I've just published RustQuant on crates.io.
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.
This topic was automatically closed 90 days after the last reply. We invite you to open a new topic if you have further questions or comments.