Quantitative finance/mathematical library for Java [closed]

Question

I am currenlty working on a project which relies on a couple of mathematical/statistical/financial tools which I would ideally like to include in one (perhaps several) libraries. What I would like to have is:

1. Statistical measures - modes, variance etc.
2. probability distributions + sampling from them available
3. financial models for e.g. option pricing

Does anyone have an idea which libraries might be useful?

Answer 1

I do quite a bit of numerical work in Java and Clojure so hopefully my perspective can be useful.

For 1. and 2. here are some options to explore:

• Parallel Colt - very comprehensive, high-performance mathematical library. Good for lots of vector processing which you get in finance apps.
• Incanter - R-like statistical library for Clojure (very easy to embed in a Java app). Has pretty much all the statistical tools you could desire, plus is very easy to extend if you want to create your own DSLs
• EJML - probably the fastest matrix library available in Java
• Apache Commons Math - handy collection of maths and statistical tools

For 3. (financial models) these tend to be pretty bespoke to the problem you are trying to solve. I doubt you would want to use an off-the-shelf solution even if it existed. I'd suggest developing yourself using the toolkits mentioned above.

Answer 2

QuantLib apparently has Java bindings via SWIG.