Crate RustQuant

RustQuant: A Rust library for quantitative finance.

Contact: rustquantcontact@gmail.com

This library is a work in progress. Any contributions are greatly appreciated.

Re-exports

• pub use error::*;
• pub use macros::*;

Modules

• autodiff
  Reverse mode automatic differentation.
• error
  RustQuant error module.
• instruments
  Financial instrument types and modules (bonds, options, etc).
• macros
  Macros module.
• math
  Mathematics related items.
• ml
  Machine learning algorithms. This module relies on the nalgebra crate.
• money
  Module containing all money related items. This includes currencies, cashflows, exchange rates, and money types, among other things.
• statistics
  Statistics related items.
• stochastics
  Monte Carlo engines to simulate stochastic processes.
• time
  Time and date functionality.
• trading
  Trading related items.

Macros

• assert_approx_equal
  Helper macro for tests to test floating point approximate equality.
• plot_vector
  Plot a vector of values.