rustkernel-treasury

GPU-accelerated treasury management kernels.

Kernels (5)

• CashFlowForecasting - Multi-horizon cash flow projection
• CollateralOptimization - LP/QP optimization for collateral allocation
• FXHedging - Currency exposure management
• InterestRateRisk - Duration/convexity analysis
• LiquidityOptimization - LCR/NSFR optimization

Features

• Cash flow forecasting across multiple time horizons
• Optimal collateral allocation using linear/quadratic programming
• FX exposure analysis and hedging recommendations
• Interest rate risk metrics (duration, convexity, DV01)
• Liquidity coverage ratio and net stable funding ratio optimization

Installation

Add to your Cargo.toml:

[dependencies]
rustkernel-treasury = "0.1.0"

Usage

use rustkernel_treasury::prelude::*;

// Forecast cash flows
let forecast = CashFlowForecasting::new();
let projections = forecast.project(&cash_flows, horizons);

License

Apache-2.0