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Quantitative Financial Risk Management

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QuantRiskLib*

QuantRiskLib is a collection of standard risk functions and algorithms written in C#. Download entire library or just the dll.

Or look at each of the classes seperately:
  • BondMath.cs
    Keywords: C#, convexity, duration, yield
  • Copulas.cs
    Keywords: C#, copulas, Kendall's tau, Spearman's rho, Clayton copula, Gumbel copula, Frank copula, Joe copula, Independent copula, Farlie-Gumbel-Morgenstern copula, FGM copula, Monte Carlo
  • Distributions.cs
    Keywords: C#, beta distribution, binomial distribution, chi-squared distribution, Irwin-Hall distribution, lognormal distribution, Non-Central Chi-Squared Distribution, normal distribution, normal distribution probability density function, normal distribution cumulative distribution function, normal distribution inverse cumulative distribution function, Poisson distribution, standard normal distribution function, Student's t distribution, uniform distribution, F-distribution
  • Distributions.EVT.cs
    Keywords: C#, Pareto distribution, Gumbel distribution, Frechet distribution, Reversed Weibull distribution, Extreme Value Theory
  • GeometricSeries.cs
    Keywords: C#, finite geometric series, infinite geometric series, half-life of geomteric series
  • Matrix.cs
    Keywords: C#, matrix algebra, linear algebra, matrix class, matrix addition, matrix multiplication, transpose, matrix inverse, matrix decomposition, Cholesky decomposition, LU decomposition, Kroneker product
  • MMath.cs
    Keywords: C#, permutations, combinations, factorial, gamma function, beta function, incomplete beta function, regularized incomplete beta function
  • Moments.cs
    Keywords: C#, mean, standard deviation, skewness, kurtosis, covariance, correlation, coskewness, cokurtosis
  • MonteCarlo.cs
    Keywords: C#, Monte Carlo, random nomral, random Student's t, random Poisson
  • Options.cs
    Keywords: C#, options, Black-Scholes, Black-Scholes-Merton, Greeks, European options, American options, Barone Adesi and Whaley, Bjerksund and Stensland, Cox-Ross-Rubinstein Binomial Tree, implied vol
  • Regression.cs
    Keywords: C#, regression analysis, linear regression, OLS regression, weighted least squares regression, betas, multivariate regression, R-squared, t-statistics, F-statistic, tracking error
  • Roots.cs
    Keywords: C#, root finding, secant method, Newton's method, Newton-Raphson, Halley method
  • SerialCorrelationCorrection.cs
    Keywords: C#, serial correlation correction, autocorrelation correction, variance, covariance, correlation, VaR
  • ValueAtRisk.cs
    Keywords: C#, VaR, Value at Risk, parametric, historical, hybrid

Sample Apps*

  • This sample application demonstrates how to calculate the mean, standard deviation, skewness, kurtosis, and beta for several securities.
    Keywords: C#, stock returns, equity returns, risk statistics

*This code is freeware. The methods are not proprietary. Feel free to use, modify and redistribute. That said, if you plan to use or redistribute give credit where credit is due and provide a link back to Risk256.com (or don't remove the link and references already in the code). The code is intended primarily as an educational tool. No warranty is made as to the code's accuracy. Use at your own risk.