The Zeliade team develops since several years ZQF (Zeliade Quant Framework), a quantitative library for pricing and risk management of derivatives across the main markets.

An extensible and cross plateform framework for pricing and risk management


  • Pricing, calibration & risk framework : ZQF provides a comprehensive production grade set of pricers and calibrators for the mainstream quantitative models. A particular focus is done on:

    • The credit markets : CDS, Indices, Indice Tranches, Bespoke Tranches, Options, with fast analytic or semi-analytic formulas for pricegreeks and stress testing.

    • the equity and fx markets: state of art parametric volatility surface models.

  • MC engine: a generic MonteCarlo engine is available, providing builtin models, processes and tasks. The engine can be extended with user defined model and tasks through a C# SDK. Main points of focus:

    • Natively support multithreading calculation

    • Scripting capabilities : a simple and powerful product DSL is available for coding products and portfolios.

    • Modern tech & cross Platform: ZQF is a 100% C# native library based on NET 4.5.2 running on both windows and linux/mono. It can be invoked from python, from Jupyter notebooks and from Excel


“ZQF is the only framework I could find on the market that could help my team get up to speed right away thanks to its library of products and models, be very productive in our work and also provide us with the option of easily moving our work to a production level. This was key in our decision, as was the availability of the source code.”

Head of Quants, Risk Department, Large Bank

“Their products are just smart: they provide unmatched calibration and speed, including senior tranches. To me this can only be achieved by a team that excels in both IT and quant”

Manager, Hedge Fund