Crate stochastic_rs_quant 

stochastic-rs-quant

Pricing, calibration, instruments, vol surfaces, curves, risk, microstructure.

Re-exports

pub use portfolio::momentum;

pub use types::CalibrationLossScore;

pub use types::LossMetric;

pub use types::Moneyness;

pub use types::OptionStyle;

pub use types::OptionType;

pub use stochastic_rs_copulas as copulas;

pub use stochastic_rs_distributions as distributions;

pub use stochastic_rs_stats as stats;

pub use stochastic_rs_stochastic as stochastic;

Modules

bonds

Bonds

calendar

Calendar & Day Count

calibration

Calibration

cashflows

Cash Flow Engine

credit

Credit Models

curves

Yield Curve Construction

factors

Portfolio-analytics utilities (PCA, Fama-MacBeth, shrinkage covariance, pairs trading) that live alongside the pricing pipeline but do not feed back into it. Standalone domain — keep when pulling in stochastic-rs-quant for portfolio analytics; safe to ignore when only pricing.

fourier_malliavin

Non-parametric Fourier-Malliavin volatility / leverage / quarticity estimators (Malliavin & Mancino). Standalone realised-variance utilities — not currently consumed by the calibration or vol-surface pipelines.

fx

FX & Currencies

inflation

Inflation

instruments

Interest-Rate Instruments

lattice

Lattice Framework

loss

Loss

market

Market Data Framework

microstructure

Market-microstructure / execution analytics — Almgren-Chriss optimal liquidation, Kyle’s lambda, propagator price-impact models. Standalone domain — does not feed back into the pricing or calibration pipelines.

order_book

Limit-order-book data structures (Side, Order, Trade, OrderBook) with bid/ask matching and cancel. Bridged to the reactive market-data stack via market::book::mid_quote / market::book::half_spread_quote.

portfolio

Portfolio

pricing

Pricing

risk

Risk Metrics

simd_rng

SIMD-accelerated random number generation

strategies

Strategies

traits

Quant traits — pricing, time, calibration, model bridging.

types

Shared types

vol_surface

Volatility Surface

Macros

py_distribution

py_process_1d

py_process_2d

py_process_2x1d