QLNet 1.9.1

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There is a newer version of this package available.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 1.9.1
dotnet add package QLNet --version 1.9.1
<PackageReference Include="QLNet" Version="1.9.1" />
For projects that support PackageReference, copy this XML node into the project file to reference the package.
paket add QLNet --version 1.9.1
The NuGet Team does not provide support for this client. Please contact its maintainers for support.
#r "nuget: QLNet, 1.9.1"
#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=1.9.1

// Install QLNet as a Cake Tool
#tool nuget:?package=QLNet&version=1.9.1
The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Release Notes

QLNet 1.9
=========================

QLNet 1.9 stable version.

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

FRAMEWORK

+ Multiframework deployment on NUGET ( 4.0, 4.5 and Core 1.1 )
+ Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
+ Optimized npvbps calculation
+ List and InitializedList refactoring

CASHFLOWS

+ Fixed CappedFlooredCoupon factory

INSTRUMENTS

+ Added CompositeInstrument.
+ Added DividendBarrierOption.
+ Added ForwardVanillaOption.
+ Added LookbackOption.
+ Added CMS Helper.
+ Added BarrierOption.
+ Added Cliquet Option.
+ Added DoubleBarrier Option.
+ Added CPICapFloor.
+ Added CPISwap.

DATE/TIME

+ Added ECB dates for 2017.
+ Fixed rule for the Japanese Mountain Day holiday.
+ Fixed United States holidays before 1971.

INDEXES

+ Added Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.

MATH

+ Added Matrix inverse calculation with Crout's LU decomposition.
+ Added VannaVolga Interpolation.

TERMSTRUCTURES

+ Added Swaption volatility cube.
+ Allow negative jumps in yield term structures.

PRICING ENGINES

+ Added ForwardVanillaEngine engine.
+ Added AnalyticContinuousFixedLookbackEngine engine.
+ Added AnalyticContinuousFloatingLookbackEngine engine.
+ Added AnalyticContinuousPartialFixedLookbackEngine engine.
+ Added AnalyticContinuousPartialFloatingLookbackEngine engine.
+ Added AnalyticBinaryBarrierEngine.
+ Added AnalyticCliquetEngine.
+ Added AnalyticPerformanceEngine.
+ Added BlackDeltaCalculator and DeltaVolQuote.
+ Added VannaVolga BarrierEngine.
+ Added AnalyticDoubleBarrierEngine.
+ Added VannaVolgaDoubleBarrierEngine.
+ Added WulinYongDoubleBarrierEngine.
+ Added InterpolatingCPICapFloorEngine.

TESTS

+ Added theta pertubation in AmericanOption & DividendOption tests.
+ Added tests for China SSE and IB calendars and a missing Chinese holiday
+ Added Test : Chambers-Nawalkha implied vol approximation
+ Added CapFloored coupon tests.
+ Added Digital Coupon tests.

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 1,309 3/2/2021
1.12.0-preview.41 45 3/2/2021
1.12.0-preview.40 49 2/24/2021
1.12.0-preview.39 53 2/24/2021
1.12.0-preview.28 152 9/14/2020
1.12.0-preview.26 857 5/20/2020
1.12.0-preview.24 240 5/11/2020
1.12.0-preview.1 130 5/7/2020
1.11.4 30,158 4/22/2020
1.11.4-preview.23 136 4/22/2020
1.11.4-preview.17 948 4/2/2020
1.11.4-preview.14 1,198 1/29/2020
1.11.4-preview.13 239 1/20/2020
1.11.4-preview.12 210 1/20/2020
1.11.4-preview.11 218 1/20/2020
1.11.4-preview.10 209 1/18/2020
1.11.4-preview.9 160 1/17/2020
1.11.4-preview.8 195 1/17/2020
1.11.4-preview.7 750 11/19/2019
1.11.4-preview.6 162 10/29/2019
1.11.4-preview.5 152 10/29/2019
1.11.4-preview.4 980 9/20/2019
1.11.4-preview.2 327 8/16/2019
1.11.4-feature.cleanup.23 156 4/3/2020
1.11.4-feature.cleanup.21 161 4/3/2020
1.11.4-feature.cleanup.19 201 4/3/2020
1.11.4-feature.cleanup.18 162 4/3/2020
1.11.3 45,504 6/5/2019
1.11.3-preview.24 204 6/5/2019
1.11.3-preview.23 237 5/24/2019
1.11.3-preview.22 193 5/6/2019
1.11.3-preview.21 191 5/3/2019
1.11.3-preview.20 185 4/19/2019
1.11.3-preview.17 227 4/11/2019
1.11.3-preview.16 189 4/10/2019
1.11.3-preview.15 289 3/19/2019
1.11.3-preview.14 184 3/13/2019
1.11.3-preview.13 180 3/13/2019
1.11.3-preview.12 1,257 1/2/2019
1.11.3-preview.11 288 11/27/2018
1.11.3-preview.10 268 11/26/2018
1.11.3-preview.9 839 9/27/2018
1.11.3-preview.7 294 9/21/2018
1.11.3-preview.6 295 9/20/2018
1.11.3-preview.5 324 9/12/2018
1.11.3-preview.4 357 8/24/2018
1.11.3-preview.3 320 8/23/2018
1.11.3-preview.2 361 8/3/2018
1.11.3-preview.1 341 8/2/2018
1.11.3-feature.MTFIX.19 175 4/18/2019
1.11.3-feature.MTFIX.18 176 4/18/2019
1.11.2 32,369 7/25/2018
1.11.2-feature.fix.accrual.4 465 7/13/2018
1.11.2-feature.callable.oas.10 362 7/25/2018
1.11.2-feature.callable.oas.9 354 7/25/2018
1.11.1 4,738 6/13/2018
1.11.0 814 6/10/2018
1.10.0 9,297 10/30/2017
1.9.2 91,479 4/24/2017
1.9.1 1,344 1/25/2017
1.9.0.1 799 1/19/2017
1.8.0 5,507 9/9/2016
1.7.0.1 3,044 5/20/2016
1.6.0 1,144 3/24/2016
1.5.0.1 1,437 11/18/2015
1.4.0.30 976 11/11/2015
1.4.0.28 896 11/11/2015
1.4.0.27 1,198 8/21/2015
1.4.0.25 939 8/21/2015
1.4.0.24 935 8/18/2015
1.4.0.4 1,658 10/28/2014
1.4.0.3 2,207 9/22/2014
1.3.0.1 4,303 3/6/2014
1.2.0.2 1,341 12/2/2013
1.2.0 1,485 10/30/2013
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