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)

1. Basic settings
   • Calendar - supporting
     • Argentina,
     • Australia,
     • Austria,
     • Botswana,
     • Brazil,
     • Canada,
     • Chile,
     • China,
     • Czech Republic,
     • Denmark,
     • Finland,
     • France,
     • Germany,
     • Hong Kong,
     • Hungary,
     • Iceland,
     • India,
     • Indonesia,
     • Israel,
     • Italy,
     • Japan,
     • JointCalendar,
     • Mexico,
     • New Zealand,
     • Norway,
     • Poland,
     • Romania,
     • Russia,
     • Singapore,
     • Slovakia,
     • South Africa,
     • South Korea,
     • Sweden,
     • Switzerland,
     • Taiwan,
     • Target,
     • Thailand,
     • Turkey,
     • Ukraine,
     • UnitedKingdom,
     • UnitedStates, and
     • WeekendsOnly.
   • Day counts - supports Actual360, Actual365Fixed, ActualActual.
   • Schedule generator
2. 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
   • Simulator
3. Interest rate markets
   • Pricer
     • Swap
     • Cap/Floor
   • Simulator