QuantLib Python for Windows

Prerequisite Downloads

You need to have the following (either free or open-sourced) items in your system. The guide was tested successfully in Windows 7 (x64) with software versions stated below:

Building Procedure

  1. Install/unpack the following items:
    • install Visual Studio 2015
    • install Boost Libraries, e.g. "C:\boost_1_61_0"
    • install Anaconda Python3, e.g. "C:\Anaconda3"
    • unpack "QuantLib-1.8.zip", e.g. "C:\QuantLib-1.8"
    • unpack "QuantLib-SWIG-1.8.zip", e.g. "C:\QuantLib-SWIG-1.8"

  2. Start "C:\QuantLib-1.8\QuantLib_vc14.sln" with Visual Studio 2015.

  3. In Visual Studio Toolbars, change Solution Configurations to "Release" and change Solution Platforms to "x64".

  4. In Property Manager tab, right-click QuantLib and then click Properties. Select VC++ Directories in the left pane, and then append the Boost paths to Include Directories and Library Directories fields respectively in the right pane. For instance, if your Boost is installed in "C:\boost_1_61_0", you will need to
    • append path "C:\boost_1_61_0" to Include Directories field.
    • append path "C:\boost_1_61_0\lib64-msvc-14.0" to Library Directories field.

  5. Build QuantLib module (only). It will take about 15~30 minutes. Once finished you will find "QuantLib-vc140-x64-mt.lib" file in directory "C:\QuantLib-1.8\lib".

  6. Run "Anaconda Prompt" from Start Menu. In the console window, goto directory "C:\QuantLib-SWIG-1.8\Python" and set the following environment variables:
    • set INCLUDE=C:\boost_1_61_0
    • set LIB=C:\boost_1_61_0\lib64-msvc-14.0
    • set QL_DIR=C:\QuantLib-1.8

  7. Stay in the console window, and type in the following commands to build and install:
    • python setup.py build
    • python setup.py install

    Or you may want to create a distribution package (msi file) by issuing command:
    • python setup.py bdist_msi

    You will find an installation file "QuantLib-Python-1.8.win-amd64-py3.5.msi" in directory "C:\QuantLib-SWIG-1.8\Python\dist".

Pre-built Library

Below is the QuantLib-1.8 library built for 64-bit Windows and CPython 3.5:

QuantLib Python for Linux

Prerequisite Downloads

You need to have the following items in your system. The guide was tested successfully in Ubuntu 16.04 (x64) with software versions stated below:

Building Procedure

  1. Install Anaconda Python3 for Linux x64. At the end, remember to allow adding the Anaconda directory to your bash shell PATH environment variable. Now Python3 becomes the default Python environment.

  2. Install Boost library binary. In a terminal, run command:
    • sudo apt-get install libboost-all-dev

  3. Unpack, complile and install QuantLib binary. In QuantLib-1.8 directory, run the commands (note that the compilation process may take upto 1 hour):
    • ./configure
    • make -j 4
    • sudo make install
    • sudo ldconfig
    Depending on your system, you may or may not need to run the last command to notify the dynamic linker that a new shared library is available.

  4. Compile and install QuantLib-Python binary. In QuantLib-SWIG-1.8 directory, run the commands:
    • ./configure
    • make -C Python
    • sudo make -C Python install

Useful Links