QLCore is a forked of the QLNet C# library. QLCore is a financial library written in C# for the Linux and Windows environments derived primarily from its C++ counterpart, Quantlib, which has been used as a base reference for modelling various financial instruments.

QLCore is thread-safe (or at least try to!), cross-platform and contains features not ported from Quantlib to QLNet, such as:

• Default term structures
• CMS Spread instrument and pricing engine
• Finite Differences methods for vanilla and barrier options under Heston model
• Monte-Carlo Lookback engine

QLCore is developped using Visual Studio Code, .NET Core 3.1 and xUnit test framework.

Instead of a single master branch, this workflow uses two branches to record the history of the project. The master branch stores the official release history, and the develop branch serves as an integration branch for features. The develop branch will also contain the complete history of the project.

To contribute features, you should clone the repository, create a tracking branch for develop and create the feature:

git clone https://github.com/OpenDerivatives/QLCore.git
git checkout -b develop origin/develop
git checkout -b some-feature develop

When the feature is ready, you can make a pull request to merge that feature into develop. Note that features will never be merged directly into master.

When a release is ready, we fork a release branch from develop. Creating this branch starts the next release cycle, so no new features can be added after this point; only bug fixes, documentation generation, and other release-oriented tasks go in this branch. Once it's ready to ship, the release gets merged into master and tagged with a version number.

Maintenance or “hotfix” branches are used to quickly patch production releases. This is the only branch that fork directly off of master. As soon as the fix is complete, it will be merged into both master and develop, and master will be tagged with an updated version number.

Thanks to all Quantlib creators and contributors. Thanks to all QLNet creators and contributors. Thanks to all QLCore contributors.