Welcome to the first official QuantLib.NET release. This is a port of the original QuantLib (C++) to the .NET Framework. The port has been done in C#, providing full compatibilty with the CLI. QuantLib.NET can also use existing native libraries (eg. BLAS, MKL, ATLAS) to speed up computation and random number generation.
This release is still missing short rate models and the original "pricing engine" implementation, which is currently redone based on XML Schema. Your help and feedback on XML support is appreciated.
You must install either the .NET Framework SDK or the .NET Redistributable before running QuantLib setup. Both of them are available in localized versions from Microsoft Downloads, or may already be on your machine (eg. with the MS Developer Studio 7.0 or as a recommended update):
The QuantLib installer also requires MSI 2.0 for Windows 95, 98 and ME or NT 4sp6 and 2000. You do not need to update Windows XP or later versions. See .NET Framework 1.0 Redistributable Prerequisites for other basic requirements.
You will find the full class library documentation for all assemblies and namespaces in the file QuantLib.chm which has been installed to the application folder chosen during setup. A link from the programs menu is also provided.
You can run the pre-compiled unit tests by starting NUnitGUI.exe. Browse and Run each of Stochastix.*.Tests.exe. One test will currently fail because of missing test data which will be embedded in the next release.
To use the installed assemblies you need to add a reference to one or more of the Stochastix.*.dll assemblies in your own project. .xml (intellisense/auto-completion) and .chm files (generated class documentation / help file) are also included.
QuantLib.NET has been tested with the .NET framework v1.0.3705. We do not have any reports on 1.1 Beta, Rotor or mono:: compatibility yet.
Stochastix.Numerics contains support for ATLAS and the Intel Math Kernel Library (version 5.2 and version 6 beta, which is necessary for native RNGs in Stochastix.Random). Other BLAS compatible libraries may be used, too.
I did not focus on COM interop yet, but some classes can already be used from VB, VBA or Excel. This has to be improved in the future.
QuantLib.NET is Copyright © 2001-2003 Jens Thiel and others. All rights reserved.
QuantLib.NET is released under the GNU
General Public License, but is also available commercially. See the included
LICENSE.TXT for details.