stochastic-rs-quant 2.6.0

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

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stochastic-rs-quant

Quantitative finance: pricing, calibration, vol surfaces, instruments

The derivatives layer: pricing engines, model calibration, volatility surfaces, curves, instruments and risk.

What is in it

  • Closed-form pricing — Black-Scholes-Merton, Bachelier, Black-76, Bjerksund-Stensland 2002, digitals, barriers, lookbacks, chooser, compound, cliquet, Stulz rainbow, Kirk spread, Margrabe.
  • Fourier pricing — Heston, Bates, Merton jump, Kou, variance gamma, CGMY, double Heston, HKDE, CGMYSV, with Carr-Madan and FRFT engines.
  • Numerical pricing — finite differences, CRR and short-rate lattices (Hull-White, Black-Karasinski, G2++), Bermudan LSM, Snell envelope, Heston SLV, autocallables, baskets.
  • Greeks — first and second order via GreeksExt, plus Malliavin Greeks (Thalmaier and El Khatib schemes) and a Fourier-Malliavin volatility estimator.
  • Calibration — Heston (Cui analytic Jacobian), SABR, SVJ, Lévy, rough Bergomi, double Heston, HKDE, Hull-White swaption grids, BSM.
  • Volatility surfaces — implied surfaces from quotes, SVI, SSVI, SABR smiles, arbitrage repair, Dupire local vol, Breeden-Litzenberger.
  • Fixed income — curve bootstrapping, Nelson-Siegel, Svensson, multi-curve, bonds, swaps, caps and floors, swaptions, CMS, inflation.
  • Credit — Merton structural model, hazard-rate bootstrap, CDS, JLT migration matrices.
  • Risk and portfolio — VaR, CVaR, expected shortfall, drawdown, Sharpe / Sortino / Calmar, Markowitz, HRP, CVaR optimisation, PCA and Fama-MacBeth factors.
  • Microstructure — Almgren-Chriss, Kyle (1985), Bouchaud propagator and a price-time priority order book.

Usage

use stochastic_rs_quant::pricing::heston::HestonPricer;

let pricer = HestonPricer::new(
    100.0, 0.04, 100.0, 0.03, Some(0.0),
    -0.5, 2.0, 0.04, 0.3, Some(0.0), Some(1.0), None, None,
);
let (call, put) = pricer.calculate_call_put();

Part of stochastic-rs

This crate is one of the sub-crates of stochastic-rs. Most users should depend on the umbrella crate, which re-exports everything:

[dependencies]
stochastic-rs = "2.6"

Depend on stochastic-rs-quant directly only when you want this slice and nothing else.

License

MIT