quantrs 0.1.0

A tiny Rust library for quantitative finance
Documentation

quantrs CI codecov

Quantrs is a tiny quantitative finance library for Rust. It is designed to be simple and easy to use, with a focus on performance and correctness. It is still in the early stages of development, so expect bugs and breaking changes.

Features

Core Features

  • Options pricing
    • Black-Scholes
    • Binomial tree
    • Monte Carlo simulation
    • Greeks

Optional Features

  • Data retrieval
    • Yahoo Finance
    • Alpha Vantage
    • Quandl
    • IEX Cloud
  • Fixed income & IR
    • Bond pricing
    • Duration
    • Convexity
    • Yield curve
    • Term structure
    • Forward rates
    • Interest rate models
  • Time series analysis
    • Moving averages
    • Volatility
    • Correlation
    • Cointegration
    • ARIMA
    • GARCH
    • Kalman filter
  • Portfolio optimization
    • Mean-variance optimization
    • Black-Litterman model
    • Risk parity
    • Minimum variance
    • Maximum diversification

Usage

Add this to your Cargo.toml:

[dependencies]
quantrs = "0.1"

Minimum supported Rust version (MSRV)

This crate requires a Rust version of 1.65.0 or higher. Increases in MSRV will be considered a semver non-breaking API change and require a version increase (PATCH until 1.0.0, MINOR after 1.0.0).

Contributing

If you find any bugs or have suggestions for improvement, please open a new issue or submit a pull request.

License

This project is licensed under the MIT License. See the LICENSE.md file for details.


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© Carlo Bortolan

> Carlo Bortolan  · 
> GitHub [carlobortolan](https://github.com/carlobortolan)  · 
> contact via [carlobortolan@gmail.com](mailto:carlobortolan@gmail.com)