Quantra

Quantra is an open-source derivatives pricing platform. It runs a C++ QuantLib engine, a Python orchestration API, and a web portal in a single repository under the AGPL-3.0 license. The platform prices interest-rate, credit, inflation, and equity derivatives on self-hosted infrastructure.

It includes connectors for four public market-data sources: the Bank of England, the US Treasury, the ECB, and FRED. A normalization pipeline turns these feeds into a unified catalog of curves and products. Users can add their own data sources through the same interface, whether licensed vendor streams, internal systems, or CSV files. Documentation covers ingestion and scheduling; a live demo operates at app.quantra.io.

Six product types are supported. Interest-rate swaps use vanilla fixed-for-float structures off real OIS curves or custom indices. Bonds cover fixed and floating-rate instruments priced from government or swap curves with market-data-resolved quotes. Swaptions rely on constant and ATM-matrix volatility surfaces together with a sampling workbench and Hull-White calibration. Credit default swaps build credit curves from par spreads or flat hazard rates and price protection legs via QuantLib. Equity options handle European contracts on Black volatility surfaces.

Installation proceeds through a GitHub repository by cloning the project and running docker compose up, which starts the portal at a local address. The tool addresses the need for transparent, customizable derivatives pricing without reliance on proprietary services.