QuantSharp is a .NET library for financial quants.

Note: QuantSharp is currently in pre-release status and APIs can be expected to break without regard for semantic versioning (a bump in minor version usually signifies an actually major change).

Features

Current

• Calculations for European vanilla options
  • Option price
  • Common greeks: delta, gamma, theta, vega, rho
  • Uncommon greeks: Vomma
  • Implied volatility

To read full API documentation, see: https://quantsharp-docs.github.io/

Roadmap for 1.0 release

These features are strongly considered "necessary" for a proper 1.0 release:

• Pricing for American options
• More uncommon greeks
• Fluent API for creating options (e.g. creating a partially parametrized option and performing multiple calculations against one of the free params)
• Figure out approach to mathematical understanding of greeks (as raw derivative values) vs conventional (e.g. "per 1% change ", "decay per 1 day")
• Plug-in pricing models (to allow other models in the future, e.g. binomial)

Quick start

Installation

Install QuantSharp like you would any ordinary NuGet package:

Install-Package QuantSharp

or

dotnet add package QuantSharp

Using static functions

using QuantSharp;

//...

var callOptionPrice = BlackScholesEuropeanOptionsFunctions.CallPrice(
    234.56, //Price of underlying
    210.00, //Strike price
    0.25, //Time to expiration (in years, i.e. 3 months here)
    0.15, //Annualized volatility (15% here)
    0.03 //Risk-free interest rate (3% here)
);