QLNet 1.7.0.1

A free/open-source library for quantitative finance

There is a newer version of this package available.
See the version list below for details.
Install-Package QLNet -Version 1.7.0.1
dotnet add package QLNet --version 1.7.0.1
<PackageReference Include="QLNet" Version="1.7.0.1" />
For projects that support PackageReference, copy this XML node into the project file to reference the package.
paket add QLNet --version 1.7.0.1
The NuGet Team does not provide support for this client. Please contact its maintainers for support.
#r "nuget: QLNet, 1.7.0.1"
#r directive can be used in F# Interactive, C# scripting and .NET Interactive. Copy this into the interactive tool or source code of the script to reference the package.
// Install QLNet as a Cake Addin
#addin nuget:?package=QLNet&version=1.7.0.1

// Install QLNet as a Cake Tool
#tool nuget:?package=QLNet&version=1.7.0.1
The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Release Notes

QLNet 1.7
=========================

QLNet 1.7 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

TERM STRUCTURES

+ Added FittedBondDiscountCurve with example project.

INTEREST RATES

+ Added rate helper to bootstrap on cross-currency swaps .
 The curve to be bootstrapped can be the one for either of the two currencies.

+ Added the possibility for bootstrap helpers to define their pillar
 date in different ways . For each helper, the date of the corresponding
 node can be defined as the maturity date of the corresponding instrument,
 as the latest date used on the term structure to price the instrument,
 or as a custom date. Currently, the feature is enabled for FRAs and swaps.

+ Added the possibility to pass weight when fitting a bond discount
 curve. Also, it is now possible to fit a spread over an existing
 term structure.

INFLATION

+ Added Kerkhof seasonality model.

+ Retrieve inflation fixings from the first day of the month .
 This avoids the need to store them for each day of the corresponding month.

VOLATILITY

+ Improve consistency between caplet stripping and pricing.

MODELS

+ Added Heston model.

SETTINGS

+ Make SavedSettings disposable and update tests accordingly.
 Now the full test suite can be launched from Visual Studio IDE
 without errors ( false negative ) .

DATE/TIME

+ Added Romanian and Israelian calendars.

+ Added ECB reserve maintenance periods for 2016.

+ Updated South Korean calendar until the end of 2032.

+ Added new Mountain Day holiday for Japan.

+ Remove MLK day from list of US holidays before 1983.

+ Added Christmas Eve to BOVESPA holidays.

+ Added intraday component to dates. Date specifications now include hours,
 minutes, seconds and milliseconds. Day counters are aware of the added data
 and include them in results.

MATH

+ Added polynomial and abcd functions.

+ Added Pascal triangle coefficients.

+ Added Goldstein line-search method.

PATTERNS

+ Use WeakEventSource in Observer/Observable pattern to avoid memory leaks.


Dependencies

This package has no dependencies.

NuGet packages (6)

Showing the top 5 NuGet packages that depend on QLNet:

Package Downloads
QuantConnect.Common
QuantConnect LEAN Engine: Common Project - A collection of common definitions and utils
QDMSClient
Client library for the QUSMA Data Management System.
FxVolEngine2020
Package Description
QuantConnect.Common.Unofficial
Package Description
AE.Utils.Calculations.Derivatives
Internal use only.

GitHub repositories (2)

Showing the top 2 popular GitHub repositories that depend on QLNet:

Repository Stars
QuantConnect/Lean
Lean Algorithmic Trading Engine by QuantConnect (C#, Python)
amaggiulli/QLNet
QLNet C# Library

Version History

Version Downloads Last updated
1.12.0-preview.42 1,106 3/2/2021
1.12.0-preview.41 40 3/2/2021
1.12.0-preview.40 39 2/24/2021
1.12.0-preview.39 45 2/24/2021
1.12.0-preview.28 151 9/14/2020
1.12.0-preview.26 855 5/20/2020
1.12.0-preview.24 238 5/11/2020
1.12.0-preview.1 128 5/7/2020
1.11.4 29,485 4/22/2020
1.11.4-preview.23 134 4/22/2020
1.11.4-preview.17 947 4/2/2020
1.11.4-preview.14 1,196 1/29/2020
1.11.4-preview.13 237 1/20/2020
1.11.4-preview.12 208 1/20/2020
1.11.4-preview.11 216 1/20/2020
1.11.4-preview.10 208 1/18/2020
1.11.4-preview.9 158 1/17/2020
1.11.4-preview.8 193 1/17/2020
1.11.4-preview.7 749 11/19/2019
1.11.4-preview.6 161 10/29/2019
1.11.4-preview.5 151 10/29/2019
1.11.4-preview.4 978 9/20/2019
1.11.4-preview.2 325 8/16/2019
1.11.4-feature.cleanup.23 155 4/3/2020
1.11.4-feature.cleanup.21 159 4/3/2020
1.11.4-feature.cleanup.19 199 4/3/2020
1.11.4-feature.cleanup.18 161 4/3/2020
1.11.3 44,406 6/5/2019
1.11.3-preview.24 202 6/5/2019
1.11.3-preview.23 236 5/24/2019
1.11.3-preview.22 192 5/6/2019
1.11.3-preview.21 190 5/3/2019
1.11.3-preview.20 183 4/19/2019
1.11.3-preview.17 226 4/11/2019
1.11.3-preview.16 187 4/10/2019
1.11.3-preview.15 287 3/19/2019
1.11.3-preview.14 183 3/13/2019
1.11.3-preview.13 177 3/13/2019
1.11.3-preview.12 1,256 1/2/2019
1.11.3-preview.11 287 11/27/2018
1.11.3-preview.10 267 11/26/2018
1.11.3-preview.9 838 9/27/2018
1.11.3-preview.7 293 9/21/2018
1.11.3-preview.6 294 9/20/2018
1.11.3-preview.5 323 9/12/2018
1.11.3-preview.4 356 8/24/2018
1.11.3-preview.3 319 8/23/2018
1.11.3-preview.2 360 8/3/2018
1.11.3-preview.1 340 8/2/2018
1.11.3-feature.MTFIX.19 173 4/18/2019
1.11.3-feature.MTFIX.18 175 4/18/2019
1.11.2 32,101 7/25/2018
1.11.2-feature.fix.accrual.4 464 7/13/2018
1.11.2-feature.callable.oas.10 361 7/25/2018
1.11.2-feature.callable.oas.9 353 7/25/2018
1.11.1 4,699 6/13/2018
1.11.0 813 6/10/2018
1.10.0 9,296 10/30/2017
1.9.2 91,099 4/24/2017
1.9.1 1,342 1/25/2017
1.9.0.1 796 1/19/2017
1.8.0 5,505 9/9/2016
1.7.0.1 3,042 5/20/2016
1.6.0 1,142 3/24/2016
1.5.0.1 1,434 11/18/2015
1.4.0.30 972 11/11/2015
1.4.0.28 894 11/11/2015
1.4.0.27 1,196 8/21/2015
1.4.0.25 937 8/21/2015
1.4.0.24 934 8/18/2015
1.4.0.4 1,654 10/28/2014
1.4.0.3 2,200 9/22/2014
1.3.0.1 4,236 3/6/2014
1.2.0.2 1,334 12/2/2013
1.2.0 1,477 10/30/2013
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