finquant
| Crates.io | finquant |
| lib.rs | finquant |
| version | 0.0.50 |
| source | src |
| created_at | 2023-10-06 09:17:26.495908 |
| updated_at | 2024-10-30 00:00:44.987372 |
| description | Experimental Rust Quant Library |
| homepage | |
| repository | https://github.com/quantransform/finquant |
| max_upload_size | |
| id | 994932 |
| size | 529,004 |
Jeremy Wang (thejerwang)
documentation
README
FinQuant
Open-source (experimental) rust library for quantitative financial market modelling.
Warning
FinQuant is an experimental project, currently incomplete and not fit for production.
Roadmap (no set agenda yet)
- Basic settings
- Calendar inline with QuantLib v1.36
- Day counts
- Schedule generator
- Markets / Quotes
- Forex - forward points
- Forex - volatility
- Interest Rate - curves (cash rates, futures, swaps)
- Interest Rate - volatility
- Forex markets
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
- Forward
- forward points generator
- pricing + greeks
- Option
- implied vol generator
- pricing + greeks
- Forward
- Simulator
- Monte Carlo
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
- Interest rate markets
- Pricer
- Swap
- Cap/Floor
- Simulator
-
Monte Carlo
-
- Pricer