Crate RustQuant_instruments

Financial instrument types and modules (bonds, options, etc).

Options

The following options and pricing methods are implemented:

Option	Analytic	Monte-Carlo	Finite Difference	Lattice	Greeks
Asian	❌	✅	❌	❌	❌
Barrier	❌	✅	❌	❌	❌
Basket	❌	❌	❌	❌	❌
Binary	❌	✅	❌	❌	❌
Chooser	❌	❌	❌	❌	❌
Cliquet	❌	❌	❌	❌	❌
Compound	❌	❌	❌	❌	❌
Exchange	❌	❌	❌	❌	❌
Forward Start	❌	❌	❌	❌	❌
Log	❌	✅	❌	❌	❌
Lookback	❌	✅	❌	❌	❌
Power	❌	✅	❌	❌	❌
Quanto	❌	❌	❌	❌	❌
Spread	❌	❌	❌	❌	❌
Supershare	❌	✅	❌	❌	❌
Vanilla	✅	✅	✅	✅	✅

• Closed-form price solutions:

  • Generalised Black-Scholes-Merton
  • Bachelier and Modified Bachelier
  • Heston Model

• Lattice models:

  • Binomial Tree (Cox-Ross-Rubinstein)

Bonds

FX

Equities

Commodities

Re-exports

pub use instrument::*;

pub use options::*;

pub use fx::*;

pub use equities::*;

pub use ticker::*;

pub use payoff::*;

pub use analytic_option_pricer::*;

pub use monte_carlo_pricer::*;

Modules

analytic_option_pricer

Analytic option pricer. Analytic option pricing module.

bonds

Bond pricing models.

equities

Equity instruments.

fx

FX instruments.

instrument

Base trait for all instruments.

monte_carlo_pricer

Monte-Carlo pricer. Monte-Carlo pricer trait.

options

Option pricers and sensitivity functions.

payoff

Generic derivative payoff trait.

ticker

Ticker symbol.

Macros

impl_monte_carlo_pricer

Macro to implement MonteCarloPricer for a given instrument type.