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Rust library for quantitative finance.

avhz.github.io

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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
RustQuantContact@gmail.com	https://discord.gg/gMdv8Hpuwr	Changelog

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`plot_vector!()` and`assert_approx_equal!()`.
`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`Position`s.
`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.