stochastic-rs-quant 2.6.0

Quantitative finance: pricing, calibration, vol surfaces, instruments.
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[![Crates.io](https://img.shields.io/crates/v/stochastic-rs-quant?style=flat-square)](https://crates.io/crates/stochastic-rs-quant)
[![docs.rs](https://img.shields.io/docsrs/stochastic-rs-quant?style=flat-square)](https://docs.rs/stochastic-rs-quant)
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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

```rust
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**](https://github.com/rust-dd/stochastic-rs). Most users
should depend on the umbrella crate, which re-exports everything:

```toml
[dependencies]
stochastic-rs = "2.6"
```

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

- Documentation: [stochastic.rust-dd.com](https://stochastic.rust-dd.com)
- API reference: [docs.rs/stochastic-rs-quant](https://docs.rs/stochastic-rs-quant)

## License

MIT