QuantLib .Net/C# Bindings

The QuantLib financial analytics library can be used from the .Net family of languages through a wrapper interface. This interface is generated automatically using the SWIG and allows safe and efficient use of the underlying C++ code.

At BN Algorithms we have substantial experience with delivering such wrappers to clients which include exchanges, third party software providers and fund management companies. If you’d like us to help you with integration of QauntLib in your .Net application, contact us at webs@bnikolic.co.uk.

Builds of QuantLib for C#

The software is licensed to viewers of this page under the QuantLib license. Please note there is no warranty of any kind for this software.

QuantLib Ver QL-SWIG Ver OS Architecture .Net Version Download Link
V1.24 V1.24 Win 10 X86_64 5 download
V1.23 V1.23 Win 10 X86_64 5 download

The above software is licensed by BN Algorithms Ltd to viewers of this page under the QuantLib license. Please note there is no warranty of any kind for this software. If you encounter problems with these builds please contact us at webs@bnikolic.co.uk .

Example of using QuantLib from C#

Below is an example from the QuantLib-SWIG repository. You can find the other public examples at https://github.com/lballabio/QuantLib-SWIG/tree/master/CSharp/examples :


/*
 Copyright (C) 2005 Dominic Thuillier

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

using System;
using QuantLib;

namespace BermudanSwaption
{
    class Run
    {
        private const int numRows = 5;
        private const int numCols = 5;

        private static int[] swapLenghts = { 1, 2, 3, 4, 5 };
        private static double[] swaptionVols = {
            0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
            0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
            0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
            0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
            0.1000, 0.0950, 0.0900, 0.1230, 0.1160 };

        private static void calibrateModel(
            ShortRateModel model,
            CalibrationHelperVector helpers,
            double lambda ) 
        {
            Simplex om = new Simplex( lambda );
            model.calibrate(helpers, om,
                            new EndCriteria(1000, 250, 1e-7, 1e-7, 1e-7));

            // Output the implied Black volatilities
            for (int i=0; i<numRows; i++) 
            {
                int j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
                int k = i*numCols + j;
                double npv = helpers[i].modelValue();
                double implied = helpers[i].impliedVolatility(
                    npv,
                    1e-4,
                    1000,
                    0.05,
                    0.50 );
                double diff = implied - swaptionVols[k];

                Console.WriteLine( "{0}x{1}: model {2}, market {3} ({4})",
                    i+1, swapLenghts[j], implied, swaptionVols[k], diff );
            }
        }

        /// <summary>
        /// The main entry point for the application.
        /// </summary>
        [STAThread]
        static void Main(string[] args)
        {
            DateTime startTime = DateTime.Now;

            Date todaysDate = new Date(15, Month.February, 2002);
            Calendar calendar = new TARGET();
            Date settlementDate = new Date(19, Month.February, 2002);
            Settings.instance().setEvaluationDate( todaysDate );

            // flat yield term structure impling 1x5 swap at 5%
            Quote flatRate = new SimpleQuote(0.04875825);
            FlatForward myTermStructure = new FlatForward(
                settlementDate,
                new QuoteHandle( flatRate ),
                new Actual365Fixed() );
            RelinkableYieldTermStructureHandle rhTermStructure =
                new RelinkableYieldTermStructureHandle();
            rhTermStructure.linkTo( myTermStructure );

            // Define the ATM/OTM/ITM swaps
            Period fixedLegTenor = new Period(1,TimeUnit.Years);
            BusinessDayConvention fixedLegConvention =
                BusinessDayConvention.Unadjusted;
            BusinessDayConvention floatingLegConvention =
                BusinessDayConvention.ModifiedFollowing;
            DayCounter fixedLegDayCounter =
                new Thirty360( Thirty360.Convention.European );
            Period floatingLegTenor = new Period(6,TimeUnit.Months);
            double dummyFixedRate = 0.03;
            IborIndex indexSixMonths = new Euribor6M( rhTermStructure );

            Date startDate = calendar.advance(settlementDate,1,TimeUnit.Years,
                floatingLegConvention);
            Date maturity = calendar.advance(startDate,5,TimeUnit.Years,
                floatingLegConvention);
            Schedule fixedSchedule = new Schedule(startDate,maturity,
                fixedLegTenor,calendar,fixedLegConvention,fixedLegConvention,
                DateGeneration.Rule.Forward,false);
            Schedule floatSchedule = new Schedule(startDate,maturity,
                floatingLegTenor,calendar,floatingLegConvention,
                floatingLegConvention,DateGeneration.Rule.Forward,false);
            VanillaSwap swap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, dummyFixedRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter());
            DiscountingSwapEngine swapEngine =
                new DiscountingSwapEngine(rhTermStructure);
            swap.setPricingEngine(swapEngine);
            double fixedATMRate = swap.fairRate();
            double fixedOTMRate = fixedATMRate * 1.2;
            double fixedITMRate = fixedATMRate * 0.8;

