2 releases
| new 0.2.12 | Oct 29, 2024 |
|---|---|
| 0.2.11 | Oct 28, 2024 |
#988 in Science
40 downloads per month
Used in rustquant
40KB
470 lines
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
| Discord | Latest Changes | |
|---|---|---|
| RustQuantContact@gmail.com | https://discord.gg/gMdv8Hpuwr | Changelog |
Modules
| Module | Description |
|---|---|
autodiff |
Algorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$. |
cashflows |
Implementations for Cashflows and Quotes, and similar types. |
data |
Data types that can be used for pricing and similar tasks (curves, term-structures, surfaces, etc). Methods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance. |
error |
RustQuant error handling module. |
instruments |
Implementations for financial instruments like Bonds, Options, and Money, including their pricing. Future additions will include swaps, futures, CDSs, etc. |
iso |
A few ISO code implementations: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes). |
math |
Statistical distributions and their related functions (PDF, CDF, CF, etc), Fast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum. |
ml |
Currently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future. |
macros |
Currently only plot_vector!() and assert_approx_equal!(). |
models |
Various models commonly used in quantitative finance, such as the various forms of Brownian Motion, short rate models, curve models, etc. |
portfolio |
Implementation of a portfolio type, which is a collection (HashMap) of Positions. |
stochastics |
Stochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). |
time |
Time and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc. |
trading |
Currently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future. |
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
[!NOTE]
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
Dependencies
~745KB
~13K SLoC