17 releases (4 breaking)
✓ Uses Rust 2018 edition
|new 0.4.3||Jan 23, 2020|
|0.4.2||Jan 16, 2020|
|0.3.3||Dec 19, 2019|
|0.2.3||Dec 10, 2019|
|0.0.1||Nov 18, 2019|
#43 in Date and time
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Purpose of this library is to provide over time a comprehensive toolbox
for quantitative analysis of financial assets in rust.
The project is licensed under Apache 2.0 or MIT license (see files LICENSE-Apache2.0 and LICENSE-MIT)
at the option of the user.
The goal is to provide a toolbox for pricing various financial products, like bonds options or maybe
even more complex products. In the near term, calculation of the discounted cash flow value of bonds
is in the focus, based on what information is given by a standard prospect. Building blocks to achieve
this target include time periods (e.g. "3M" or "10Y"), bank holiday calendars, business day adjustment
rules, calculation of year fraction with respect to typical day count convention methods, roll-out of
cash flows, and calculating valuation and risk figures like internal yield or duration that are useful
for an investor in these products.
Functionality to calculate of figures like fair values which are primarily interesting in scenarios
where one is fully hedged are not in the initial focus, since an investor is by definition not
fully hedged. Nevertheless, they might be added later for comparison and estimating market prices.
The library also supports storing data, like market data, e.g. market quote information, data related
to portfolio and transaction management to be able to support portfolio analysis (e.g. calculation
of risk figures), and generic storage of product details (e.g. bond specification). This is done by
defining data handler traits for various data categories, with concrete implementations supporting
storage in memory or in a databases (supporting