quantrs

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.

Please check out the documentation here.

Features

Core Features

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

Planned 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"

Now you can use the library in your code:

use quantrs::options::*;

fn main() {
    let option = BlackScholesOption {
        spot: 100.0,
        strike: 100.0,
        time_to_maturity: 1.0,
        risk_free_rate: 0.05,
        volatility: 0.2,
    };
    println!("Option price: {}", option.price(OptionType::Call));
}

See the documentation and the examples for more information.

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.

© Carlo Bortolan

Carlo Bortolan  ·  GitHub carlobortolan  ·  contact via carlobortolan@gmail.com