# Outlook for Quantrs
This document outlines the planned features and improvements for the `quantrs` library. The goal is to provide a comprehensive and intuitive quantitative finance library for Rust, with support for various financial instruments and models.
## Planned Features
### Black-Scholes
- [x] European Options Price and Greeks
- [x] Cash or Nothing Binary Options Price and Greeks
- [x] Asset or Nothing Binary Options Price and Greeks
- [x] Binary Cash-or-Nothing Options Price and Greeks
- [x] Binary Asset-or-Nothing Options Price and Greeks
- [x] Rainbow Options Price and Greeks
- [ ] FX European Options Price and Greeks
- [ ] Swaption Price and Greeks
- [ ] Caplet/Floorlet Price and Greeks
- [ ] Cap/Floor Price and Greeks
### Black-76
- [ ] European Options Price and Greeks
- [ ] Cash or Nothing Binary Options Price and Greeks
- [ ] Asset or Nothing Binary Options Price and Greeks
### Lattice
- [x] European Options Price and Greeks
- [x] American Options Price and Greeks
- [x] Cash or Nothing Binary Options Price and Greeks
- [x] Asset or Nothing Binary Options Price and Greeks
- [ ] Bermudan Options Price and Greeks
- [ ] Basket Options Price and Greeks
- [x] Rainbow Options Price and Greeks
- [ ] Barrier Options Price and Greeks
- [ ] Double Barrier Options Price and Greeks
### Monte-Carlo
- [x] European Options Price and Greeks
- [x] Cash or Nothing Binary Options Price and Greeks
- [x] Asset or Nothing Binary Options Price and Greeks
- [ ] Basket Options Price and Greeks
- [x] Rainbow Options Price and Greeks
- [ ] Barrier Options Price and Greeks
- [ ] Double Barrier Options Price and Greeks
- [x] Asian Options Price and Greeks
- [ ] Lookback Options Price and Greeks
### Finite Difference
- [ ] European Options Price and Greeks
- [ ] American Options Price and Greeks
- [ ] Barrier Options Price and Greeks
- [ ] Asian Options Price and Greeks
- [ ] Lookback Options Price and Greeks
### Heston
- [ ] European Options Price and Greeks
- [ ] Barrier Options Price and Greeks
- [ ] Double Barrier Options Price and Greeks
- [ ] Asian Options Price and Greeks
- [ ] Lookback Options Price and Greeks
- [ ] Binary Cash-or-Nothing Options Price and Greeks
- [ ] Binary Asset-or-Nothing Options Price and Greeks
### Greeks Calculation
- [ ] Implement missing 1st order Greeks:
- [ ] Lambda
- [ ] Epsilon
- [ ] Implement missing 2nd order Greeks:
- [ ] Vanna
- [ ] Charm
- [ ] Vomma
- [ ] Veta
- [ ] Vera
- [ ] Implement missing 3rd order Greeks:
- [ ] Speed
- [ ] Zomma
- [ ] Color
- [ ] Ultima
- [ ] Parmicharma
### FX
- [ ] FX Options under Black Scholes: Price and Greeks Calculator
- [ ] FX Options under Black Scholes: Price and Greeks with Analysis of Deltas
- [ ] FX Options under Black Scholes: ATM Strikes and Deltas
- [ ] FX Strike from Delta and Volatility
- [ ] FX Smile Volatility for a Given Delta
- [ ] FX Smile Volatility for a given Strike
- [ ] FX Smile Curve
- [ ] FX Smile Strangle from Market Strangle
- [ ] FX Market Strangle from Smile Strangle
### Basket
- [ ] Vasicek's LHP model: Loss Distribution
- [ ] Vasicek's LHP model: Single Tranche CDO Price and Greeks Calculator
- [ ] Vasicek's LHP model: Base Correlation Calculator
- [ ] Vasicek's LHP model: Single Tranche CDO Price and Greeks Analysis
- [ ] Vasicek's LHP model: Single Tranche CDO's Spread
- [ ] Vasicek's HP model: Kth-to-Default Protection Price and Greeks Calculator
- [ ] Vasicek's HP model: Kth-to-Default Protection Price and Greeks Analysis
- [ ] Markowitz Efficient Frontier
### Short Rates
- [ ] Merton Short Rate model
- [ ] Vasicek Short Rate model
- [ ] CIR Short Rate model
- [ ] Ho Lee Short Rate model
- [ ] Hull White Short Rate model (One Factor)
### Yield Curves
- [ ] Holiday generator
- [ ] Day count conventions: Calculate Maturity Date /Add Business Days
- [ ] Daycount Conventions: Calculate No of Days between two Dates
- [ ] Daycount: Calculate cash flow dates and daycount between two dates per given frequency
- [ ] Yield Curve: Interpolation Analysis
- [ ] Yield Curve Interpolation using LIBOR
- [ ] Yield Curve Interpolation using FRA
- [ ] Yield Curve Interpolation using Swap
### Rates
- [ ] Par swap rate and Greeks Calculator
- [ ] Swap Price and Greeks Calculator
- [ ] Swaption and underlying swap
- [ ] Caplet Floorlet Price and Greeks Calculator
- [ ] Cap Floor Price and Greeks Calculator
### Data Retrieval
- [ ] Integrate with financial data providers:
- [ ] Yahoo Finance
- [ ] Alpha Vantage
- [ ] Quandl
- [ ] IEX Cloud
### Fixed Income & Interest Rate Models
- [ ] Support for fixed income instruments:
- [ ] Bond pricing
- [ ] Duration
- [ ] Convexity
- [ ] Yield curve construction
- [ ] Term structure modeling
- [ ] Forward rate agreements
- [ ] Interest rate models (e.g., Vasicek, CIR)
### Time Series Analysis
- [ ] Implement time series analysis tools:
- [ ] Moving averages
- [ ] Volatility estimation
- [ ] Correlation and cointegration
- [ ] ARIMA models
- [ ] GARCH models
- [ ] Kalman filter
### Portfolio Optimization
- [ ] Support for portfolio optimization techniques:
- [ ] Mean-variance optimization
- [ ] Black-Litterman model
- [ ] Risk parity
- [ ] Minimum variance
- [ ] Maximum diversification
### Rates Space
- [ ] Yield curve modelling, parameterization, linear swap pricing/risk
- [ ] Inflation modelling and swap/linker pricing
- [ ] Vanilla swaptions, SABR, YCSO, mid-curve swaptions, CMS, Bermudans
- [ ] Listed rates futures and options
- [ ] Bond/Repo Pricing
- [ ] MBS modelling and integration into OTC risk
- [ ] Risk based PnL across Fixed Income assets
## License
This project is licensed under either of:
- [MIT license](LICENSE-MIT) or
- [Apache License, Version 2.0](LICENSE-APACHE)
at your option.
---
© Carlo Bortolan
> Carlo Bortolan ·
> GitHub [carlobortolan](https://github.com/carlobortolan) ·
> contact via [carlobortolan@gmail.com](mailto:carlobortolan@gmail.com)