53 releases
Uses new Rust 2024
| 0.0.53 | Feb 21, 2025 |
|---|---|
| 0.0.50 | Oct 30, 2024 |
| 0.0.48 | Jul 28, 2024 |
| 0.0.38 | Mar 12, 2024 |
| 0.0.31 | Nov 24, 2023 |
#40 in Finance
413 downloads per month
525KB
10K
SLoC
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 v1.37
- 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
Dependencies
~2.2–3.5MB
~66K SLoC