            VanillaSwap atmSwap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, fixedATMRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter() );
            VanillaSwap otmSwap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, fixedOTMRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter());
            VanillaSwap itmSwap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, fixedITMRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter());
            atmSwap.setPricingEngine(swapEngine);
            otmSwap.setPricingEngine(swapEngine);
            itmSwap.setPricingEngine(swapEngine);

            // defining the swaptions to be used in model calibration
            PeriodVector swaptionMaturities = new PeriodVector();
            swaptionMaturities.Add( new Period(1, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(2, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(3, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(4, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(5, TimeUnit.Years) );

            CalibrationHelperVector swaptions = new CalibrationHelperVector();

            // List of times that have to be included in the timegrid
            DoubleVector times = new DoubleVector();

            for ( int i=0; i<numRows; i++) {
                int j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
                int k = i*numCols + j;
                Quote vol = new SimpleQuote( swaptionVols[k] );
                SwaptionHelper helper = new SwaptionHelper(
                                swaptionMaturities[i],
                               new Period(swapLenghts[j], TimeUnit.Years),
                               new QuoteHandle(vol),
                               indexSixMonths,
                               indexSixMonths.tenor(),
                               indexSixMonths.dayCounter(),
                               indexSixMonths.dayCounter(),
                               rhTermStructure );
                swaptions.Add( helper );
                times.AddRange( helper.times() );
            }

            // Building time-grid
            TimeGrid grid = new TimeGrid( times, 30);

            // defining the models
            // G2 modelG2 = new G2(rhTermStructure));
            HullWhite modelHW = new HullWhite( rhTermStructure );
            HullWhite modelHW2 = new HullWhite( rhTermStructure );
            BlackKarasinski modelBK = new BlackKarasinski( rhTermStructure );

            // model calibrations

            Console.WriteLine( "Hull-White (analytic formulae) calibration" );
            for (int i=0; i<swaptions.Count; i++)
                swaptions[i].setPricingEngine(
                                       new JamshidianSwaptionEngine(modelHW));

            calibrateModel( modelHW, swaptions, 0.05);

	Console.WriteLine( "Hull-White (numerical) calibration" );
            for (int i=0; i<swaptions.Count; i++)
                swaptions[i].setPricingEngine(
                                       new TreeSwaptionEngine(modelHW2,grid));

            calibrateModel(modelHW2, swaptions, 0.05);

            Console.WriteLine( "Black-Karasinski (numerical) calibration" );
            for (int i=0; i<swaptions.Count; i++)
                swaptions[i].setPricingEngine(
                                        new TreeSwaptionEngine(modelBK,grid));

            calibrateModel(modelBK, swaptions, 0.05);

            // ATM Bermudan swaption pricing

            Console.WriteLine( "Payer bermudan swaption struck at {0} (ATM)",
                               fixedATMRate );

            DateVector bermudanDates = new DateVector();
            Schedule schedule = new Schedule(startDate,maturity,
                new Period(3,TimeUnit.Months),calendar,
                BusinessDayConvention.Following,
                BusinessDayConvention.Following,
                DateGeneration.Rule.Forward,false);

            for (uint i=0; i<schedule.size(); i++)
                bermudanDates.Add( schedule.date( i ) );
            Exercise bermudaExercise = new BermudanExercise( bermudanDates );

            Swaption bermudanSwaption =
                new Swaption( atmSwap, bermudaExercise);
            bermudanSwaption.setPricingEngine(
                              new TreeSwaptionEngine(modelHW, 50));
            Console.WriteLine( "HW: " + bermudanSwaption.NPV() );

            bermudanSwaption.setPricingEngine(
                                       new TreeSwaptionEngine(modelHW2, 50));
            Console.WriteLine( "HW (num): " + bermudanSwaption.NPV() );

            bermudanSwaption.setPricingEngine(
                                       new TreeSwaptionEngine(modelBK, 50));
            Console.WriteLine( "BK (num): " + bermudanSwaption.NPV() );

            DateTime endTime = DateTime.Now;
            TimeSpan delta = endTime - startTime;
            Console.WriteLine();
            Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
            Console.WriteLine();
        }
    }
}