Crate sabiquant 

SabiQuant

An independent quantitative finance library written natively in Rust, using only the standard library.

Status: foundations, numerics, schedules and cash-flow analytics under local validation. This unreleased development version contains shared errors, checked dates and tenors, immutable calendars, Western Easter, guarded TARGET coverage and ten day-count conventions, explicit interest rates and compounding, checked numerical solvers, interpolation, normal functions and summation, and anchored Forward/Backward/Zero schedules with explicit coupon dates, adjustment and checked ICMA reference contexts, four explicit civil month rolls with requested/resolved provenance, plus simple cash flows, plain fixed coupons, bounded legs, flat NPV and outstanding accrued amounts. Modern CDS date operations provide explicit quoted-maturity regimes and Following payment/accrual plans with separate raw, payment and accrual roles; the automatic local OldCDS rule builds twentieth schedules on quarterly anchors with explicit provenance. US 30/360 requires explicit security EOM qualification; AFB follows ISDA’s published backward-year clarification. Exact decimal amounts supply explicit arbitrary quanta, seven rounding modes and checked cancellation-safe/fused arithmetic, with four explicitly interpreted binary64 conversions. Zero-coupon and fixed-rate bond core definitions provide explicit settlement/ex-coupon entitlement, earned-minus-detached accrued interest, exact binary64 per-100 quote conversion, and two-stage direct-horizon pricing plans. Explicit settlement recipes retain supplied decimal/binary or declared interval evidence through source and cash rounding, with complete instruction/receipt provenance. Bounded yield inversion, duration/convexity and named market yield conventions remain later work. CDS premium-leg pricing, legal protection and settlement remain later work (roadmap).

Principles

• Correctness first. Every financial computation follows a written specification with cited sources (requirements).
• Standard library only. The crate has no dependencies of any kind.
• Explicit state. There is no global configuration, no implicit “today”, and no I/O: results depend only on the arguments.
• No panics on input. Every operation that can fail returns a typed error; see error.
• Values, not objects. Public types are immutable and can be sent and shared between threads.

Modules

Module	Contents
amounts	Exact decimals, explicit arbitrary quanta, seven rounding modes and explicit binary64 conversions
bonds	Zero-coupon and fixed-rate bond terms, settlement/ex-coupon entitlement, accrued adjustment, per-100 quotes and prepared direct-horizon pricing
error	The crate-level Error and the error types that every domain shares
math	Bracketed solvers, explicit interpolation, normal probabilities and checked reductions
time	Gregorian dates, months, weekdays, tenors and periodic frequencies
cashflows	Plain signed analytical coupons/legs, explicit inclusion, bounded flat NPV and outstanding accrual
calendar	Immutable calendars, guarded TARGET coverage and Western Easter
daycount	Source-verified scalar and contextual day counts and accrual fractions
rates	Explicit quotes, five compounding methods, factors, conversions and present values
schedule	Anchored schedules, explicit coupon roles, civil month rolls, automatic OldCDS, checked ICMA references, explicit modern CDS maturities and Following coupon-date plans
settlement	Four explicit exact settlement recipes, declared enclosure decisions, source/cash rounding and retained evidence/provenance

Relationship to QuantLib

SabiQuant uses QuantLib 1.43 as an external behavioral and numerical reference. It is not a port of QuantLib, not a binding to it, and contains no QuantLib code. SabiQuant is not affiliated with or endorsed by the QuantLib project.

Modules

amounts

Exact decimal values and explicit quantum rounding (FR-AMT-01–14).

bonds

Immutable zero-coupon and fixed-rate bond definitions, explicit settlement and ex-coupon entitlement, earned-minus-detached accrued interest, exact binary64 per-100 quote conversion, and two-stage direct-horizon pricing plans.

calendar

Immutable calendars and checked business-day operations.

cashflows

Immutable analytical cash flows, plain fixed coupons and flat-rate valuation.

daycount

Source-verified core day-count conventions and year fractions.

error

The crate-level error, and the error types that every domain shares.

math

Numerical algorithms with explicit inputs and checked results.

rates

Explicit interest-rate quotes, stable compounding and rate-based discounting.

schedule

Explicit contractual schedules with separate business-day adjustment.

settlement

Explicit exact monetary recipes and conditional interval consequences.

time

Exact dates, tenors and periodic frequencies (milestone M2).