FinQuant
Open-source (experimental) rust library for quantitative financial market modelling.
Warning
FinQuant is an experimental project, currently incomplete and not fit for production.
Roadmap (no set agenda yet)
- Basic settings
- Calendar - supports Australia, Japan, JointCalendar, Taiwan, Target, UnitedKingdom, UnitedStates, WeekendsOnly.
- Day counts - supports Actual360, Actual365Fixed, ActualActual.
- Schedule generator
- Forex markets
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
- Forward
- forward points generator
- discount + other pricing
- Option
- Forward
- Simulator
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
- Interest rate markets
- Pricer
- Swap
- Cap/Floor
- Simulator
- Pricer