RUSTYQLib :Pricing Options with Confidence using JSON

RustyQLib is a lightweight yet robust quantitative finance library designed for pricing options. Built entirely in Rust, it offers a unique combination of safety, performance, and expressiveness that is crucial for handling financial data and complex calculations. RustyQlib simplifies equity option pricing without compromising on safety, speed, or usability.

License

RustyQlib is distributed under the terms of both the MIT license and the Apache License (Version 2.0). See LICENSE-APACHE and LICENSE-MIT for details.

Running

After cloning the repository and building you can run the following command:

rustyqlib file --input <FILE> --output <FILE>

and for pricing all contracts in a directory

rustyqlib dir --input <DIR> --output <DIR>

and for interactive mode

rustyqlib interactive

and for build mode to build vol surface or interest rate curve

rustyqlib build --input <FILE> --output <DIR>

Sample input file is provided in the repository (src\input\equity_option.json) Files are in JSON format and can be easily edited with any text editor.

Features

JSON Input Simplicity:

• Ease of Use: Providing input data in JSON format is straightforward and human-readable. You can specify the parameters of your options with ease, making complex financial modeling accessible to all.
• Flexibility: JSON accommodates various data types and structures, enabling you to define not only the option details but also additional market data, historical information, and risk parameters as needed.
• Integration-Ready: RustQuant's JSON input is integration-friendly. You can seamlessly connect it to data sources, trading platforms, or other financial systems, simplifying your workflow and enhancing automation.

JSON Output Clarity:

JSON Output Clarity

• Structured Results: RustQuant produces JSON output, that is your provided input with pricing results, Greeks, and risk profiles.

• Scalability: JSON output is highly scalable. You can process large batches of option pricing requests and obtain results in a structured format, streamlining portfolio management.

• Interoperability: JSON output integrates seamlessly with data visualization tools, databases, and reporting systems, enabling you to present and share your derivative pricing results effectively.

Stypes:

• European
• American
• Bermudan
• Asian

Instruments:

• Equity Option
• Equity Forward Start Option
• Equity Basket
• Equity Barrier
• Equity Lookback
• Equity Asian
• Equity Rainbow
• Equity Chooser

Pricing engines:

• Black Scholes
• Binomial Tree
• Monte Carlo
• Finite Difference
• Longstaff-Schwartz
• Heston
• Local Volatility
• Stochastic Volatility
• Jump Diffusion