Over on the Visual F# team blog we have an article introducing you to using QuantLib from F#:
A Guest Blog in conjunction with Alexandre Radicchi (firstname.lastname@example.org)
F# is an attractive language to use in Financial Engineering because of its functional-first methodology, succinctness, strong typing, data-integration, stability, maturity, tooling and performance, as well as its supported editions in Visual Studio, its open-source edition, its cross-platform execution and its widespread availability. You can explore tutorials on using F# for Financial Engineering on Try F#.
QuantLib represents a unique project in the Financial Engineering panorama because of its maturity and of the vast quantity of tools implemented, all for free. In many situations it represents a sensible choice especially when starting a new project from scratch. QuantLib is written in C++ but wrappers to many other languages exist. You can take a look at the project home page for further information. The majority of these wrappers are implemented using SWIG.
This blog post explores how to use F# in conjunction with QuantLib.