QuantLib-DLL

Pre-built QuantLib as a Windows x64 DLL.

Upstream QuantLib blocks DLL builds on MSVC. This project patches the source to enable shared library builds and publishes pre-built binaries as GitHub Release assets.

Download

Go to Releases and download the zip for your QuantLib version.

Extract to a directory of your choice (e.g. C:\quantlib-deps):

Expand-Archive QuantLib-1.41-x64-dll.zip -DestinationPath C:\quantlib-deps

This gives you:

C:\quantlib-deps\
  QuantLib-1.41\
    bin\QuantLib-x64-mt.dll       # Runtime DLL
    lib\QuantLib-x64-mt.lib       # Import library for linking
    include\ql\...                # QuantLib headers (patched for DLL)
  boost_1_87_0\
    boost\...                     # Boost headers

Build locally

Requirements: Visual Studio 2022 (C++ workload), CMake, 7-Zip.

.\scripts\Build-QuantLibDLL.ps1 -PackageZip

By default the working directory is build/ and the install directory is install/ inside the repo, so you can inspect the patched QuantLib sources at build\QuantLib-<version>\ after the build.

With custom versions and install location:

.\scripts\Build-QuantLibDLL.ps1 `
    -QuantLibVersion 1.41 `
    -BoostVersion 1.87.0 `
    -InstallDir C:\Users\me\quantlib-deps\QuantLib-1.41 `
    -PackageZip

Include the QuantLib test suite:

.\scripts\Build-QuantLibDLL.ps1 -BuildTests -PackageZip

Patches applied

Five patches are applied to the QuantLib source to enable DLL builds:

File	Patch
cmake/Platform.cmake	Remove FATAL_ERROR that blocks DLL builds on MSVC
ql/CMakeLists.txt	Add RUNTIME DESTINATION so cmake --install copies the DLL
ql/qldefines.hpp.cfg	Inject QL_EXPORT / QL_IMPORT_ONLY macros for dllexport/dllimport
ql/math/distributions/normaldistribution.hpp	Add QL_EXPORT to InverseCumulativeNormal and MoroInverseCumulativeNormal
ql/cashflows/lineartsrpricer.hpp	Add QL_EXPORT to defaultLowerBound and defaultUpperBound static const members

The last three patches are needed because CMAKE_WINDOWS_EXPORT_ALL_SYMBOLS does not export private static const class data members. Without these patches, consumers get unresolved symbol errors at link time.

Build details

• Visual Studio 2022 (MSVC)
• CMake with BUILD_SHARED_LIBS=ON and CMAKE_WINDOWS_EXPORT_ALL_SYMBOLS=ON
• MSVC DLL CRT runtime (/MD)
• Boost headers only (no compiled Boost libraries needed)

License

This repository (build scripts and CI configuration) is licensed under the BSD 3-Clause License. QuantLib itself is licensed under the QuantLib License (BSD-modified).