50 releases

new 0.0.50 Oct 30, 2024
0.0.48 Jul 28, 2024
0.0.38 Mar 12, 2024
0.0.35 Dec 8, 2023
0.0.31 Nov 24, 2023

#34 in Finance

Download history 263/week @ 2024-07-25 23/week @ 2024-08-01 16/week @ 2024-09-12 5/week @ 2024-09-19 7/week @ 2024-09-26 175/week @ 2024-10-03 22/week @ 2024-10-10 3/week @ 2024-10-17 105/week @ 2024-10-24

306 downloads per month

MIT license

525KB
10K SLoC

FinQuant

Open-source (experimental) rust library for quantitative financial market modelling.

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Warning

FinQuant is an experimental project, currently incomplete and not fit for production.

Roadmap (no set agenda yet)

  1. Basic settings
    • Calendar inline with QuantLib v1.36
    • Day counts
    • Schedule generator
  2. Markets / Quotes
    • Forex - forward points
    • Forex - volatility
    • Interest Rate - curves (cash rates, futures, swaps)
    • Interest Rate - volatility
  3. 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
    • Simulator
      • Monte Carlo
  4. Interest rate markets
    • Pricer
      • Swap
      • Cap/Floor
    • Simulator
      • Monte Carlo

Dependencies

~2.5–3.5MB
~71K SLoC