[Quantlib-users] QuantLib.NET

[Jens T. <jen...@st...>]

Hi all,

as some of you might have noticed, there is now a QuantLib.NET module in the
CVS. I have made a snapshot and some information available on

    http://jens-thiel.de/finance/quantlib

To use QL.NET you'll need at least the free .NET Runtime or Framework SDK --
see Downloads/Prerequisites on the website. The library has been ported to
C#, and is split in the QuantLib and dotNum assemblies, where the later
contains all the numeric code and optional support for native libraries
(like BLAS, LAPACK, Intel MKL, ATLAS, etc.). A subset of the functionality
has already been exposed to COM, making the resulting library available in
Excel 97 and the like.

I'm still working on the MC framework, and I've also put back the
Pricer/Engines stuff to rethink the current approach to favour something
FpML-ish (see the QuantLib.Tests directory for pricing options defined in
XML). There are still lots of things to be done, especially on the QA side,
like writing test cases, reviewing the code and completing the
documentation. I also need some help with XML/FpML and localization of the
resources.

Source code is available from the CVS, but you currently need Visual Studio
7 to compile the solution. Makefiles will be supplied in the near future, so
that the whole project can be compiled with the free SDK.

Any feedback or questions welcome!

Jens.