Crate RustQuant

source ·
Expand description

A Rust library for quantitative finance.

Contact: RustQuantContact@gmail.com

Any contributions are greatly appreciated. Make a PR or open an issue !

Re-exports

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.
  • portfolio
    Portfolio module. A portfolio is a collection of Positions, which are simply a combination of an Instrument, a quantity, a purchase price, and a current price. You may also specify the Currency of the instrument.
  • statistics
    Statistics related items.
  • stochastics
    Monte Carlo engines to simulate stochastic processes.
  • time
    Time and date functionality.
  • trading
    Trading related items.

Macros