Expand description
Audit-grade interest-rate yield curve bootstrap and interpolation in pure Rust.
regit-curves bootstraps interest-rate yield curves from market
instruments (deposits, FRAs, futures, vanilla and OIS swaps, basis swaps),
interpolates between curve nodes with a documented family of methods, and
exposes the resulting curve as discount factor, zero rate, instantaneous
forward and par yield views — single-currency, single-curve and
multi-curve (post-2008 OIS-discounted).
Designed for auditability: every formula is hand-rolled from primary paper
and standards sources with no external dependencies. A regulator, quant
auditor, or new engineer can trace every number to a citable derivation in
MATH.md.
Part of Regit OS — the operating system for investment products. From Luxembourg.
Re-exports§
pub use bootstrap::Bootstrap;pub use bootstrap::BootstrapConfig;pub use curves::DiscountCurve;pub use curves::ForwardCurve;pub use curves::ParCurve;pub use curves::ZeroCurve;pub use errors::BootstrapError;pub use errors::CurveError;pub use errors::TypeError;pub use instruments::BasisLeg;pub use instruments::BasisSwap;pub use instruments::Bond;pub use instruments::Deposit;pub use instruments::Fra;pub use instruments::Future;pub use instruments::Instrument;pub use instruments::OisSwap;pub use instruments::SwapFixedFloat;pub use instruments::SwapSchedule;pub use interpolation::ConvexMonotone;pub use interpolation::CubicSpline;pub use interpolation::HermiteBessel;pub use interpolation::Interpolation;pub use interpolation::InterpolationImpl;pub use interpolation::Interpolator;pub use interpolation::Linear;pub use interpolation::LinearInZero;pub use interpolation::LogLinear;pub use interpolation::MonotoneCubic;pub use interpolation::MonotoneHyman;pub use interpolation::MonotoneSteffen;pub use interpolation::PiecewiseConstantForward;pub use interpolation::SplineBoundary;pub use multi_curve::MultiCurve;pub use multi_curve::MultiCurveBootstrap;pub use types::BusinessDayConvention;pub use types::Compounding;pub use types::Date;pub use types::Daycount;pub use types::Frequency;pub use types::Tenor;pub use types::TenorUnit;
Modules§
- bootstrap
- Sequential iterative bootstrap engine.
- curves
- Yield-curve types — discount, zero, forward, par.
- errors
- Typed error enums for the three failure domains of
regit-curves. - instruments
- Bootstrap instruments — deposits, FRAs, futures, vanilla and OIS swaps, basis swaps.
- interpolation
- Curve interpolation methods.
- math
- Hand-rolled numerical primitives — no external math dependencies.
- multi_
curve - Multi-curve (OIS-discounted) bootstrap engine.
- types
- Core temporal and convention types.