Quant Math in Rust


Hi, I am new to this forum and to Rust, so please be kind to me. I was in charge of writing the pricing library that Morgan Stanley use for pricing all equity-related products, all in C++.

It strikes me that Rust is the perfect language for this sort of application – fast, functional, rigorous, no garbage collection. So I have created a framework for pricing and risk calculation of financial derivatives in Rust.

There’s a lot to do, and I’d really appreciate collaboration and help. I’d love some real Rust experts to read my code and comment or better still fix it. I’d love volunteers at any level to write the many bits and pieces that are needed in a pricing library.