Module core 

Modules

aad

Adjoint Algorithmic Differentiation (AAD): tape-based reverse-mode differentiation for pricing code.

calendar

Holiday calendars, business-day conventions and schedule generation.

curves

Yield / discount curve infrastructure shared by all asset classes.

data_models

daycount

depth

Limit-order-book depth: the execution-layer observable.

errors

The library-wide error type.

fd_solvers

Finite-difference (PDE) solvers for 1-D, 2-D and 3-D problems, one scheme per file — numerical kernels only, independent of any payoff or grid, so they are usable as a standalone FD toolkit.

interpolation

Interpolation toolkit, one scheme per file — the single home for every interpolation in the library (curves, smiles, surfaces) and a standalone toolkit in its own right.

lattice

Recombining binomial lattices, asset-class agnostic.

linalg

Linear algebra utilities: matrix decompositions and correlation handling.

market

The typed, open-ended market data container: the pricing context.

montecarlo

Asset-agnostic Monte Carlo machinery, one concern per file — usable as a standalone simulation toolkit and consumed by the equity pricers.

optimization

Multi-dimensional optimization for model calibration, one algorithm per file. This is the fitting layer for every parametric model — Heston today (equity::heston::calibrate), SABR / Nelson-Siegel or any other least-squares fit tomorrow — so the machinery lives in one place, like solvers does for 1-D root finding.

quotes

Price observations: the scalar market observable pricing consumes.

results

Structured pricing results: everything one pricing call produces.

serialization

Format-agnostic contract input and output: JSON and XML.

solvers

Shared 1-D root-finding for the whole library, one algorithm per file.

termstructure

trade

traits

utils

vols

Volatility surface infrastructure, mirroring crate::core::curves.