Crate rustyqlib 

RustyQLib

A lightweight quantitative finance library for pricing derivatives and performing risk analysis.

The crate is organised into asset-class modules:

• core — shared building blocks: traits (core::traits::Instrument), quotes, term structures, interpolation and data models
• equity — equity options, forwards and futures with Black-Scholes, binomial, Monte Carlo and finite-difference engines
• rates — interest-rate instruments (deposits, FRAs) and curve building
• risk — VaR / Expected Shortfall, portfolio scenario risk, volatility estimation, performance statistics and VaR backtesting
• cmdty — commodity options
• utils — random number generation, stochastic processes and the JSON/CLI plumbing used by the rustyqlib binary

Example

Pricing contracts from JSON is the primary workflow (see the examples/ directory in the repository); the same types can be constructed directly and priced through the core::traits::Instrument trait.

Re-exports

pub use crate::core::curves::Compounding;

pub use crate::core::curves::CurveInput;

pub use crate::core::curves::InterpolationMethod;

pub use crate::core::curves::Tenor;

pub use crate::core::curves::YieldCurve;

pub use crate::core::errors::RustyQLibError;

pub use crate::core::results::Greeks;

pub use crate::core::results::PricingResult;

pub use crate::equity::black76::FuturesSettlement;

pub use crate::equity::builder::EquityOptionBuilder;

pub use crate::core::depth::DepthLevel;

pub use crate::core::depth::MarketDepth;

pub use crate::core::market::BumpMode;

pub use crate::core::market::Depth;

pub use crate::core::market::Discount;

pub use crate::core::market::Market;

pub use crate::core::market::MarketKey;

pub use crate::core::market::RiskFactor;

pub use crate::core::market::Shock;

pub use crate::core::market::Spot;

pub use crate::core::market::Vol;

pub use crate::core::quotes::Quote;

pub use crate::core::calendar::BusinessDayConvention;

pub use crate::core::calendar::Calendar;

pub use crate::core::calendar::DateGeneration;

pub use crate::core::calendar::Period;

pub use crate::core::calendar::Schedule;

pub use crate::core::daycount::DayCountConvention;

pub use crate::core::traits::Instrument;

pub use crate::core::vols::VolInput;

pub use crate::core::vols::VolSurface;

Modules

cmdty

core

equity

rates

risk

Risk analytics: Value-at-Risk, Expected Shortfall and the surrounding toolkit, one concern per file.

utils