lukaskiss222/rustquant

Rust library for quantitative finance.

A Rust library for quantitative finance.

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

Email	Discord	Latest Changes
[email protected]	https://discord.gg/tQcM77h8vr	Changelog

Modules

Module	Description
autodiff	Algorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curves	Curves and surfaces, such as the yield curve and volatility surface.
data	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	Various implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
iso	A few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
math	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 plot_vector!() and assert_approx_equal!().
money	Implementations for Cashflows, Currencies, and Quotes, and similar types.
portfolio	Implementation of a portfolio type, which is a collection (HashMap) of Positions.
statistics	Density, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochastics	Stochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
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.