SabiQuant

SabiQuant is a planned, independent quantitative finance library written natively in Rust. Over time it aims to progressively reach functional parity with the major domains of QuantLib, with an idiomatic Rust API, financially correct behavior, and rigorously validated numerics.

Project status: M1 is merged; M2–M6 foundations, M7 schedules/cash-flow analytics, and M8 exact amounts/bond core are implemented locally. M3 includes immutable calendars, guarded TARGET coverage, Easter and ten day counts; M4 adds explicit quotes, compounding, factors and single-amount present values. M5 includes API/package review fixes; M6 adds checked solvers, four interpolators, normal functions and compensated/exact summation. M7 currently supports anchored Forward/Backward, explicit first/penultimate coupon dates, Zero schedules, four explicit civil month rolls and generated contractual ICMA reference contexts for both date/EOM and civil-roll lattices, plus simple cash flows, plain fixed coupons, legs, flat NPV and outstanding accrued amounts with explicit inclusion/work budgets. Modern CDS work adds explicit quarterly/semiannual quoted-maturity resolution and a Following payment/accrual date plan with distinct date roles. The automatic local OldCDS rule adds twentieth schedules on quarterly anchors with a thirty-day first-quarter cutoff, provenance and generated ICMA references. US 30/360 now requires explicit security EOM qualification; AFB follows ISDA's published backward-year clarification. Both compose with rates and cash flows (contract). Full SIFMA source acceptance, named settlement conventions and further pricing remain pending. This is an unreleased development version awaiting milestone review.

The local M8 amount foundation adds exact canonical decimals with explicit arbitrary quanta, seven rounding modes, cancellation-safe exact sums and fused product/divisor quantization. It is specified in M8_AMOUNT_CONTRACT; its local engineering validation is recorded in M8_AMOUNT_VALIDATION, with owner, financial and platform gates still open. Phase B adds four named binary64 conversions: exact or explicitly rounded incoming conversion of a float's exact bit value, and exact or correctly rounded outgoing conversion (contract, validation). The M8 bond core tranche adds sabiquant::bonds with zero-coupon and fixed-rate bullet bonds, explicit settlement and ex-coupon entitlement, earned-minus-detached accrued interest, exact single-rounding per-100 quote conversion, and two-stage direct-horizon BondPricingPlan / BondValuation (contract, validation), plus generic prepared-plan yield-to-maturity inversion (BondPricingPlan::yield_from_price, BondYieldReport, BondYieldSensitivity) and all six analytical risk views (BondPricingPlan::risk, BondRisk: first/second price derivatives, time-weighted amount, modified/Macaulay duration and convexity) (contract, validation). Named market yield conventions remain tracked in M8_LOCAL_READINESS.

The local settlement module adds four exact monetary recipes with explicit per100/per1000 units, positive par nominal, source/cash rounding stages and signed quantum policies. Supplied decimal/binary values retain their exact meaning; declared real intervals yield a determined receipt, ambiguous cash extremes or an unresolved Exact stage. A receipt keeps the complete original instruction and conditional provenance (contract, validation). Financial enclosure producers, named market conventions and full M8 acceptance remain tracked in the readiness record.

What SabiQuant aims to become

A reusable, long-lived Rust library for quantitative finance. It starts from rigorously specified foundations:

• dates, periods and frequencies;
• calendars and business-day conventions;
• day-count conventions;
• interest rates, compounding, and discounting.

From there it grows towards schedules, cash flows, bonds, term structures, derivatives, pricing engines, stochastic processes, numerical methods, and risk analytics. See the vision and the roadmap. Functional parity with QuantLib is a long-term ambition, not a promise. No compatibility is claimed until it is verified independently (ADR-0003).

Principles

• Rust-native. Designed around ownership, value semantics, enums, traits, and explicit Result-based errors. Not a binding to QuantLib and not a translation of it (ADR-0001).
• Standard Library only. The current dependency policy allows no third-party crates of any kind: runtime, dev, build, or procedural macro (ADR-0002).
• QuantLib is a reference, not a dependency. QuantLib is used to study behavior and to compare numerical results. It is never needed to build, run, or test SabiQuant (ADR-0008).
• Correctness before performance. The order is correctness, then reliability, then maintainability, then performance (numerical policy).
• Explicit state. No global evaluation date, no singletons, no implicit "today" (ADR-0011).

Decisions

The native-Rust, Standard-Library-only, and behavioral-compatibility principles are constraints set by the project owner. On 2026-10-10 the owner accepted the architecture decisions that M1 needs and authorized M1 (ADR index, decision register). Later decisions are recorded as each locally authorized batch is prepared.

