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.