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.