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
• 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::equity::black76::FuturesSettlement;

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

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

utils