What library should I use for financial product pricing?

Posted by watkins on Stack Overflow See other posts from Stack Overflow or by watkins
Published on 2010-02-04T18:21:25Z Indexed on 2010/05/19 20:30 UTC
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finance

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.NET

I work in software division of a large bank and we are considering writing our own financial library. However, before we embark in such a project, I want to check that there is no such library on the market.

We would need to have the following feature:

Pricing of derivative products (options, futures, swaps, etc)
Different financial models
Hedging / risk management

Open source would be great if it's stable. Otherwise, we would purchase the source code. We are looking for C#/.NET.

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