I am writing some financial analysis software and need to do some calculations concerning stock options. I need to calculate the current value of a short position if it were closed by selling, by getting exercised, or by expiration. However, I do not have a good method to test if my calculations are accurate. Ideally, I would have a C++ library that could do these calculations for me. But, I am willing to use practically any language MATLAB, C++, Perl, R, Java, c#, etc to build a unit test against my code.
Does anyone know of a good financial analysis library?
I suggest you check out if QuantLib can help you.