Documentation

• Getting started: the package and a first swap, in C# and in Python.
• FAQ: the platforms, the .NET versions, the licence, how nanoql relates to QuantLib, and where to ask.
• How nanoql is checked: the references, the tolerance, and the checks on every change and release.
• Concepts: values and functions, the evaluation context, conventions as data.
• The stateless design: rebuilding on change, memoizing, pricing scenarios in parallel, valuing as of a past date.

Rates

• Dates and calendars
• Curves
• Multi-curve bootstrapping: an €STR curve for discounting, and Euribor 6M bootstrapped on it.
• Indexes and fixings
• Swaps
• Basis swaps and FX: a basis swap, an FX forward, curves from FX swap points and cross-currency basis swaps.
• Caps and floors
• Swaptions
• A SABR smile: a swaption smile fitted by SABR, and the smile section an engine reads.
• Short-rate models: G2 and Hull-White calibrated to swaptions, and a Bermudan swaption.
• Pricing a USD SOFR swap to match the market

Equity

• Equity options: one put, European, Bermudan and American, by each engine family.
• A volatility surface and Heston's calibration

Credit

• Credit default swaps: a hazard curve from spreads, and ISDA's standard model.

Conventions

• Market conventions as data: the XML format and convention sets.
• The conventions catalogue: every value the library ships.

Beyond C#

• The bindings: Python and C, which any language that calls C can use, and C++ over C.
• The Excel add-in, with its functions listed by task under Excel.

Reference

• The API reference covers every public type.
• Extension points: the bases and interfaces your own types derive from.