Module RustQuant::instruments

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

Bonds

• Prices:
  • The Vasicek Model
  • The Cox, Ingersoll, and Ross Model
  • The Hull–White (One-Factor) Model
  • The Rendleman and Bartter Model
  • The Ho–Lee Model
  • The Black–Derman–Toy Model
  • The Black–Karasinski Model
• Duration
• Convexity

Options

• Closed-form price solutions:

  • Heston Model
  • Barrier
  • European
  • Greeks/Sensitivities
  • Lookback
  • Asian: Continuous Geometric Average
  • Forward Start
  • Bachelier and Modified Bachelier
  • Generalised Black-Scholes-Merton
  • Basket
  • Rainbow
  • American

• Lattice models:

  • Binomial Tree (Cox-Ross-Rubinstein)

The stochastic process generators can be used to price path-dependent options via Monte-Carlo.

• Monte Carlo pricing:
  • Lookback
  • Asian
  • Chooser
  • Barrier

use RustQuant::instruments::*;
use time::{Duration, OffsetDateTime};

let VanillaOption = EuropeanOption {
    initial_price: 100.,
    strike_price: 110.,
    risk_free_rate: 0.05,
    volatility: 0.3,
    dividend_rate: 0.02,
    evaluation_date: None,
    expiration_date: OffsetDateTime::now_utc() + Duration::days(365),
};

let prices = VanillaOption.price();

println!("Call price = {}", prices.0);
println!("Put price = {}", prices.1);

Re-exports

• pub use instrument::*;
• pub use bonds::*;
• pub use options::*;
• pub use fx::*;
• pub use equities::*;
• pub use ticker::*;

Modules

• bonds
  Bond pricing models.
• equities
  Equity instruments.
• fx
  FX instruments.
• instrument
  Base trait for all instruments.
• options
  Option pricers and sensitivity functions.
• ticker
  Ticker symbol.