At finmath.net you find algorithms and methodologies related to mathematical finance:
 A Java library with algorithm and methodologies related to mathematical finance.
 A collection of spreadsheets being applications of the Java library.
 Associated documentation and links to source code and binary repositories.
Library (Download)
Version 1.2.13 of finmathlib may be download as finmathlib1.2.13.zip.
Maven repository with current and previous releases: mvn.finmath.net.
The material is released under the license contained in LICENSE.txt. See also the file NOTICE.txt.
Compatibility and Requirements
finmath lib is now on Java 8 (since February 2nd, 2014), but a Java 6 version
is provided too.
Note: For convenience the Eclipse project file provided is configured to use the Java 6 code base
and the maven pom defaults to the Java 6 code base.
To build the Java 8 version use the profile "java8", i.e. the maven command line option "P java8"
Laboratory (Spreadsheets, Applets and Demos using finmath lib)

Spreadsheets providing methodologies from mathematical finance (using finmath lib).
Examples:

Interest Rate Curve Calibration

The sheet calibrates a set of different curves (including discounting curves (e.g., OIS) and forward curves) from swaps.

LIBOR Market Model

The sheet allows to create a LIBOR market model calibrated to a given forward curve
and given swaptions. The parametrised volatility and correlation can be inspected.
Generated interest rate scenarios can ben extracted.

More...

More sheets related to methodologies from mathematical finance.

Java Applets illustrating some topics from mathematical finance (using finmath lib).
Source Code (Subversion and Git Repositories)

Projects
Source code is provided in the form of two projects (including project files for the Eclipse IDE):

finmath lib, representing the core mathematical finance library, and

finmath experiments, providing examples for using the library and unit tests.
Repositories
Source code is provided via a subversion repository and Github.
Documentation

Java doc API description.

References to documentation of the methodology and theoretical background.