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
   1. Calendar
   2. Day counts
   3. Schedule generator
2. Forex markets
   1. Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
      1. Forward
      2. Option
   2. Simulator
3. Interest rate markets
   1. Pricer
      1. Swap
      2. Cap/Floor
   2. Simulator