On 2026-10-11 the owner delegated the next implementation choices and asked for continuous progress with broad tests. M2 decisions and its authorization are recorded in M2_READINESS; validation evidence and remaining acceptance gates are in M2_VALIDATION. The next local batch is recorded in M3_LOCAL_READINESS and M3_CORE_VALIDATION. Local M4 decisions and numerical evidence are in M4_LOCAL_READINESS and M4_NUMERICAL_VALIDATION. Local M5 corrections and M6 numerical evidence are recorded in M5_LOCAL_VALIDATION, M6_LOCAL_READINESS and M6_NUMERICAL_VALIDATION. External writes are not authorized: the owner selected continued work in the local repository. The restricted M7 schedule tranche and its classified reference distinctions are recorded in M7_LOCAL_READINESS and M7_CORE_VALIDATION. The explicit coupon extension is specified in M7_EXPLICIT_STUB_CONTRACT with evidence in M7_EXPLICIT_VALIDATION. Generated references use the same named lattice and an explicit matching frequency, specified in M7_ICMA_REFERENCE_CONTRACT. The measured reference/accrual checks are recorded in M7_ICMA_VALIDATION. Analytical cash-flow definitions are in M7_CASHFLOW_CONTRACT. They retain independent coupon/discount conventions, signed binary64 amounts, explicit payment inclusion and per-call contextual work. Exact monetary recipes are separate in settlement under the local NI-01 extension. The shared immutable coupon context and one-round integer product avoid quadratic context copying and recoverable intermediate product range failures. Local arithmetic, financial and package evidence is tracked in M7_CASHFLOW_VALIDATION. Four civil roll definitions, requested/resolved provenance and their explicit regularity policy are specified in M7_ROLL_CONTRACT. Local results and explicit reference differences are recorded in M7_ROLL_VALIDATION. Modern CDS date operations follow M7_CDS_CONTRACT, with independent maturity evidence in M7_CDS_MATURITY_ORACLES and integrated checks tracked in M7_CDS_VALIDATION. The automatic OldCDS rule is a local engineering definition in M7_OLD_CDS_CONTRACT, with classified reference observations in M7_OLD_CDS_REFERENCE_PROBES and integrated checks in M7_OLD_CDS_VALIDATION. Its historical financial cutoff and start-date role remain unresolved in the legacy source review.

Documentation

Building and testing

SabiQuant needs Rust 1.99 or later and nothing else: it has no dependencies.

The crate package includes library sources, standard library unit-test helpers and the Clippy policy configuration. Integration suites, research documents and external validation fixtures stay in the repository. The links below point to its main branch; unreleased local changes must reach the remote repository before publication.

cargo test                                  # unit, integration and documentation tests
cargo clippy --all-targets -- -D warnings   # lints, as run in CI
cargo fmt --all --check                     # formatting
cargo doc --no-deps --open                  # API documentation

sabiquant::error provides typed errors and sabiquant::time provides checked Gregorian dates, tenors, weekdays, months and frequencies. sabiquant::calendar provides immutable core calendars and checked business-day operations, Gregorian Easter and TARGET with strict source coverage by default. sabiquant::daycount provides five stateless conventions plus explicit-period ICMA, termination-sensitive 30E/360 ISDA and explicit-calendar Business/252. sabiquant::rates provides five compounding methods, explicit frequency/context quotes, compound and discount factors, implied/equivalent rates, single-amount present values and named percent/basis-point conversions. sabiquant::math provides bisection, Brent and safeguarded Newton with shared callback budgets; immutable linear/log-linear/natural-cubic/PCHIP interpolation with explicit extrapolation; standard and location/scale normal operations; and checked compensated or exactly rounded summation. Positional solver tolerances, supported cubic grids and empirical elementary-function accuracy are explicit contracts, not universal precision guarantees. sabiquant::schedule retains contractual/adjusted boundaries, automatic short/long stubs, validated explicit coupon roles, calendar EOM and owned TARGET guards. Explicit construction requires an exact named regular middle and retains outer stub provenance. ICMA generation builds minimal same-anchor determination periods with checked required extensions, full TARGET hull validation and explicit frequency. These references retain contractual accrual independently of adjusted payment dates. Civil Wednesday/twentieth rolls retain original and projected ranges, a month-coordinate lattice and genuine consecutive-roll regularity. Their generated ICMA references use the same Wednesday/twentieth points and minimal resolved raw hull with an explicit matching frequency; see the roll ICMA contract. Schedule adjustment rejects collisions instead of discarding boundaries. resolve_cds_maturity preserves the supplied trade date, stored quoted tenor and explicit Quarterly2009/Semiannual2015 regime, returning a date or typed Matured outcome. CdsDatePlan::standard_following takes a separately supplied quarter-twentieth maturity and selects payments strictly after trade plus one calendar day. It retains raw quarterly boundaries, Following payments, adjusted ordinary accrual and included raw final maturity, with bounded coupons and full retained TARGET guards. Its cutoff is for payment selection; legal protection, accrued rebates, premium-leg pricing and settlement remain separate work. build_old_cds takes a positive stored Months/Years stride, retains the generation start, omits a first quarter fewer than thirty calendar days away unless it is the terminal, stops interiors at the requested end and projects the terminal to the next quarterly twentieth. Its provenance, exact lattice flags, count caps and original/expanded TARGET guards are explicit; it is not a historical CDS premium leg. All ten date-rule labels are constructible. sabiquant::amounts provides canonical signed decimal amounts with explicit quanta, seven rounding modes, exact sums, fused ratio quantization and four named binary64 boundary conversions. sabiquant::bonds provides zero-coupon and fixed-rate bullet bonds, explicit settlement and ex-coupon entitlement, earned-minus-detached accrued interest, single-rounding per-100 par quote conversions, two-stage direct-horizon BondPricingPlan / BondValuation, bracketed yield-to-maturity inversion (yield_from_price, BondYieldReport, BondYieldSensitivity), and all six analytical risk views (risk, BondRisk). Tests read committed fixtures offline; regenerating them is documented in validation.

Relationship to QuantLib

SabiQuant uses QuantLib (BSD 3-Clause) as an external behavioral and numerical reference. The current baseline is QuantLib 1.43. SabiQuant contains no QuantLib code. SabiQuant is not affiliated with or endorsed by the QuantLib project.

Licence

SabiQuant is licensed under either of

• the Apache License, Version 2.0, or
• the MIT license,

at your option (ADR-0010).

Unless you explicitly state otherwise, any contribution intentionally submitted for inclusion in SabiQuant by you, as defined in the Apache-2.0 license, shall be dual licensed as above, without any additional terms or conditions.

Contributing

Contributions are welcome. Read CONTRIBUTING.md first: it covers the Developer Certificate of Origin sign-off, the provenance rules, and the rules for code. Everyone who takes part follows the Code of Conduct. Report security problems privately as described in SECURITY.md.