RustQuant: a Rust library for quantitative finance.

I've just published RustQuant on

It's currently a spare-time project and I welcome any feedback or suggestions.

Some features include:

  • reverse mode automatic (algorithmic) differentiation,

  • option pricing (closed-form, Monte-Carlo),

  • stochastic process generation.

It's very early stages and hopefully I can add more features soon. Adding more option pricers and starting the bond pricers are the current to-dos.

You can find it here:


Really cool to see some work in this space.

Thank you !
I started looking at Rust a 4-5 months ago and I was surprised to see so few quantitative finance crates available, as it seems like a very good language for it.

So hopefully people can give me some suggestions on what to improve and add to the crate to make it more useful.

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