libitofin
A ground-up port of QuantLib into idiomatic, FFI-agnostic Rust.
libitofin is the core quantitative-finance library: dates and calendars, day counters,
interpolation, integration, distributions, solvers, RNGs, quotes, term structures, stochastic
processes, and pricing engines. QuantLib is the correctness oracle - every ported number is matched
against its test-suite/*.cpp case within tolerance.
The import path is libitofin:
use Date;
Status
Early, pre-1.0, and under active development. Milestone 1 is complete: a European option prices
end-to-end (quote -> flat yield/vol curves -> Black-Scholes process -> analytic engine -> lazy
instrument greeks), matching QuantLib's europeanoption.cpp at double-rounding precision. Layers L4
through L11 (term structures, processes, instruments, models, engines) are being filled out.
The public API will change until 1.0. Language bindings (Python, C ABI) are planned as separate crates.
License
BSD-3-Clause - the same license as QuantLib, the ported source.