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.