quantrs

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Quantrs is a tiny quantitative finance library for Rust. It is designed to be as intuitive and easy to use as possible so that you can work with derivatives without the need to write complex code or have a PhD in reading quantlib documentation. The library is still in the early stages of development, and many features are not yet implemented.

Please check out the documentation here.

Features

Options Pricing

For now quantrs only supports options pricing of vanilla and various exotic options.

	Black-Scholes	Black-76	Lattice	³Monte-Carlo	Finite Diff	Heston
European	✅	⏳	✅	✅	⏳	⏳
American	❌	❌	✅	❌ (L. Sq.)	⏳	❌
Bermudan	❌	❌	⏳	❌ (L. Sq.)	❌ (complex)	❌
¹Basket	⏳ (∀component)	❌	⏳ (approx.)	⏳	❌	❌
¹Rainbow	✅ (∀component)	❌	✅	✅	❌	❌
²Barrier	❌ (mod. BSM)	❌	⏳	⏳	⏳	⏳
²Double Barrier	❌ (mod. BSM)	❌	⏳	⏳	❌ (complex)	⏳
²Asian (fixed strike)	❌ (mod. BSM)	❌	❌	✅	⏳	⏳
²Asian (floating strike)	❌ (mod. BSM)	❌	❌	✅	⏳	⏳
²Lookback (fixed strike)	⏳	❌	❌	⏳	⏳	⏳
²Lookback (floating strike)	⏳	❌	❌	⏳	⏳	⏳
²Binary Cash-or-Nothing	✅	⏳	✅	✅	❌ (mod. PDE)	⏳
²Binary Asset-or-Nothing	✅	⏳	✅	✅	❌ (mod. PDE)	⏳
Greeks (Δ,ν,Θ,ρ,Γ)	✅	⏳	⏳	❌	❌	❌
Implied Volatility	✅	⏳	⏳	❌	❌	❌

¹ "Exotic" options with standard exercise style; only differ in their payoff value
² Non-vanilla path-dependent "exotic" options
³ MC simulates underlying price paths based on geometric Brownian motion for Black-Scholes models and geometric average price paths for Asian and Lookback options
✅ = Supported, ⏳ = Planned / In progress, ❌ = Not supported / Not applicable

Benchmarks

Compared to other popular options pricing libraries, quantrs is significantly faster:

29x faster than QuantLib (python bindings)
113x faster than py_vollib
15x faster than RustQuant
2.7x faster than Q-Fin

Library	Mean Execution Time (μs)	Median Execution Time (μs)	Standard Deviation (μs)	Operations / Second (OPS)
quantrs	0.0971	0.0970	0.0007	10,142,000
QuantLib (cpp)	n.a.	n.a.	n.a.	n.a.
QuantLib (py)	2.8551	2.8630	0.9391	350,250
py_vollib	10.9959	10.8950	1.1398	90,943
Q-Fin	0.2622	0.2603	0.0356	3,813,700
RustQuant	1.4777	1.4750	0.0237	676,727

You can find the benchmarks at quantrs.pages.dev/report

Published benchmarks have been measured on a selfhosted VM with 32 GB RAM, AMD Ryzen 7 PRO 6850U @ 2.70GHz, and Manjaro Linux x86_64

Usage

Add this to your Cargo.toml:

[dependencies]
quantrs = "0.1.4"

Now if you want to e.g., model binary call options using the Black-Scholes model, you can:

use quantrs::options::*;

fn main() {
    // Create a new instrument with a spot price of 100 and a dividend yield of 2%
    let instrument = Instrument::new()
        .with_spot(100.0)
        .with_continuous_dividend_yield(0.02);

    // Create a new Cash-or-Nothing binary call option with a strike price of 85
    let option = BinaryOption::cash_or_nothing(instrument, 85.0, OptionType::Call);

    // Create a new Black-Scholes model with:
    // - Time to maturity (T) = 0.78 years
    // - Risk-free interest rate (r) = 5%
    // - Volatility (σ) = 20%
    let model = BlackScholesModel::new(0.78, 0.05, 0.2);

    // Calculate the price of the binary call option using the Black-Scholes model
    let price = model.price(&option);
    println!("Price: {}", price);

    // Calculate the Greeks (Delta, Gamma, Theta, Vega, Rho) for the option
    let greeks = Greeks::calculate(&model, option);
    println!("Greeks: {:?}\n", greeks);
}

This will output:

Price: 0.8006934914644723
Greeks: Greeks { delta: 0.013645840354947947, gamma: -0.0008813766475726433, theta: 0.17537248302290848, vega: -1.3749475702133236, rho: 0.4398346243436515 }

See the documentation for more information and examples.

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).

Outlook

See OUTLOOK.md for a list of planned features and improvements.

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 · GitHub carlobortolan · contact via carlobortolan@gmail.com

quantrs 0.1.4