Crate RustQuant

RustQuant: A Rust library for quantitative finance tools. Copyright (C) 2022, 2023 https://github.com/avhz

Dual licensed under Apache 2.0 and MIT. See: - LICENSE-APACHE.md - LICENSE-MIT.md

Contact me at: RustQuantContact@gmail.com

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

I’m particularly interested in hearing from people with strong experience in implementing quantitative software in a professional setting.

Modules

• autodiff
  Reverse mode automatic differentation. Currently only gradients can be computed. Suggestions on how to extend the functionality to Hessian matrices are definitely welcome.
• curves
  Curves module. Curves (in the financial sense) are functions that map a time to a value, such as a yield curve or a swap curve. They may also be known as term structures.
• data
  Data reading and writing utilities. Disabled by default, due to Polars increasing compile times.
• error
  RustQuant error handling module. A custom error type RustQuantError is defined, along with a macro to create an error, that propagates a RustQuantError with the text to include in the output.
• instruments
  Financial instrument types and modules (bonds, options, etc).
• iso
  ISO codes module.
• macros
  Macros for RustQuant.
• math
  Mathematics related items.
• ml
  Machine learning algorithms. This module relies on the nalgebra crate.
• models
  Module containing all models (e.g. Black-Scholes, Heston, etc). Also a Model trait is defined here for all models to implement.
• money
  Module containing all money related items. This includes currencies, cashflows, exchange rates, and money types, among other things.
• portfolio
  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

• assert_approx_equal
  Helper macro for tests to test floating point approximate equality.
• error
  Create a RustQuantError with the text to include in the output. You would use it as follows:
• plot_vector
  Plot a vector of values.