35 releases

new 0.0.35 Dec 8, 2023
0.0.34 Dec 5, 2023
0.0.31 Nov 24, 2023
0.0.23 Oct 31, 2023

#43 in Finance

Download history 145/week @ 2023-10-06 205/week @ 2023-10-13 111/week @ 2023-10-20 157/week @ 2023-10-27 40/week @ 2023-11-03 59/week @ 2023-11-10 101/week @ 2023-11-17 142/week @ 2023-11-24 164/week @ 2023-12-01

466 downloads per month

MIT license

450KB
9K 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
    • 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
        • discount + other pricing
      • Option
    • Simulator
  4. Interest rate markets
    • Pricer
      • Swap
      • Cap/Floor
    • Simulator

Dependencies

~2.2–3MB
~66K SLoC