QuantLib: the free/open-source library for quantitative finance

The QuantLib project (https://www.quantlib.org) is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.

QuantLib is Non-Copylefted Free Software and OSI Certified Open Source Software.

Note on multi-threading

The underlying C++ library is not thread-safe. However, it provides some configuration options that make it possible to use these wrappers from C# using some limited multi-threading. In particular:

• the globals in the library are per-thread; most notably, the evaluation date and the stored index fixings;
• there is code in place to prevent the garbage collector to interfere with notifications inside the library.

Any more complex attempt at multi-threading will probably fail. We suggest to avoid sharing objects and state across threads; each thread should have its set of objects, evaluation date etc.