QuantCore.Net 0.1.5

QuantCore.Net

QuantCore.Net is a high-performance .NET library for quantitative finance computations with low latency,deterministic behavior,and allocation-aware APIs.

It is designed as an embedded compute core (in-process):you call it directly from your .NET pricing engines,risk services,or research tools.

Why QuantCore.Net

Financial systems often require:

very high throughput (100k+ instruments per request)

predictable latency (tight SLAs / low jitter)

numerical stability under extreme inputs

control over allocations (GC pressure matters in 24/7 services)

QuantCore.Net focuses on a minimal set of core quantitative “bricks” that are fast and composable.

Features (MVP core)

Pricing

Black–Scholes–Merton (European options,continuous dividend yield q)

Batch pricing (PriceBatch)

Batch Greeks (GreeksBatch)

Monte Carlo

European GBM pricing with antithetic variates

Deterministic RNG (XorShift128Plus) for reproducible results

Risk Analytics

Historical VaR and Expected Shortfall (ES/CVaR)

In-place and non-mutating overloads (ArrayPool-backed)

Time Series

Statistical moments:mean,variance,skewness,kurtosis (stable one-pass)

Factor Risk / PnL

Fast factor-model PnL approximation using SIMD dot products via SlidingRank.FastOps

Install

dotnet add package QuantCore.Net

QuantCore.Net packages the required low-level SIMD core (SlidingRank.dll) inside the same NuGet package for convenience.

Quick Start

Black–Scholes price

using QuantCore.Net;

using QuantCore.Net.Pricing;



double price = BlackScholes.Price(

 type:OptionType.Call,

 s:100,

 k:100,

 r:0.03,

 q:0.01,

 sigma:0.20,

 t:0.5);

Batch pricing (zero-alloc output)

using QuantCore.Net;

using QuantCore.Net.Pricing;



BlackScholes.PriceBatch(

 type:OptionType.Call,

 s:S,

 k:K,

 r:R,

 q:Q,

 sigma:Vol,

 t:T,

 outPrice:prices);

Batch Greeks

using QuantCore.Net;

using QuantCore.Net.Pricing;



BlackScholes.GreeksBatch(

 type:OptionType.Put,

 s:S,

 k:K,

 r:R,

 q:Q,

 sigma:Vol,

 t:T,

 outGreeks:greeks);

Monte Carlo (European GBM,antithetic,deterministic)

using QuantCore.Net;

using QuantCore.Net.MonteCarlo;



double mc = MonteCarloOptionPricing.PriceEuropeanGbmAntithetic(

 type:OptionType.Call,

 s:100,k:100,

 r:0.03,q:0.01,

 sigma:0.20,t:0.5,

 paths:10\_000,

 seed:12345);

Historical VaR / ES (non-mutating overloads)

using QuantCore.Net.Risk;



double var99 = HistoricalRisk.ValueAtRisk(pnl,alpha:0.99);

double es99 = HistoricalRisk.ExpectedShortfall(pnl,alpha:0.99);

Factor model PnL (SIMD dot)

using QuantCore.Net.Risk;

using SlidingRank.FastOps;



FactorModelPnlFast.ComputePnL(exposures,factorReturns,notionals,outPnl);

Performance

Environment

CPU:Intel Core i5-11400F (6C/12T)

OS:Windows 11

.NET:8.0.23

BenchmarkDotNet:0.15.8

Benchmark summary (BatchSize = 100,000)

Reproduce:

bash

dotnet run -c Release --project .\benchmarks\QuantCore.Net.Benchmarks.Final

Reports are generated under:

benchmarks/QuantCore.Net.Benchmarks.Final/BenchmarkDotNet.Artifacts/results/

Note:Single-call microbenchmarks can be sensitive to JIT/inlining. Batch benchmarks are the recommended indicator for production throughput.

Commercial licensing & pricing

QuantCore.Net is a commercial library.

Evaluation and non-commercial use are allowed free of charge.

Commercial / production use requires a paid license.

We operate on a “trust-based” model for professional users. If you use QuantCore.Net commercially,please purchase a license.

Pricing (realistic for fintech/quant middleware)

Starter — $299 / month

Individual / small teams

1 organization

Up to 2 production services

Professional — $1,499 / month

Up to 10 developers

Up to 10 production services

Enterprise — $4,999 / month

Unlimited developers/services within one organization

Purchase / contact

Email:vipvodu@yandex.ru

Telegram:@vipvodu

License text:LICENSE.txt.

Disclaimer

QuantCore.Net provides computation primitives. Market data ingestion,streaming adapters,databases,execution,or regulatory workflows are intentionally out of scope.