QuantLib.NET

Overview


QuantLib.NET


The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib.NET is an open source library for modeling, trading, and risk management in real-life.

Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve bootstrapping, solvers, PDEs, Monte Carlo, exotic options, VAR, and so on. More complex tools such as interest rate models are next on the to-do list.

Resources

Namespaces

Stochastix.Business
Business objects provide eg. calendars to determine whether a date is a business day for a given market, day counters to measure the time between two dates (for interest rate calculations) and currencies.
Stochastix.Numerics
Basic numeric calculation objects like Vector, Matrix, Solvers, Distributions, etc.
Stochastix.QuantLib
Quantitative finance framework with features such as yield curve bootstrapping, Monte Carlo, exotic options, VAR, etc.
Stochastix.Random
Random number and low discrepancy sequence generators.
Stochastix.Utilities
Everyday helpers.

License

Our free software is 100% GPL, and if yours is also 100% GPL (or OSI compliant), then you never have to pay us for the licences. See included LICENSE.TXT for details.

Updates

Updates will be made available from the Stochastix.NET website, which is currently under construction :-(

Contact

Technical questions, feature requests or bug reports should be directed to the approbiate web pages or the quantlib-users mailing list. See Resources for details. You can use our contact form for any other questions.