Professional Quantitative Libraries

All our libraries are written in 100% native C#. They are compatible with the .Net framework 2.0 upwards.

Mathematics Libraries for .Net

The Core Mathematical library contains most essential mathematical classes, in particular:

Mathematical Expression Parser.
Exploratory Statistics.
Integral and Differential calculations.
Univariate and Multivariate Optimisation algorithms.
Ordinary Least Squares as well as robust Linear and Non-Linear univariate and multivariate regressions including robust LOESS.
Common functions such as Beta, Gamma, Incomplete Beta, Incomplete Gamma, etc.
Linear Algebra.
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Probability and Statistics library supports over 35 continuous distributions and over 7 discrete distributions.
- Distribution fitting from data is supported where possible using the moment estimation, and/or the Maximum Likelihood Estimation
- Kolmogorov-Smirnoff goodness of fit test
- Copula Engine for multivariate simulations.
TTest, Chi-2 and F test.
Fast Random Number Generators.
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NB: The Probability and Statistics Library requires the Core .Net Mathematical Library

In addition to its mathematical libraries, Quantitative Express is uniquely providing a wealth of financial classes for option pricing and risk analysis (incl. Value at Risk).
For sure, the Black & Scholes model is present, but so are the Barone Adesi and Whaley, the Bjerksund and Stensland, the Curran, the Haug Haug and Margrabe, the Heston, the Turnebull and Wakeman or the Asay 1982 models to just name a few.
All the four techniques Closed Form solutions, Trees, PDEs and Monte Carlo simulations are used to price European or American vanilla and exotic options such as barrier, digital or Asian options.
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Reusing components saves time and money and help maximising your return on investment.
All our components are thoroughly tested with NUnit.
Our open source model means you can easily understand and extend any of the functions if you need to.
With our friendly support and services team you are guaranteed an answer to problems very quickly.