QLNet 1.9.1
A free/open-source library for quantitative finance
Showing the top 20 packages that depend on QLNet.
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QuantConnect.Indicators
Lean Engine is an open-source, platform agnostic C# and Python algorithmic trading engine. Allows strategy research, backtesting and live trading with Equities, FX, CFD, Crypto, Options and Futures Markets.
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4 |
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QuantConnect.Indicators
QuantConnect LEAN Engine: Indicators Project - A collection of financial indicators
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4 |
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QuantConnect.Indicators
Lean Engine is an open-source, plataform agnostic C# and Python algorithmic trading engine. Allows strategy research, backtesting and live trading with Equities, FX, CFD, Crypto, Options and Futures Markets.
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4 |
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QuantConnect.Indicators
Lean Engine is an open-source, plataform agnostic C# and Python algorithmic trading engine. Allows strategy research, backtesting and live trading with Equities, FX, CFD, Crypto, Options and Futures Markets.
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3 |
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QuantConnect.Common
QuantConnect LEAN Engine: Common Project - A collection of common definitions and utils
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3 |
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QuantConnect.Common
Lean Engine is an open-source, plataform agnostic C# and Python algorithmic trading engine. Allows strategy research, backtesting and live trading with Equities, FX, CFD, Crypto, Options and Futures Markets.
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3 |
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QuantConnect.Api
Lean Engine is an open-source, plataform agnostic C# and Python algorithmic trading engine. Allows strategy research, backtesting and live trading with Equities, FX, CFD, Crypto, Options and Futures Markets.
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3 |
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.
This package has no dependencies.