Expand description
itofin - a Rust port of QuantLib’s quantitative finance core.
The core library (libitofin). Language bindings (Python via PyO3, a C ABI
via cbindgen) live in sibling crates and depend on this one.
Modules§
- cashflow
- Cash flows.
- cashflows
- Concrete cash flows.
- currency
- Currency specification.
- discretizedasset
- Discretized assets: the rollback protagonists driven by a
Lattice. - errors
- Error handling.
- event
- Dated events.
- exchangerate
- Direct and ordered, derived two-currency exchange rates.
- exercise
- Option exercise classes.
- fxforward
- Snapshot-spot FX forwards with live discount curves and explicit dates.
- handle
- Relinkable shared handle to an observable.
- indexes
- Indexes.
- instrument
- Abstract instrument class.
- instruments
- Financial instruments.
- interestrate
- Interest-rate compounding algebra.
- legacy
- Standalone immutable numerical components from QuantLib’s legacy models.
- math
- Numerical building blocks ported from
ql/math/. - methods
- Numerical methods (L9).
- models
- Interest-rate models.
- money
- Cash amount in a given currency.
- option
- Base option definitions.
- patterns
- Foundational design patterns ported from
ql/patterns/. - payoff
- Option payoff contract.
- position
- Short or long position.
- prices
- Validated OHLC prices and dated price observations.
- pricingengine
- Base for pricing engines.
- pricingengines
- Pricing engines and their numeric cores.
- processes
- Stochastic processes for specific models.
- quotes
- Market quotes.
- settings
- Run-time evaluation settings.
- shared
- Centralized smart-pointer aliases for the core.
- stochasticprocess
- Stochastic processes.
- termstructures
- Term-structure base machinery.
- time
- Date and calendar machinery ported from
ql/time/. - types
- Custom numeric types.
- utilities
- Foundational helpers ported from
ql/utilities/.