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)
| Method | Mean | Notes |
|---|---|---|
| BlackScholes_Price_Single_NoHoist | ~41–44 ns | single call (varying inputs + anti-hoist guard) |
| BlackScholes_Price_Batch_100k | ~5.11–5.13 ms | ~19.5M options/sec |
| BlackScholes_Greeks_Batch_100k | ~10.34–10.52 ms | batch greeks |
| MonteCarlo_Euro_GBM_Antithetic_10kPaths | ~0.264 ms | deterministic antithetic |
| Historical_VaR_99_ArrayPool_100k | ~0.436–0.442 ms | non-mutating overload |
| Historical_ES_99_ArrayPool_100k | ~0.486–0.487 ms | non-mutating overload |
| FactorModelPnL_SIMD_100k (32 factors) | ~2.77 ms | SIMD dot (float) |
| FactorModelPnL_SIMD_100k (64 factors) | ~5.04 ms | SIMD dot (float) |
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.