stochastic-rs-quant 2.3.0

Quantitative finance: pricing, calibration, vol surfaces, instruments.
Documentation

stochastic-rs-quant

Pricing, calibration, instruments, vol surfaces, curves, risk, microstructure.

Module map

Modules are grouped by role; this overview helps locate the right entry point. Each module's own //! doc explains its scope in detail.

Pricing core

  • [pricing] — Black-Scholes, Heston, Bates, rBergomi, CGMYsv, basket / rainbow / Asian / barrier / lookback / cliquet payoffs; Fourier (Carr-Madan, Lewis, Gil-Pelaez); Malliavin-Thalmaier Greeks; SLV.
  • [bonds] — affine zero-coupon bond pricing (Vasicek, CIR, Hull-White, G2++), duration / convexity.
  • [fourier_malliavin] — non-parametric realised volatility / leverage / quarticity estimators (Malliavin-Mancino, Toscano et al.).
  • [lattice] — trinomial / Hull-White lattices for Bermudan payoffs.

Calibration & vol surfaces

  • [calibration] — model fitters (BSM, Heston, Bates/SVJ, Double-Heston, HSCM, HKDE, CGMYsv, rBergomi, SABR, Lévy, Hull-White swaption, SVI, SSVI). Unified [traits::Calibrator] trait.
  • [vol_surface] — SVI, SSVI, SABR-FX-smile parametrisations and the model-implied IV grid generator.
  • [loss] — calibration loss functions (RMSE/MAE/MRE/MAPE/IV-RMSE/ weighted-vega).

Curves & instruments

  • [curves] — discount curve construction (linear, log-linear, cubic-spline, monotone-convex), bootstrapping.
  • [instruments] — deposit / FRA / future / swap / swaption / bond / inflation linker / FX forward / TRS via [traits::Instrument] + [traits::PricingEngine].
  • [cashflows] — floating-rate periods, schedules, fixing-aware coupon legs.
  • [calendar] — day-count (ACT/360, 30/360, ...), business-day adjusters, schedule generation, pluggable holiday calendars via [calendar::CalendarExt].
  • [inflation] — zero-coupon / YoY inflation curves and linked instruments.
  • [fx] — delta / ATM conventions, FX forward, vanilla / barrier IV.
  • [market] — reactive market-data stack (observers, cached observables, rate helpers, bid/ask quote bridging).

Risk & analytics

  • [risk] — first + second-order Greeks aggregator, VaR / CVaR, expected shortfall, drawdown, performance ratios.
  • [credit] — rating-migration matrices, generator estimation, default-probability bootstrapping, CDS pricing.
  • [portfolio] — Markowitz / mean-CVaR / Black-Litterman / HRP / risk parity optimisers, momentum / cross-sectional ranking pipelines.
  • [factors] — PCA, Ledoit-Wolf shrinkage covariance, Fama-MacBeth, cointegrated pairs trading.
  • [strategies] — strategy primitives (currently DeltaHedge); a richer Strategy trait + back-test engine tracked for 2.x.

Microstructure & live data

  • [microstructure] — Almgren-Chriss optimal execution, Kyle's λ, propagator impact, Roll / Corwin-Schultz spread estimators.
  • [order_book] — limit-order-book data structures (Side, Order, Trade, OrderBook) with matching and cancel.
  • yahoo (feature-gated) — Yahoo Finance integration (experimental).

Cross-cutting

  • [traits] — public trait surface ([traits::ModelPricer], [traits::PricerExt], [traits::Calibrator], [traits::GreeksExt], [traits::Instrument], [traits::PricingEngine], ...). The characteristic-function bound FourierModelExt lives in [pricing::fourier]; TimeExt lives in [traits::time]; CalendarExt lives in [calendar].
  • [types] — shared enum types (Moneyness, OptionStyle, OptionType, LossMetric).