now. Everything I need for pricing bonds is in the API and it literally spoon feeds me when it comes to options. And, it comes with effective documentation in that practically all its algorithms can be found in Dr. Philip Barker's book 'Java Methods for Financial Engineering'. There's no mystery in it. I don't need a quantitative analyst to sit by my side. Anyone wanting to learn the API in-depth simply needs to read that book in conjunction.
  9. Quantlib[ Go to top ]

    Yes - Quantlib is not Java - but there is a SWIG port (not ideal - agreed). JQuantLib is around 60 to 65% pure Java port which never seems to progress beyond that stage. But then thats symptomatic of many open source project when the initial adrenalin rush has waned. Please - this is not a flame - I commend your efforts - but just an alternative view point
  10. The licensing of MayGard[ Go to top ]

    I saw that the licensing of the MayGard is either Artistic License or GPL.

    If you are consultant, and you give the source code to the client, does this mean that you need to open source the whole systems that you have distributed? Or at least under Artistic License, do you need to special arrangement before even distributing to your client?

  11. The licensing of MayGard[ Go to top ]

    Seems to me that its free to use software. You can use it but you can't sell it.