Learn QUANTLIB with Real Code Examples
Updated Nov 27, 2025
Architecture
C++ core with modular design
Instrument classes abstract financial products
Pricing engines separate from instruments
Date, calendar, and schedule utilities
Optional language bindings for Python, R, .NET
Rendering Model
C++ objects represent instruments, curves, and engines
Python or other bindings provide access to computations
Pricing engines compute NPV and risk metrics
Monte Carlo and numerical methods for simulations
Results can be logged, exported, or visualized externally
Architectural Patterns
Instrument-Engine separation
Handle-Quote pattern for market data
Term structure abstraction
Event-driven recalculation
Modular numerical solvers
Real World Architectures
Derivative pricing engines for banks
Portfolio risk management platforms
Insurance liability and reserve modeling
Algorithmic trading backtesting
Financial research and academic studies
Design Principles
Open-source and modular architecture
Separation of instruments and pricing engines
Extensible for new models and products
High-performance numerical computations
Cross-platform and multi-language support
Scalability Guide
Use batch processing for large portfolios
Cache term structures for efficiency
Vectorize computations in Python
Parallelize Monte Carlo simulations
Profile and optimize C++ code paths
Migration Guide
Update QuantLib to latest version
Test existing scripts against new APIs
Refactor deprecated functions
Verify model and engine outputs
Update language bindings if necessary