The Quantlib project is aimed at providing a comprehensive software
framework for quantitative finance. QuantLib is a free open-source
library for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then
exported to different languages such as Python, Ruby, and Scheme. An
initial Excel add-in is also available. There are ports to the .NET
framework in C# (http://www.quantlib.net" and
http://www.capetools.net/). Bindings to other languages (including
Java), and porting to ddd, Matlab/Octave, S-PLUS/R, Mathematica,
COM/CORBA/SOAP architectures, FpML, are under consideration. See the
extensions page for details.

Appreciated by quantitative analysts and developers, it is intended
for academics and practitioners alike, eventually promoting a stronger
interaction between them. QuantLib offers tools that are useful both
for practical implementation and for advanced modeling, with features
such as market conventions, yield curve models, solvers, PDEs, Monte
Carlo (low-discrepancy included), exotic options, VAR, and so on.

QuantLib requires Boost, which is also available from SlackBuilds.org.