A Rust library for quantitative finance.

:dart: If you are an experienced quant developer in any language and would like to help out, feel free to contact me!

Modules

| Module | Description | |--------|-------------| | autodiff | Algorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$. | | cashflows | Implementations for Cashflows and Quotes, and similar types. | | data | Data types that can be used for pricing and similar tasks (curves, term-structures, surfaces, etc). Methods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance. | | error | RustQuant error handling module. | | instruments | Implementations for financial instruments like Bonds, Options, and Money, including their pricing. Future additions will include swaps, futures, CDSs, etc. | | iso | A few ISO code implementations: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes). | | math | Statistical distributions and their related functions (PDF, CDF, CF, etc), Fast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum. | | ml | Currently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future. | | macros | Currently only plotvector!() and assertapproxequal!(). | | models | Various models commonly used in quantitative finance, such as the various forms of Brownian Motion, short rate models, curve models, etc. | | portfolio | Implementation of a portfolio type, which is a collection (HashMap) of Positions. | | stochastics | Stochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). | | time | Time and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc. | | trading | Currently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future. |

Examples

See /examples for various uses of RustQuant. You can run them with:

cargo run --example <example>

[!NOTE]

Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.