Quantitative Financial Library

.Net library include set of tools for pricing equity/FX autocallble instruments.

QFL library is implemented in F# and can be used from

• Jupiter notebooks
• Visual Code Interactive notebooks
• referenced as standard .Net library

Assets

• Equity
• FX

Models

• Local volatility
• Stochastic local volatility
• Hybrid FX/Equity

Using Quantitative Financial Library

All example scripts are written as F# scripts.

For details explore the following topics:

• Quick Start - example of market setup, PV and Greeks calculation.
• Instrument Payoff - demonstrates how to define instrument payoff logic.
• Dynamic correlation model for equity - Note on modeling correlation dependancy on the dynamics of equity spots.

For quick references to F# language see Learn F# in Y minutes.

Another extremely useful F# library which we use for working for time series and data tables is Deedle see Deedle in 10 minutes using F#.