Serving the Quantitative Finance Community
C# lib for Sabr / Sabr-Lmm calibration ?
Can someone please point me to the lib which i can use with C# for things such as SABR / SABR-LMM Calibration / Bootstrapping / Interpolation / Dust Algo and basic Statistical analysis. I would also like to integrate it with Excel.I understand that we have SWIG available but i am not sure how updated it is and if it ports Sabr / Sabr-LMM to the C# world . I am also aware of Alglib but i just wanted something outof box for Sabr and Sabr-LMM calibration . Thanks very much Tb