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NQuantLib64

A free/open-source quantitative finance library written in C++ and connected to C# via SWIG.

Uses QuantLib-1.8 for 64-bit systems.

NuGet Package

https://www.nuget.org/packages/NQuantLib64/

How to Create the NQuantLib64 NuGet Package

These instructions assume you are using Visual Studio 2013 and NuGet Package Explorer. Note that some of the sub-steps in steps 4, 12, and 14 may have already been implemented by the QuantLib developers.

  1. Download Boost and build in 64-bit mode.
    1. For help building, go here and here.
  2. Download both QuantLib and QuantLib-SWIG.
  3. Open the QuantLib solution.
  4. In the QuantLib project Properties, perform the following settings for Configuration All Configurations and Platform All Platforms:
    1. Set General->Output Directory to **lib$(Platform)**.
    2. Set General->Intermediate Directory to **build$(qlCompilerTag)$(Platform)$(Configuration)**.
    3. Set VC++ Directories->Include Directories to the Boost directory (e.g., C:\boost_1_61_0).
    4. Set VC++ Directories->Library Directories to the Boost library file (e.g., C:\boost_1_61_0\lib64-msvc-12.0).
  5. Close the QuantLib project Properties.
  6. Set the Configuration Manager->Active solution platform to x64.
  7. Build the QuantLib project in both Debug and Release modes.
  8. Close the QuantLib solution.
  9. Add QL_DIR to your environmental variables and set it to the QuantLib directory (e.g., C:\QuantLib-1.8)
  10. Run swig.cmd in the QuantLib-SWIG C# solution directory.
    1. The swig.cmd file must point to your locally-installed swig executable (e.g., swig.exe for Windows). If you do not have this, you must download and install it from here.
  11. Open the QuantLib-SWIG C# solution.
  12. In the NQuantLibc project Properties, perform the following settings for Configuration All Configurations and Platform All Platforms:
    1. Set General->Output Directory to **bin$(qlCompilerTag)$(Platform)$(Configuration)**.
    2. Set General->Intermediate Directory to **build$(qlCompilerTag)$(Platform)$(Configuration)**.
    3. Set Linker->General to $(QL_DIR)\lib$(Platform).
  13. Close the QuantLib-SWIG C# project Properties.
  14. In the NQuantLib project Properties, perform the following settings for Platform x64:
    1. For Configuration set to Debug, set Build->Output path to **bin\x64\Debug**.
    2. For Configuration set to Release, set Build->Output path to **bin\x64\Release**.
  15. Build the NQuantLib project in both Debug and Release modes.
  16. Close the QuantLib-SWIG C# solution.
  17. Follow this tutorial on how to build your NuGet package.

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A free/open-source quantitative finance library written in C++ and connected to C# via SWIG.

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